Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations

FAME Research Paper No. 144

39 Pages Posted: 1 Jun 2005

See all articles by Antonio Cosma

Antonio Cosma

Université du Luxembourg

O. Scaillet

University of Geneva GSEM and GFRI; Swiss Finance Institute; University of Geneva - Research Center for Statistics

Rainer von Sachs

Catholic University of Louvain - Department of Statistics

Date Written: May 2005

Abstract

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one, and allow for low spatial regularity of the underlying functions. As important application, we discuss conditional quantile estimation for financial time series data. We show that our methodology can be easily implemented with B-splines, and performs well in a finite sample situation, through Monte Carlo simulations.

Keywords: Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.

JEL Classification: C14, C15, C32

Suggested Citation

Cosma, Antonio and Scaillet, Olivier and von Sachs, Rainer, Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations (May 2005). FAME Research Paper No. 144, Available at SSRN: https://ssrn.com/abstract=731649 or http://dx.doi.org/10.2139/ssrn.731649

Antonio Cosma (Contact Author)

Université du Luxembourg ( email )

162a, avenue de la Faïencerie
Luxembourg, L-1511
Luxembourg
+352 46 66 44 6763 (Phone)
+352 46 66 44 6835 (Fax)

Olivier Scaillet

University of Geneva GSEM and GFRI ( email )

40 Boulevard du Pont d'Arve
Geneva 4, Geneva 1211
Switzerland
+ 41 22 379 88 16 (Phone)
+41 22 389 81 04 (Fax)

HOME PAGE: http://www.scaillet.ch

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Geneva - Research Center for Statistics

Geneva
Switzerland

Rainer Von Sachs

Catholic University of Louvain - Department of Statistics ( email )

Voie du Roman Pay
34 B-1348 Louvain-La-Neuve, 1348
Belgium

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