Smoothed Conditional Scale Function Estimation in AR(1)-ARCH(1) Processes

The estimation of the Smoothed Conditional Scale Function for time series was taken out under the conditional heteroscedastic innovations by imitating the kernel smoothing in nonparametric QAR-QARCH scheme. The estimation was taken out based on the quantile regression methodology proposed by Koenker and Bassett. And the proof of the asymptotic properties of the Conditional Scale Function estimator for this type of process was given and its consistency was shown

Semiparametric estimation of conditional quantiles for time series, with applications in finance

The estimation of conditional quantiles has become an increasingly important issue in insurance and financial risk management. The stylized facts of financial time series data has rendered direct applications of extreme value theory methodologies, in the estimation of extreme conditional quantiles, inappropriate. On the other hand, quantile regression based procedures work well in nonextreme parts of a given data but breaks down in extreme probability levels. In order to solve this problem, we combine nonparametric regressions for time series and extreme value theory approaches in the estimation of extreme conditional quantiles for financial time series. To do so, a class of time series models that is similar to nonparametric AR-(G)ARCH models but which does not depend on distributional and moments assumptions, is introduced. We discuss estimation procedures for the nonextreme levels using the models and consider the estimates obtained by inverting conditional distribution estimators and by direct estimation using Koenker-Basset (1978) version for kernels. Under some regularity conditions, the asymptotic normality and uniform convergence, with rates, of the conditional quantile estimator for strong mixing time series, are established. We study the estimation of scale function in the introduced models using similar procedures and show that under some regularity conditions, the scale estimate is weakly consistent and asymptotically normal. The application of introduced models in the estimation of extreme conditional quantiles is achieved by augmenting them with methods in extreme value theory. It is shown that the overal extreme conditional quantiles estimator is consistent. A Monte Carlo study is carried out to illustrate the good performance of the estimates and real data are used to demonstrate the estimation of Value-at-Risk and conditional expected shortfall in financial risk management and their multiperiod predictions discussed

Semiparametric estimation of conditional quantiles for time series, with applications in finance

The estimation of conditional quantiles has become an increasingly important issue in insurance and financial risk management. The stylized facts of financial time series data has rendered direct applications of extreme value theory methodologies, in the estimation of extreme conditional quantiles, inappropriate. On the other hand, quantile regression based procedures work well in nonextreme parts of a given data but breaks down in extreme probability levels. In order to solve this problem, we combine nonparametric regressions for time series and extreme value theory approaches in the estimation of extreme conditional quantiles for financial time series. To do so, a class of time series models that is similar to nonparametric AR-(G)ARCH models but which does not depend on distributional and moments assumptions, is introduced. We discuss estimation procedures for the nonextreme levels using the models and consider the estimates obtained by inverting conditional distribution estimators and by direct estimation using Koenker-Basset (1978) version for kernels. Under some regularity conditions, the asymptotic normality and uniform convergence, with rates, of the conditional quantile estimator for strong mixing time series, are established. We study the estimation of scale function in the introduced models using similar procedures and show that under some regularity conditions, the scale estimate is weakly consistent and asymptotically normal. The application of introduced models in the estimation of extreme conditional quantiles is achieved by augmenting them with methods in extreme value theory. It is shown that the overal extreme conditional quantiles estimator is consistent. A Monte Carlo study is carried out to illustrate the good performance of the estimates and real data are used to demonstrate the estimation of Value-at-Risk and conditional expected shortfall in financial risk management and their multiperiod predictions discussed

NONPARAMETRIC MIXED RATIO ESTIMATOR FOR A FINITE POPULATION TOTAL IN STRATIFIED SAMPLING

We propose a nonparametric regression approach to the estimation of a finite population total in model based frameworks in the case of stratified sampling. Similar work has been done, by Nadaraya and Watson (1964), Hansen et al (1983), and Breidt and Opsomer (2000). Our point of departure from these works is at selection of the sampling weights within every stratum, where we treat the individual strata as compact Abelian groups and demonstrate that the resulting proposed estimator is easier to compute. We also make use of mixed ratios but this time not in the contexts of simple random sampling or two stage cluster sampling, but in stratified sampling schemes, where a void still exists

PREDICTION OF THE LIKELIHOOD OF HOUSEHOLDS FOOD SECURITY IN THE LAKE VICTORIA REGION OF KENYA

This paper considers the modeling and prediction of  households food security status using a sample of households in the  Lake Victoria region of Kenya. A priori expected food security  factors and their measurements are given. A binary logistic regression model  derived was fitted to thirteen priori expected factors. Analysis of the marginal effects revealed that effecting the use of the seven significant determinants: farmland size, per capita aggregate production, household size, gender of household head, use of fertilizer, use of pesticide/herbicide and education of household head,  increase the likelihood of a household being food secure. Finally, interpretations  of   predicted conditional probabilities, following improvement of significant determinants,  are given