ERN: Nonparametric Methods (Topic)最新文献_第6页

Nonparametric Kernel Estimation of Evolutionary Autoregressive Processes 演化自回归过程的非参数核估计

ERN: Nonparametric Methods (Topic) Pub Date : 2012-11-30 DOI: 10.18452/3671

Woocheol Kim

引用次数: 7

The Recursive Partitioning Algorithm (RPA): A Nonparametric Classification System 递归划分算法(RPA):一种非参数分类系统

ERN: Nonparametric Methods (Topic) Pub Date : 2012-09-14 DOI: 10.2139/ssrn.2146964

L. J. Perera, R. B. Kerr, H. Kimura, F. Lima

{"title":"The Recursive Partitioning Algorithm (RPA): A Nonparametric Classification System","authors":"L. J. Perera, R. B. Kerr, H. Kimura, F. Lima","doi":"10.2139/ssrn.2146964","DOIUrl":"https://doi.org/10.2139/ssrn.2146964","url":null,"abstract":"Leo Breiman (Breiman et al., 1984, 1998) was a statistician who was fond of practical applications, and this led him to develop several original studies. Based on the work begun by Friedman (1977), he developed a very accurate classification system, without the need for statistical assumptions, since it is a nonparametric methodology. The aim of this study is to present the work of Breiman known as the Recursive Partitioning Algorithm. The RPA will be introduced as a nonparametric approach to credit analysis, allowing for the incorporation of the costs of misclassifications. Several studies, such as Novak and LaDue (1999) and Marais, Patais and Wolfson (1984), have shown its applicability in the analysis and granting of credit. A long road has been traveled from the early work of Friedman (1977) to the CART model developed by Steinberg and Golovnya (2006). This paper – apart from presenting the fundamentals and possibilities for use of the RPA – seeks to show the effectiveness of the results attained through a comparison with a parametric model, the Discriminant Analysis, considered the most traditional and classical method of analysis. The results show the RPA to be a superior technique, as well as a technique of easy intuition by analysts. The conclusion of the paper confirms that the RPA system – little known and discussed by academics and market professionals – is a powerful classificatory tool, with the advantage of being nonparametric.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2012-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78007176","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Model Specification between Parametric and Nonparametric Cointegration 参数协整与非参数协整之间的模型规范

ERN: Nonparametric Methods (Topic) Pub Date : 2012-09-03 DOI: 10.2139/ssrn.2140996

Jiti Gao

引用次数: 11

Beyond Engel’s Law - Pursuing an Engelian Approach to Welfare: A Cross Country Analysis 超越恩格尔定律——追求一种恩格尔式的福利方法:一项跨国分析

ERN: Nonparametric Methods (Topic) Pub Date : 2012-07-10 DOI: 10.2139/ssrn.2103066

Wolfhard Kaus

引用次数: 5

Testing for Nonparametric Identification of Causal Effects in the Presence of a Quasi-Instrument 准仪器存在下因果效应非参数辨识的检验

ERN: Nonparametric Methods (Topic) Pub Date : 2012-07-07 DOI: 10.2139/ssrn.2101979

X. de Luna, P. Johansson

引用次数: 15

Testing Parametric Models Using Anchoring Vignettes Against Nonparametric Alternatives 使用锚定小点对非参数选择进行参数模型测试

ERN: Nonparametric Methods (Topic) Pub Date : 2012-02-01 DOI: 10.2139/ssrn.2046907

A. van Soest, H. Vonková

引用次数: 2

Does Cluster Condition the Small and Medium Enterprises Competitive Advantage? The Case of Vigo and Metropolitan Area 集群对中小企业竞争优势有影响吗?维戈和都市区案例

ERN: Nonparametric Methods (Topic) Pub Date : 2012-01-24 DOI: 10.2139/ssrn.1991117

Carlos M. Fernández-Jardón

引用次数: 0

Efficiency Analysis of Commercial Banks in Pakistan – A Non Parametric Approach 巴基斯坦商业银行效率分析——一个非参数方法

ERN: Nonparametric Methods (Topic) Pub Date : 2011-11-15 DOI: 10.2139/ssrn.1960063

Saba Z. Hayat

{"title":"Efficiency Analysis of Commercial Banks in Pakistan – A Non Parametric Approach","authors":"Saba Z. Hayat","doi":"10.2139/ssrn.1960063","DOIUrl":"https://doi.org/10.2139/ssrn.1960063","url":null,"abstract":"This study investigates the technical and profit efficiency of commercial banks in Pakistan. Data Envelopment Analysis is used as a preferred methodology to accurately determine profit and technical efficiency. The constant return to scale model is employed and Excel Solver is used to give scores which highlights the efficiency differences across three ownership categories. The study identifies loans and interest income as outputs and deposits and interest expense as the inputs to measure the technical efficiency. It identifies loan loss provision as a factor causing deviation in profit efficiency from the technical efficiency. Our study suggests that the profit efficiency improves over the years and technical efficiency is also rising in 2009. Large banks are relatively more efficient than small banks and private banks have better efficiency scores. The results can be generalized for commercial banks across different ownership structures and size but this generalization doesn’t spread across the Islamic banking sector due to the choice of DMUs which include no Islamic bank. According to the policy maker’s perspective, the study establishes the economic importance of banking industry in the country.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88304006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Estimating the Diffusion Coefficient Function for a Diversified World Stock Index 多元世界股票指数的扩散系数函数估计

ERN: Nonparametric Methods (Topic) Pub Date : 2011-09-18 DOI: 10.2139/ssrn.2157779

Katja Ignatieva, E. Platen

引用次数: 14

Connected Substitutes and Invertibility of Demand 互联替代与需求可逆性

ERN: Nonparametric Methods (Topic) Pub Date : 2011-07-01 DOI: 10.2139/ssrn.2111382

Steven T. Berry, Amit Gandhi, Philip A. Haile

{"title":"Connected Substitutes and Invertibility of Demand","authors":"Steven T. Berry, Amit Gandhi, Philip A. Haile","doi":"10.2139/ssrn.2111382","DOIUrl":"https://doi.org/10.2139/ssrn.2111382","url":null,"abstract":"We consider the invertibility (injectivity) of a nonparametric nonseparable demand system. Invertibility of demand is important in several contexts, including identification of demand, estimation of demand, testing of revealed preference, and economic theory exploiting existence of an inverse demand function or (in an exchange economy) uniqueness of Walrasian equilibrium prices. We introduce the notion of \"connected substitutes\" and show that this structure is sufficient for invertibility. The connected substitutes conditions require weak substitution between all goods and sufficient strict substitution to necessitate treating them in a single demand system. The connected substitutes conditions have transparent economic interpretation, are easily checked, and are satisfied in many standard models. They need only hold under some transformation of demand and can accommodate many models in which goods are complements. They allow one to show invertibility without strict gross substitutes, functional form restrictions, smoothness assumptions, or strong domain restrictions. When the restriction to weak substitutes is maintained, our sufficient conditions are also \"nearly necessary\" for even local invertibility.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75843242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 152