Institute of Information Theory and Automation

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Modern nonparametric methods in econometrics

Agency: 
GACR
Identification Code: 
GA21-05325S
Start: 
2021-01-01
End: 
2023-12-31
Project Focus: 
teoretický
Project Type (EU): 
other
Abstract: 
We want to conduct some meaningful and fruitful research into multivariate nonparametric econometrics. In particular, we intend (a) to come up with an exchangeability test based on integrated rank scores, (b) to come up with tests based on new multivariate ranks and signs, (c) to describe and model multivariate volatility by means of quantile regression for vector responses, (d) to introduce new tolerance intervals and tolerance interval regression as a complement to standard quantile regression, all that with applications to finance in mind.
Publications ÚTIA: 
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2021-07-30 11:57