A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation

DOI10.1016/j.jeconom.2009.04.004zbMath1431.62176OpenAlexW2019260307MaRDI QIDQ2630081

Robert Darren Brooks, Maxwell L. King, Xibin Zhang

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2007/wp11-07.pdf

zbMATH Keywords

Markov chain Monte CarloBlack-Scholes formulacross validationbootstrappingtime to maturity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• KernSmooth
• pyuvdata

Cites Work

• The Pricing of Options and Corporate Liabilities
• Nonparametric state price density estimation using constrained least squares and the bootstrap
• Exchange rates and interest rates: can term structure models explain currency movements?
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• THE UNIQUENESS OF CROSS-VALIDATION SELECTED SMOOTHING PARAMETERS IN KERNEL ESTIMATION OF NONPARAMETRIC MODELS
• Bootstrapping in Nonparametric Regression: Local Adaptive Smoothing and Confidence Bands
• How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Cross-Validation of Multivariate Densities
• Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
• Likelihood analysis of non-Gaussian measurement time series
• Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
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