BOOTSTRAP UNIFORM CONFIDENCE BANDS FOR A LOCAL LINEAR NONPARAMETRIC ESTIMATOR AND APPLICATIONS TO FINANCIAL RISK MANAGEMENT

Ananda, O. K.; Mwita, P. N.

dc.contributor.author	Ananda, O. K.
dc.contributor.author	Mwita, P. N.
dc.date.accessioned	2017-04-21T08:34:10Z
dc.date.available	2017-04-21T08:34:10Z
dc.date.issued	2017-04-21
dc.identifier.isbn	9966 923 28
dc.identifier.uri	http://journals.jkuat.ac.ke/index.php/jscp/index
dc.identifier.uri	http://hdl.handle.net/123456789/2942
dc.description.abstract	This paper considers the problem of bootstrapping a local linear estimator in conditional quantile estimation of a financial time series assuming independent and identically distributed errors. A nonparametric regression bootstrap generating process is estimated, then bootstrap confidence bands fitted to the quantile estimates. Under appropriate assumptions, the local linear bootstrap estimator is known to be consistent.	en_US
dc.description.sponsorship	JKUAT	en_US
dc.language.iso	en	en_US
dc.publisher	JKUAT	en_US
dc.relation.ispartofseries	Scientific Conference Proceedings;2010
dc.subject	Quantile estimation	en_US
dc.subject	bootstrap	en_US
dc.subject	local linear	en_US
dc.subject	consistency	en_US
dc.title	BOOTSTRAP UNIFORM CONFIDENCE BANDS FOR A LOCAL LINEAR NONPARAMETRIC ESTIMATOR AND APPLICATIONS TO FINANCIAL RISK MANAGEMENT	en_US
dc.type	Article	en_US