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A non parametric ACD model

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Table 1: Evolution of the GCV-selected bandwidth in an estimation of a series of 5000simulated nonlinear and linear ACD observations.
Table 3: Evolution of MSE and MAE for 50 series of 1000, 5000 and 10000 simulatednonlinear and linear ACD observations.
Figure 1: Scatterplot of a typical xψ domain
Figure 2: Nonlinear ACD, simulated conditional mean (black, solid), parametric estimate(blue, dashed) and non parametric estimate (red, dotted).
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