Improved parameter estimation of Time Dependent Kernel Density by using Artificial Neural Networks
Time Dependent Kernel Density Estimation (TDKDE) used in modelling time-varying phenomenon requires two input parameters known as bandwidth and discount to perform. A Maximum Likelihood Estimation (MLE) procedure is commonly used to estimate these parameters in a set of data but this method has a we...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2018-09-01
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| Series: | Journal of Finance and Data Science |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918817300636 |