67 citations · 69 across the 4 of their papers we have counts for
4 papers
Estimation of distribution functions, their jumps and interval probabilities under measurement error
Kairat Mynbaev, Carlos Martins-Filho, Chad Brown
We consider the classical additive measurement-error model , where the latent random variable has unknown distribution and the error has a known distribution.…
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Carlos Martins-Filho, Feng Yao, Maximo Torero
We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distributions of a series of returns o…
Reducing bias in nonparametric density estimation via bandwidth dependent kernels: view
Kairat Mynbaev, Carlos Martins-Filho
We define a new bandwidth-dependent kernel density estimator that improves existing convergence rates for the bias, and preserves that of the variation, when the error is measured…
On Asymptotic Normality of the Local Polynomial Regression Estimator with Stochastic Bandwidths
Carlos Martins-Filho, Paulo Saraiva
Nonparametric density and regression estimators commonly depend on a bandwidth. The asymptotic properties of these estimators have been widely studied when bandwidths are nonstocha…