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Nonparametric estimation of convergence of interest rates: Effects on bond pricing

✍ Scribed by Teresa Corzo Santamaría; Javier Gómez Biscarri


Book ID
106276269
Publisher
Springer
Year
2005
Tongue
English
Weight
468 KB
Volume
7
Category
Article
ISSN
1435-5469

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Convergence rates in nonparametric estim
✍ Amparo Baı́llo; Juan A. Cuesta-Albertos; Antonio Cuevas 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 125 KB

A level set of type {f6c} (where f is a density on R d and c is a positive value) can be estimated by its empirical version { f n 6c}, where f n denotes a nonparametric (kernel) density estimator. We analyze, from two di erent points of view, the asymptotic behavior of the probability content of { f