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Author: Jens Perch Nielsen
3 results found.
Nonparametric Regression with a Latent Time Series
Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen
In this paper we investigate a class of semiparametric models for panel datasets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecast...Read more...
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
Oliver Linton, Jens Perch Nielsen and Sara van de Geer
We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models. We work with a full counting process framework that allows ...Read more...
Yield Curve Estimation by Kernel Smoothing Methods
Oliver Linton, Enno Mammen, Jens Perch Nielsen and C Tanggaard
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for ...Read more...