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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
Convergence of Self-Tuning Regulators under Conditional Heteroscedastic Noises with Unknown High-Frequency Gain
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 15
作者:
Zhang, Yaqi
;
Guo, Lei
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  |  
浏览/下载:5/0
  |  
提交时间:2021/01/14
ARCH model
conditional heteroscedasticity
convergence
self-tuning regulator
weighted least-squares algorithm
Study on the Sensitive Factors of Structural Nonlinear Damage Based on the Innovation Series
期刊论文
INTERNATIONAL JOURNAL OF STRUCTURAL STABILITY AND DYNAMICS, 2020, 卷号: 20, 期号: 10, 页码: 35
作者:
Chen, Liujie
;
Mei, Yahui
;
Fu, Jiyang
;
Ng, Ching Tai
;
Cui, Zhen
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2021/05/25
Nonlinear damage identification
nonlinear damage-sensitive factor
innovation series
auto-regressive conditional heteroscedasticity
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:7/0
  |  
提交时间:2020/09/23
Heteroscedasticity-robust
model averaging
multiplicative heteroscedasticity
plug-in
squared prediction risk
Heteroscedastic and symmetric efficiency for hydrological model evaluation criteria
期刊论文
HYDROLOGY RESEARCH, 2019, 卷号: 50, 期号: 5, 页码: 1189-1201
作者:
Zhan, Chesheng
;
Han, Jian
;
Zou, Lei
;
Sun, Fubao
;
Wang, Tiejun
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  |  
浏览/下载:0/0
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提交时间:2020/05/19
conceptual hydrological model
goodness of fit
heteroscedasticity
metric space
model performance assessment
A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model
期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2019, 卷号: 114, 期号: 526, 页码: 882-892
作者:
Zhu, Rong
;
Wan, Alan T. K.
;
Zhang, Xinyu
;
Zou, Guohua
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  |  
浏览/下载:46/0
  |  
提交时间:2020/01/10
Asymptotic optimality
Heteroscedasticity
Mallows criterion
Model averaging
Varying-coefficient partially linear model
A simple and trustworthy asymptotic t test in difference-in-differences regressions
期刊论文
JOURNAL OF ECONOMETRICS, 2019, 卷号: 210, 期号: 2
作者:
Liu, Cheng
;
Sun, Yixiao
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浏览/下载:17/0
  |  
提交时间:2019/12/05
Basis functions
Difference-in-differences
Fixed-smoothing asymptotics
Heteroscedasticity and autocorrelation
Student's t distribution
t test
A simple and trustworthy asymptotic t test in difference-in-differences regressions
期刊论文
JOURNAL OF ECONOMETRICS, 2019, 卷号: 210, 期号: 2
作者:
Liu, Cheng
;
Sun, Yixiao
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/05
Basis functions
Difference-in-differences
Fixed-smoothing asymptotics
Heteroscedasticity and autocorrelation
Student's t distribution
t test
Hybrid quantile regression estimation for time series models with conditional heteroscedasticity
期刊论文
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2018, 卷号: 80, 期号: 5, 页码: 975-993
作者:
Zheng, Yao
;
Zhu, Qianqian
;
Li, Guodong
;
Xiao, Zhijie
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/08/22
Bootstrap method
Conditional quantile
Generalized auto-regressive conditional heteroscedasticity
Non-linear time series
Quantile regression
Analysis of censored data under heteroscedastic transformation regression models with unknown transformation function
期刊论文
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2018, 卷号: 46, 期号: 2, 页码: 233-245
作者:
Wang, Qihua
;
Wang, Xuan
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  |  
浏览/下载:15/0
  |  
提交时间:2018/07/30
Censored data
heteroscedasticity
transformation regression model
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