Under a single-index regression assumption, we introduce a new semiparametric procedure to estimate a conditional density of a censored response. The regression model can be seen as a generalization ...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
Exponential Fourier Densities on SO(3) and Optimal Estimation and Detection for Rotational Processes
A new representation of a probability density function on the three dimensional rotation group, SO(3) is presented, which generalizes the exponential Fourier densities on the circle. As in the circle ...
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