Browsing by Subject "Smoothing"
Now showing items 1-5 of 5
-
Article
Model-free model-fitting and predictive distributions
(2013)The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. ...
-
Article
Multivariate Density Estimation with General Flat-Top Kernels of Infinite Order
(1999)The problem of nonparametric estimation of a multivariate density function is addressed. In particular, a general class of estimators with favorable asymptotic performance (bias, variance, rate of convergence) is proposed. ...
-
Article
New explicit filters and smoothers for diffusions with nonlinear drift and measurements
(1998)The optimal least-squares filtering of a diffusion x(t) from its noisy measurements {y(τ); 0 ≤ τ ≤ t} is given by the conditional mean E[x(t)\y(τ); 0 ≤ τ ≤ t]. When x(t) satisfies the stochastic diffusion equation dx(t) = ...
-
Article
Wavelet shrinkage for natural exponential families with quadratic variance functions
(2001)We propose a wavelet shrinkage methodology for univariate natural exponential families with quadratic variance functions, covering the Gaussian, Poisson, gamma, binomial, negative binomial and generalised hyperbolic secant ...
-
Article
Which banks smooth and at what price?
(Elsevier, 2020-12)By adjusting lending, banks can smooth the macroeconomic impact of deposit fluctuations. This may, however, lead to extended periods of disproportionately high lending relative to deposit intake and, under certain conditions, ...