A hybrid nonparametric multivariate density estimator with applications to risk management

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2024-04-17 DOI:10.1080/07474938.2024.2334119

Juan Lin, Ximing Wu

引用次数: 0

Abstract

Multivariate density estimation is plagued by the curse of dimensionality in theory and practice. We propose a hybrid density estimator of a multivariate density f that combines the strengths of th...

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应用于风险管理的混合非参数多变量密度估算器

多变量密度估计在理论和实践中都受到维数诅咒的困扰。我们提出了一种多变量密度 f 的混合密度估计器，它结合了多变量密度估计器和多元密度估计器的优点。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.