Graphical Comparison of Nonparametric Curves

Pricing of American options in discrete time by means of regression-based Monte Carlo methods is considered in this thesis. Thereby, the options are allowed to be based on several underlyings (so-called basket options). It is assumed that the underlyings price processes satisfy the Markov property and consequently are Markov processes. In this dissertation, Monte Carlo methods are used to generate artificial sample paths of these price processes, and subsequently adaptive nonparametric least squares regression estimates are used to estimate the so-called continuation values from these data. The continuation values describe the mean values of the American options for given values of the underlyings at time t, subject to the constraint that the options are not exercised at time t, but optimally exercised in the future. Adaptive least squares neural networks as well as adaptive least squares spline estimates are used as nonparametric regression estimates. In conjunction with the pricing of American options, these estimates are theoretically analysed, and results with respect to consistency and rate of convergence are derived. Finally, the pricing of American options on simulated data by means of the estimates is illustrated.

Variance function estimation in multivariate nonparametric regression with fixed design

Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models

In the present paper, we extend the work of Slaoui (Stat Sin 30:417–437, 2020) in the case of strong mixing data. Since, we are interested in nonparametric regression estimation, we focus on well adapted dependence structures based on mixing type conditions. We study the properties of these regression estimators and compare them with the nonparametric non-recursive regression estimator. The bias, variance and mean squared error are computed explicitly. We showed that using a selected wild bootstrap bandwidth procedure and a special stepsize, our proposed recursive regression estimators allowed us to obtain quite similar results compared to the non-recursive regression estimator under $$\alpha $$ -mixing condition in terms of estimation error and much better in terms of computational costs.

Nonparametric regression models offer a way to understand and quantify relationships between variables without having to identify an appropriate family of possible regression functions. Although many estimation methods for these models have been proposed in the literature, most of them can be highly sensitive to the presence of a small proportion of atypical observations in the training set. A review of outlier robust estimation methods for nonparametric regression models is provided, paying particular attention to practical considerations. Since outliers can also influence negatively the regression estimator by affecting the selection of bandwidths or smoothing parameters, a discussion of robust alternatives for this task is also included. Using many of the “classical” nonparametric regression estimators (and their robust counterparts) can be very challenging in settings with a moderate or large number of explanatory variables, so recently proposed robust nonparametric regression methods that scale well with a growing number of covariates are also discussed.

In the linear model y = x′β + u where x is a regressor vector and E(u | x)= 0, we estimate β in E(y | x)= x′β However, the assumption of the linear model, or any nonlinear model for that matter, is a strong one. In nonparametric regression, we try to estimate E(y | x) without specifying the functional form. Since $$E(y{\kern 1pt} |{\kern 1pt} x) = \smallint y \cdot f(y|x)dy = \smallint y \cdot \{ f(y,x)/f(x)\} dy $$ (1.1) if we can estimate f(y, x) and f(x), we can also estimate E(y | x). In this chapter, we study nonparametric density estimation for x as a prelude to nonparametric regression in the next chapter. We will assume that x has a continuous density function f (x) If x is discrete, one can estimate P(x = x 0) either with the same estimation method used for the continuous case or with the number of observations with x i = x 0. There are several nonparametric density estimation methods available. The most popular is “kernel density estimation method” which we explore mainly. Other methods will be examined briefly in the last section. See Prakasa Rao (1983), Silverman (1986), Izenman (1991), Rosenblatt (1991) and Scott (1992) for more on nonparametric density estimation in general.

Given the popularity of nonparametric methods in applied econometric research, it is beneficial if students have exposure to these methods. We provide a simple, heuristic overview that can be used to discuss smoothing and nonparametric density and regression estimation suitable for an undergraduate econometrics class. We make connections to existing methods known to students (e.g. weighted least-squares through the idea of local weighting) which allows easy access to these methods. Examples are given as well as a discussion of available methods across an array of statistical software to fit the needs of educators.

Estimation of heterogeneous causal effects - i.e., how effects of policies and treatments vary across subjects - is a fundamental task in causal inference. Many methods for estimating conditional average treatment effects (CATEs) have been proposed in recent years, but questions surrounding optimality have remained largely unanswered. In particular, a minimax theory of optimality has yet to be developed, with the minimax rate of convergence and construction of rate-optimal estimators remaining open problems. In this paper we derive the minimax rate for CATE estimation, in a Hölder-smooth nonparametric model, and present a new local polynomial estimator, giving high-level conditions under which it is minimax optimal. Our minimax lower bound is derived via a localized version of the method of fuzzy hypotheses, combining lower bound constructions for nonparametric regression and functional estimation. Our proposed estimator can be viewed as a local polynomial R-Learner, based on a localized modification of higher-order influence function methods. The minimax rate we find exhibits several interesting features, including a non-standard elbow phenomenon and an unusual interpolation between nonparametric regression and functional estimation rates. The latter quantifies how the CATE, as an estimand, can be viewed as a regression/functional hybrid.

The Fisher information matrix (FIM) is a widely used measure for applications including statistical inference, information geometry, experiment design, and the study of criticality in biological systems. The FIM is defined for a parametric family of probability distributions and its estimation from data follows one of two paths: either the distribution is assumed to be known and the parameters are estimated from the data or the parameters are known and the distribution is estimated from the data. We consider the latter case which is applicable, for example, to experiments where the parameters are controlled by the experimenter and a complicated relation exists between the input parameters and the resulting distribution of the data. Since we assume that the distribution is unknown, we use a nonparametric density estimation on the data and then compute the FIM directly from that estimate using a finite-difference approximation to estimate the derivatives in its definition. The accuracy of the estimate depends on both the method of nonparametric estimation and the difference Δθ between the densities used in the finite-difference formula. We develop an approach for choosing the optimal parameter difference Δθ based on large deviations theory and compare two nonparametric density estimation methods, the Gaussian kernel density estimator and a novel density estimation using field theory method. We also compare these two methods to a recently published approach that circumvents the need for density estimation by estimating a nonparametric f divergence and using it to approximate the FIM. We use the Fisher information of the normal distribution to validate our method and as a more involved example we compute the temperature component of the FIM in the two-dimensional Ising model and show that it obeys the expected relation to the heat capacity and therefore peaks at the phase transition at the correct critical temperature.

The article investigates the accuracy of nonparametric univariate density estimation methods applied to various Gaussian mixture models. A comprehensive comparative analysis is performed for four popular estimation approaches: adaptive kernel density estimation, projection pursuit, log-spline estimation, and wavelet-based estimation. The study is extended with modified versions of these methods, where the sample is first clustered using the EM algorithm based on Gaussian mixture components prior to density estimation. Estimation accuracy is quantitatively evaluated using MAE and MAPE criteria, with simulation experiments conducted over 100,000 replications for various sample sizes. The results show that estimation accuracy strongly depends on the density structure, sample size, and degree of component overlap. Clustering before density estimation significantly improves accuracy for multimodal and asymmetric densities. Although no formal statistical tests are conducted, the performance improvement is validated through non-overlapping confidence intervals obtained from 100,000 simulation replications. In addition, several decision-making systems are compared for automatically selecting the most appropriate estimation method based on the sample’s statistical features. Among the tested systems, kernel discriminant analysis yielded the lowest error rates, while neural networks and hybrid methods showed competitive but more variable performance depending on the evaluation criterion. The findings highlight the importance of using structurally adaptive estimators and automation of method selection in nonparametric statistics. The article concludes with recommendations for method selection based on sample characteristics and outlines future research directions, including extensions to multivariate settings and real-time decision-making systems.

Effective Nonparametric Estimation in the Case of Severely Discretized Data

Tests used for such purposes as determining educational quality, defining educational needs, hiring an employee, student selection and placement and performing guidance and clinic services have an important place in education and psychology. Of course, they should have certain psychometric features related to test scores' validity and reliability. Various test theories have helped to create more valid and reliable measurements and, as a result, to make better decisions regarding individuals. In education and psychology, Classical Test Theory (CTT) and Item Response Theory (IRT) are both widely used. CTT assumes that an individual's observed score is the total of the true score and the error score, while IRT estimates an individual's ability or latent trait from responses to test items (Embretson & Reise, 2000).When IRT assumptions and model-data fit are ensured, item and ability parameters' invariance occurs; this is known as the most important advantage IRT has over CTT. Item and ability parameters' invariance means estimating ability parameters independently of item sample and estimating item parameters independently of ability sample. IRT's invariance feature makes it very practicable in many applications, for instance, test development, computerized adaptive testing, bias studies, test equating and item mapping (Hambleton & Swaminathan, 1985). IRT is classified under two main categories as parametric IRT (PIRT) and nonparametric IRT (NIRT) (Olivares, 2005; Sijtsma & Molenaar, 2002).To analyse ordered items, such as Likert-type attitude items, partial credit cognitive items or not ordered graded items such as multiple-choice test items, item response models are developed towards polytomous items in IRT (Ostini & Nering, 2006). In these models developed for polytomous items, a non-linear relationship between an individual's latent trait and the possibility of choosing a certain category of item answer is explained (Embretson & Reise, 2000). Graded Response Model (GRM), part of IRT models developed for polytomous items, is often preferred by researchers for applications since it is more useful in presentations, portfolios, essays and Likert-type items with ordered item categories (DeMars, 2010; Ostini & Nering, 2006). To scale tests that consist of polytomous items by making true estimates according to GRM, evaluating PIRT's assumptions and model-data fit is necessary. And to provide these assumptions and model-data fit, large samples are needed. At this point, NIRT models draw attention because they provide a practical advantage in determining psychometric properties of tests with fewer items and respondents (Stout, 2001).NIRT models are defined as statistical scaling methods that require fewer assumptions than PIRT models for measuring persons and items (Stochl, 2007). With their wide application area, NIRT models are used in ordinal scales, applied research areas, sociology, marketing research and health research on quality of life (Sijtsma, 2005). The literature reveals that two models, namely, the Mokken model and nonparametric regression estimation models, are employed. These two models are themselves divided into sub-models. The Mokken model consists of the sub-models Monotone Homogeneity Model (MHM) and the Double Monotonicity Model (DMM). Nonparametric regression estimation models consist of such sub-models as the Kernel Smoothing Approach Model (KSAM), the Isotonic Regression Estimation and the Smoothed Isotonic Regression Estimation models (Lee, 2007; Sijtsma & Molenaar, 2002). Along with theoretical studies being conducted, new sub-models are being added to nonparametric regression estimation models.As a NIRT model, MHM requires unidimensionality, local independence and monotonicity assumptions, and it defines the relationship that latent variables and items with homogeneous (unidimensional) and monotone item characteristic curve (ICC) have (Meijer & Baneke, 2004; Sijtsma & Molenaar, 2002). …

In this study, we investigate online Bayesian estimation of the measurement noise density of a given state space model using particle filters and Dirichlet process mixtures. Dirichlet processes are widely used in statistics for nonparametric density estimation. In the proposed method, the unknown noise is modeled as a Gaussian mixture with unknown number of components. The joint estimation of the state and the noise density is done via particle filters. Furthermore, the number of components and the noise statistics are allowed to vary in time. An extension of the method for the estimation of time varying noise characteristics is also introduced.

We consider the problem of choosing between two density estimates, a non-parametric estimate with the the standard properties of nonparametric estimates (universal consistency, robustness, but not extremely good rate of convergence) and a special estimate designed to perform well on a given set T of densities. The special estimate can often be thought of as a parametric estimate. The selection we propose is based upon the L1 distance oetween both estimates. Among otner things, we show how one should proceed to insure that the selected estimate matches the special estimate's rate on T, and that it matches the nonparametric estimate's rate off T

With the increasing proportion of wind power access in southern China, the impact of the randomness and volatility of wind power generation on power system operation cannot be ignored. Therefore, it is necessary to study the characteristics and random distribution of wind power generation in southern China. Firstly, the influence of time and geographical factors on wind power generation characteristics is analyzed. Secondly, an improved non-parametric kernel density estimation method considering the optimal bandwidth selection of kernel function is proposed to establish the random distribution models of wind power generation in five southern provinces under multiple time scales. The evaluation index system of model fitting effect is also established. Thirdly, the effectiveness of the improved non-parametric kernel density estimation method proposed is verified by comparing with two parameter estimation methods based on typical empirical distribution function. Finally, the differences of probability characteristics of wind power generation in different provinces of southern China are analyzed by daily, quarterly and annual time scales, which can play an auxiliary role in decision-making of power system dispatching, power planning, site selection and capacity determination of wind farms.