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Full-Text Articles in Statistics and Probability
Bias Assessment And Reduction In Kernel Smoothing, Wenkai Ma
Bias Assessment And Reduction In Kernel Smoothing, Wenkai Ma
Electronic Thesis and Dissertation Repository
When performing local polynomial regression (LPR) with kernel smoothing, the choice of the smoothing parameter, or bandwidth, is critical. The performance of the method is often evaluated using the Mean Square Error (MSE). Bias and variance are two components of MSE. Kernel methods are known to exhibit varying degrees of bias. Boundary effects and data sparsity issues are two potential problems to watch for. There is a need for a tool to visually assess the potential bias when applying kernel smooths to a given scatterplot of data. In this dissertation, we propose pointwise confidence intervals for bias and demonstrate a …
Modelling The Common Risk Among Equities Using A New Time Series Model, Jingjia Chu
Modelling The Common Risk Among Equities Using A New Time Series Model, Jingjia Chu
Electronic Thesis and Dissertation Repository
A new additive structure of multivariate GARCH model is proposed where the dynamic changes of the conditional correlation between the stocks are aggregated by the common risk term. The observable sequence is divided into two parts, a common risk term and an individual risk term, both following a GARCH type structure. The conditional volatility of each stock will be the sum of these two conditional variance terms. All the conditional volatility of the stock can shoot up together because a sudden peak of the common volatility is a sign of the system shock.
We provide sufficient conditions for strict stationarity …