KernelDensity1D: One-Dimensional Kernel Estimation

In MarcGumowski/dysefamor: Estimation Algorithm of Dynamic Semiparametric Factor Model

Description

This function computes the one-dimensional kernel estimation needed for the DSFM1D funtion to work. It is using the QuarticKernel1D function.

Usage

KernelDensity1D(y, I, J, x1, u, U, h)

Arguments

y	a numeric matrix of the data.
I	the total number of rows in y.
J	the total number of columns in y.
x1	a numeric vector of the covariates.
u	a numeric vector of the estimation grid.
U	the length of u.
h	a numeric vector of the bandwidth.

Value

It returns \hat{p}_t(u) and \hat{q}_t(u).

References

Fengler, Matthias R, Wolfgang K Haerdle, and Enno Mammen (2007). "A Semiparametric Factor Model for Implied Volatility Surface Dynamics". In: Journal of Financial Econometrics 5.2, pp. 189-218.

See Also

Other kernel.functions: KernelDensity2D, NormalKernel1D, QuarticKernel1D

MarcGumowski/dysefamor documentation built on May 7, 2019, 2:47 p.m.