2 papers
math.ST2016
Specification testing in nonparametric AR-ARCH models
Marie Hušková, Natalie Neumeyer, Tobias Niebuhr +1
In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonpa…
stat.ME2016
Profiting from correlations: Adjusted estimators for categorical data
Tobias Niebuhr, Mathias Trabs
To take sample biases and skewness in the observations into account, practitioners frequently weight their observations according to some marginal distribution. The present paper d…