Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Davide La Vecchia"'
Publikováno v:
Statistical Science. 38
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76345d967886decc984958fc6c26ff29
https://doi.org/10.1214/21-sts847
https://doi.org/10.1214/21-sts847
We develop a novel estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing of coupon-paying government bonds followed over many time periods. We use our model to estimate the discount function and y
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6d5db6ebfc391270f4dc54779c8e186f
Autor:
Julien Bodelet, Davide La Vecchia
Publikováno v:
Electronic Journal of Statistics. 16
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9359e56e34710d71f1ef63e5407cca5b
https://doi.org/10.1214/22-ejs2038
https://doi.org/10.1214/22-ejs2038
Autor:
Davide La Vecchia, Elvezio Ronchetti
Publikováno v:
Journal of Econometrics, Vol. 213, No 2 (2019) pp. 578-592
Saddlepoint techniques provide numerically accurate, small sample approximations to the distribution of estimators and test statistics. Except for a few simple models, these approximations are not available in the framework of stationary time series.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::20507d53fb5e4c25df211ae4df276dec
https://doi.org/10.1016/j.jeconom.2018.10.009
https://doi.org/10.1016/j.jeconom.2018.10.009
Autor:
Davide La Vecchia, Marc Hallin
Publikováno v:
Journal of econometrics
Journal of Econometrics (2020) P. 14
Journal of Econometrics (2020) P. 14
Modeling nonnegative financial variables (e.g. durations between trades or volatilities) is central to a number of studies across econometrics, and still poses several statistical challenges. Among them, the efficiency aspects of semiparametric estim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::014b16cef95129974d1931306a28ac22
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/307398
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/307398
Publikováno v:
ECARES Working Papers; 2019-25
We propose a new class of estimators for semiparametric VARMA models with the innovation density playing the role of nuisance parameter. Our estimators are R-estimators based on the multivariate concepts of center-outward ranks and signs recently pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69dcf2a941c4da98c314a35347e7381b
Publikováno v:
SSRN Electronic Journal.
We develop new higher-order asymptotic techniques for the Gaussian maximum likelihood estimator of the parameters in a spatial panel data model, with fixed effects, time-varying covariates, and spatially correlated errors. We introduce a new saddlepo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d06f6c5cb6f93e79b6c9362ba12496e9
https://doi.org/10.2139/ssrn.3360903
https://doi.org/10.2139/ssrn.3360903
Publikováno v:
SSRN Electronic Journal.
We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment indicators. We characterize the class of parametric and semiparametric estimation problems for which the method is valid. We show
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::88703309ddde8318aba91677d16ee274
https://doi.org/10.2139/ssrn.3515288
https://doi.org/10.2139/ssrn.3515288
Autor:
Davide La Vecchia
Publikováno v:
International Statistical Review. 84:267-290
We review some first- and higher-order asymptotic techniques for M- estimators and we study their stability in the presence of data contaminations. We show that the estimating function (psi) and its derivative with respect to the parameter (grad psi)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b65a12fc170ac7cc2b50fe2911ca575
https://doi.org/10.1111/insr.12102
https://doi.org/10.1111/insr.12102
Autor:
Marc Hallin, Davide La Vecchia
Publikováno v:
Journal of Econometrics, Vol. 196, No 2 (2017) pp. 233-247
We propose rank-based estimation (R-estimators) as an alternative to Gaussian quasi-likelihood and standard semiparametric estimation in time series models, where conditional location and/or scale depend on a Euclidean parameter of interest, while th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3cdf0a58c847d0908c1365598f174b9
https://archive-ouverte.unige.ch/unige:91879
https://archive-ouverte.unige.ch/unige:91879