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CSDA
2008
13 years 10 months ago
2008
Group lasso is a natural extension of lasso and selects variables in a grouped manner. However, group lasso suffers from estimation inefficiency and selection inconsistency. To re...
CSDA
2008
13 years 10 months ago
2008
We present a semi-parametric method for testing mixing distributions in the mixed Poisson model. The proposed method, which is based on the generalized method of moments, does not...
CSDA
2008
13 years 10 months ago
2008
Given angular data 1, . . . , n [0, 2) a common objective is to estimate the density. In the case that a kernel estimator is used, bandwidth selection is crucial to the performan...
CSDA
2008
13 years 10 months ago
2008
The purpose of this paper is to forecast the time evolution of a binary response variable from an associated continuous time series observed only at discrete time points that usual...
CSDA
2008
13 years 10 months ago
2008
The finite sample properties of the Fourier estimator of integrated volatility under market microstructure noise are studied. Analytic expressions for the bias and the mean square...