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High-frequency sampling and kernel estimation for continuous-time moving average processes
CARMA process continuous-time moving average process discretely sampled process FICARMA process gamma kernel
2011/9/19
Abstract: Interest in continuous-time processes has increased rapidly in recent years, largely because of the high-frequency data available in many areas of application, particularly in finance and tu...
The performance of mutual information for mixture of bivariate normal distributions based on robust kernel estimation
Mutual Information Kernel Density Minimum Volume Ellipsoid
2010/9/25
Mutual Information (MI) measures the degree of association between variables in nonlinear model as well as linear models. It can also be used to measure the dependency between variables in mixture dis...
Nonparametric kernel estimation of the probability density function of regression errors using estimated residuals
Kernel density estimation Leave-one-out kernel estimator Two-steps estimator
2010/10/14
This paper deals with the nonparametric density estimation of the regression error term assuming its independence with the covariate. The difference between the feasible estimator which uses the estim...
ADAPTIVE KERNEL ESTIMATION OF THE MODE IN A NONPARAMETRIC RANDOM DESIGN REGRESSION MODEL
Nonparametric regression random design mode kernel smoothing Nadaraya-Watson estimator
2009/9/21
In a nonparametric regession model with random design,
where the regression function m is given by rn (x). = E (Y I X = x),
estimation of the location 0 (mode) and size m(B) of a unique maximum
of ...
Double Kernel estimation of sensitivities。