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科研机构
数学与系统科学研究... [41]
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期刊论文 [41]
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2022 [3]
2021 [2]
2020 [3]
2019 [1]
2017 [6]
2016 [2]
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专题:数学与系统科学研究院
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A new method for estimating Sharpe ratio function via local maximum likelihood
期刊论文
JOURNAL OF APPLIED STATISTICS, 2022, 页码: 19
作者:
Xu, Wenchao
;
Lin, Hongmei
;
Tong, Tiejun
;
Zhang, Riquan
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2023/02/07
Direct method
heteroscedastic non-parametric regression
joint limiting distribution
local polynomial smoothing
Sharpe ratio function
Confidence intervals for zero-inflated gamma distribution
期刊论文
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2022, 页码: 18
作者:
Wang, Xiao
;
Li, Min
;
Sun, Weina
;
Gao, Zheng
;
Li, Xinmin
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2023/02/07
Confidence interval
Fiducial inference
Method of variance of estimates recovery (MOVER)
Parametric bootstrap
Zero-inflated gamma distribution
Asset selection based on high frequency Sharpe ratio
期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
作者:
Wang, Christina Dan
;
Chen, Zhao
;
Lian, Yimin
;
Chen, Min
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  |  
浏览/下载:21/0
  |  
提交时间:2022/04/29
Asset selection
High frequency Sharpe ratio
Ultrahigh dimensional
Serial correlation
Sure screening property
Direct local linear estimation for Sharpe ratio function
期刊论文
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2021, 页码: 23
作者:
Lin, Hongmei
;
Tong, Tiejun
;
Wang, Yuedong
;
Xu, Wenchao
;
Zhang, Riquan
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2022/04/02
Heteroscedasticity
local likelihood estimation
local linear regression
nonparametric regression
Sharpe ratio function
KALMAN-BUCY FILTERING AND MINIMUM MEAN SQUARE ESTIMATOR UNDER UNCERTAINTY
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 卷号: 59, 期号: 4, 页码: 2669-2692
作者:
Ji, Shaolin
;
Kong, Chuiliu
;
Sun, Chuanfeng
;
Zhang, Ji-Feng
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  |  
浏览/下载:3/0
  |  
提交时间:2022/04/02
Kalman-Bucy filtering
minimum mean square estimator
drift uncertainty
convex operator
minimax theorem
backward stochastic differential equation
Model averaging in a multiplicative heteroscedastic model
期刊论文
ECONOMETRIC REVIEWS, 2020, 页码: 25
作者:
Zhao, Shangwei
;
Ma, Yanyuan
;
Wan, Alan T. K.
;
Zhang, Xinyu
;
Wang, Shouyang
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2020/09/23
Heteroscedasticity-robust
model averaging
multiplicative heteroscedasticity
plug-in
squared prediction risk
Comment on "Aging Population, Retirement, and Risk Taking"
期刊论文
MANAGEMENT SCIENCE, 2020, 卷号: 66, 期号: 6, 页码: 2792-2795
作者:
Huang, Rachel J.
;
Tzeng, Larry Y.
;
Wang, Jr-Yan
;
Zhao, Lin
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  |  
浏览/下载:18/0
  |  
提交时间:2020/09/23
asymptotic stochastic dominance
maximum geometric mean strategy
long-run investment
Quantum tomography by regularized linear regressions
期刊论文
AUTOMATICA, 2020, 卷号: 114, 页码: 15
作者:
Mu, Biqiang
;
Qi, Hongsheng
;
Petersen, Ian R.
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  |  
浏览/下载:24/0
  |  
提交时间:2020/05/24
Quantum state tomography
Linear regression
Regularization
ADDITIVE MEAN RESIDUAL LIFE MODEL WITH LATENT VARIABLES UNDER RIGHT CENSORING
期刊论文
STATISTICA SINICA, 2019, 卷号: 29, 期号: 1, 页码: 47-66
作者:
He, Haijin
;
Pan, Deng
;
Song, Xinyuan
;
Sun, Liuquan
收藏
  |  
浏览/下载:56/0
  |  
提交时间:2019/03/05
Borrow-strength estimation
corrected estimating equations
distribution-free factor analysis
latent variables
mean residual life function
model checking
Mean-risk analysis of wholesale price contracts with stochastic price-dependent demand
期刊论文
ANNALS OF OPERATIONS RESEARCH, 2017, 卷号: 257, 期号: 1-2, 页码: 491-518
作者:
Zhao, Yingxue
;
Choi, Tsan-Ming
;
Cheng, T. C. E.
;
Wang, Shouyang
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2018/07/30
Supply chain management
Contract risk
Wholesale price contract
Stochastic price-dependent demand
Risk aversion
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