13 citations · 36 across the 12 of their papers we have counts for
4 papers · 1 filter
Estimating a distribution function for discrete data subject to random truncation with an application to structured finance
Jackson P. Lautier, Vladimir Pozdnyakov, Jun Yan
Proper econometric analysis should be informed by data structure. Many forms of financial data are recorded in discrete-time and relate to products of a finite term. If the data co…
Can Tests for Jumps be Viewed as Tests for Clusters?
Karthik Bharath, Vladimir Pozdnyakov, Dipak. K. Dey
We investigate the utility in employing asymptotic results related to a clustering criterion to the problem of testing for the presence of jumps in financial models. We consider th…
Asymptotics of a Clustering Criterion for Smooth Distributions
Karthik Bharath, Vladimir Pozdnyakov, Dipak K Dey
We develop a clustering framework for observations from a population with a smooth probability distribution function and derive its asymptotic properties. A clustering criterion ba…
Asymptotics of the Empirical Cross-over Function
Karthik Bharath, Vladimir Pozdnyakov, Dipak Dey
We consider a combination of heavily trimmed sums and sample quantiles which arises when examining properties of clustering criteria and prove limit theorems. The object of interes…