Several new tests are proposed for examining the adequacy of a family of parametric models against large nonparametric alternatives. These tests formally check if the bias vector of residuals from ...

Bayesian nonparametric mixture models represent a powerful statistical framework that extends traditional mixture modelling by allowing the number of mixture components to be inferred from the data ...

Mitchell Grant is a self-taught investor with over 5 years of experience as a financial trader. He is a financial content strategist and creative content editor. Timothy Li is a consultant, accountant ...

where y i is the ith observed response value, x i is the ith vector of explanatory values, and 's are uncorrelated random variables with zero mean and a common variance. If the form of the regression ...

We present a non-parametric method for calibrating jump–diffusion and, more generally, exponential Lévy models to a finite set of observed option prices. We show that the usual formulations of the ...