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Year of publication
Subject
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Central limit theorem 151 central limit theorem 91 Central Limit Theorem 37 Theorie 35 Theory 33 Estimation theory 29 Schätztheorie 29 Zentraler Grenzwertsatz 22 Zeitreihenanalyse 18 Time series analysis 17 High-Frequency Data 15 Statistical distribution 13 Statistische Verteilung 13 Stochastic process 13 Stochastischer Prozess 13 Probability theory 12 Volatility 12 Wahrscheinlichkeitsrechnung 12 Bipower Variation 11 Semimartingale Theory 11 Volatilität 11 Stable convergence 10 Martingale 9 Statistical test 9 Statistischer Test 9 Risiko 8 Risk 8 Estimation 7 High-frequency data 7 Law of large numbers 7 Microstructure Noise 7 Portfolio selection 7 Portfolio-Management 7 Schätzung 7 Unit roots 7 law of large numbers 7 stable convergence 7 Bootstrap approach 6 Bootstrap-Verfahren 6 Diffusion Models 6
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Online availability
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Undetermined 139 Free 118 CC license 2
Type of publication
All
Article 157 Book / Working Paper 126
Type of publication (narrower categories)
All
Article in journal 46 Aufsatz in Zeitschrift 46 Working Paper 38 Graue Literatur 26 Non-commercial literature 26 Arbeitspapier 24 Article 3 research-article 2 Research Report 1 Systematic review 1 review-article 1 Übersichtsarbeit 1
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Language
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Undetermined 150 English 130 German 2 Hungarian 1
Author
All
Podolskij, Mark 33 Vetter, Mathias 10 Jacod, Jean 8 Kinnebrock, Silja 8 Berti, Patrizia 7 Crimaldi, Irene 7 Pratelli, Luca 7 Rigo, Pietro 7 Robinson, Peter M. 7 Chernozhukov, Victor 6 Christensen, Kim 6 Gao, Jiti 6 Gupta, Abhimanyu 6 Todorov, Viktor 6 Chetverikov, Denis 5 Kato, Kengo 5 Pan, Guangming 5 Yang, Yanrong 5 Barndorff-Nielsen, Ole E. 4 Corcuera, José Manuel 4 Epstein, Larry G. 4 He, Changli 4 Liu, Zhi 4 Sandberg, Rickard 4 Andersen, Torben 3 Da Silva, Sergio 3 Figueiredo, Annibal 3 Gleria, Iram 3 Jing, Bingyi 3 Kaido, Hiroaki 3 Kourogenis, Nikolaos 3 Matsushita, Raul 3 Mynbaev, Kairat 3 Pakkanen, Mikko S. 3 Pittis, Nikitas 3 Prucha, Ingmar R. 3 Schröder, Carsten 3 Seo, Kyoungwon 3 Thyrsgaard, Martin 3 Tzavalis, Elias 3
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Institution
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School of Economics and Management, University of Aarhus 18 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 8 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 5 International Monetary Fund (IMF) 4 London School of Economics (LSE) 4 Department of Econometrics and Business Statistics, Monash Business School 3 Department of Economics, Oxford University 3 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 3 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 3 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 3 Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 2 Duke University, Department of Economics 2 EconWPA 2 Finance Research Centre, Oxford University 2 HAL 2 Business School, University of Exeter 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Cowles Foundation for Research in Economics, Yale University 1 Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia 1 European Association of Agricultural Economists - EAAE 1 Faculteit Economie en Bedrijfswetenschappen, Hogeschool-Universiteit Brussel (HUBrussel) 1 Forschungsbasierte Infrastruktureinrichtung "Sozio-oekonomisches Panel (SOEP)", DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Institute of Economic Research, Hitotsubashi University 1 International Centre for Economic Research (ICER) 1 Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne) 1 National Bureau of Economic Research 1 School of Economics and Finance, Queen Mary 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 University of Bonn, Germany 1 University of Maryland, Department of Economics 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Statistics & Probability Letters 22 CREATES Research Papers 18 Annals of the Institute of Statistical Mathematics 16 Stochastic Processes and their Applications 16 Statistical Inference for Stochastic Processes 14 Journal of econometrics 9 MPRA Paper 8 Physica A: Statistical Mechanics and its Applications 8 CEMMAP working papers / Centre for Microdata Methods and Practice 6 Journal of Multivariate Analysis 6 Quaderni di Dipartimento 5 SSE/EFI Working Paper Series in Economics and Finance 5 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 5 IMF Working Papers 4 Journal of Econometrics 4 LSE Research Online Documents on Economics 4 Operations research 4 Technical Report 4 Economics Series Working Papers / Department of Economics, Oxford University 3 Management science : journal of the Institute for Operations Research and the Management Sciences 3 Monash Econometrics and Business Statistics Working Papers 3 STICERD - Econometrics Paper Series 3 Working paper / Department of Econometrics and Business Statistics, Monash University 3 cemmap working paper 3 Discussion paper / Central Bureau voor de Statistiek 2 Econometric Reviews 2 Economic Theory 2 Finance 2 Forschung am ivwKöln 2 Insurance / Mathematics & economics 2 Journal of Informetrics 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Journal of financial econometrics 2 Mathematics of operations research 2 Metrika 2 OFRC Working Papers Series 2 Post-Print / HAL 2 Quaderni del Dipartimento 2 SOEPpapers on Multidisciplinary Panel Data Research 2 Scandinavian actuarial journal 2
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Source
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RePEc 185 ECONIS (ZBW) 77 EconStor 18 Other ZBW resources 3
Showing 1 - 50 of 283
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The asymptotics of price and strategy in the buyer's bid double auction
Williams, Steven R.; Zachariadis, Konstantinos E. - In: Review of economic design 28 (2024) 1, pp. 151-187
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014525144
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Long-horizon asset and portfolio returns revisited: Evidence from US markets
Hoang, Tri M. - In: Cogent Business & Management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014527473
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Statistical inference for hicks-moorsteen productivity indices
Simar, Léopold; Zelenyuk, Valentin; Zhao, Shirong - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066511
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Long-horizon asset and portfolio returns revisited : evidence from US markets
Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014503297
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How to predict the performance of NBA draft prospects
Czasonis, Megan; Kritzman, Mark; Kulasekaran, Cel; … - 2023 - This version November 27, 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014464533
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Monotone measure-preserving maps in Hilbert spaces : existence, uniqueness, and stability
González-Sanz, Alberto; Hallin, Marc; Sen, Bodhisattva - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014283724
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Direction identification and minimax estimation by generalized eigenvalue problem in high dimensional sparse regression
Sauvenier, Mathieu; Van Bellegem, Sébastien - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014228368
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Portfolio Construction When Regimes are Ambiguous
Kritzman, Mark; Kulasekaran, Cel; Turkington, David - 2023
Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014348956
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Gamma, Gaussian and Poisson approximations for random sums using size-biased and generalized zero-biased couplings
Daly, Fraser - In: Scandinavian actuarial journal 2022 (2022) 6, pp. 471-487
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013370710
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Adaptive importance sampling for efficient stochastic root finding and quantile estimation
He, Shengyi; Jiang, Guangxin; Lam, Henry; Fu, Michael - In: Operations research 72 (2024) 6, pp. 2612-2630
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371528
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Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo; Livieri, Giulia; Mancino, Maria Elvira; … - In: Journal of financial econometrics 22 (2024) 1, pp. 252-296
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526318
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Die quantitative Risikobewertung bei einem Portfolio von dichotomen Risiken mithilfe des zentralen Grenzwertsatzes
Knobloch, Ralf - 2021
In den Wirtschaftswissenschaften werden Risiken häufig mit dichotomen Zufallsvariablen modelliert. In der vorliegenden Arbeit wird an Fallbeispielen untersucht, unter welchen Bedingungen für das Gesamtrisiko eines inhomogenen Portfolios von stochastisch unabhängigen dichotomen Risiken...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012427950
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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - 2021
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013224117
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Die quantitative Risikobewertung bei einem Portfolio von dichotomen Risiken mithilfe des zentralen Grenzwertsatzes
Knobloch, Ralf - 2021
In den Wirtschaftswissenschaften werden Risiken häufig mit dichotomen Zufallsvariablen modelliert. In der vorliegenden Arbeit wird an Fallbeispielen untersucht, unter welchen Bedingungen für das Gesamtrisiko eines inhomogenen Portfolios von stochastisch unabhängigen dichotomen Risiken...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012423497
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Nearly optimal central limit theorem and bootstrap approximations in high dimensions
Chernozhukov, Victor; Četverikov, Denis N.; Koike, Yuta - 2021
In this paper, we derive new, nearly optimal bounds for the Gaussian approximation to scaled averages of n independent high-dimensional centered random vectors X1, . . . , Xn over the class of rectangles in the case when the covariance matrix of the scaled average is non-degenerate. In the case...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012482915
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Multi-normex distributions for the sum of random vectors : rates of convergence
Kratz, Marie; Prokopenko, Evgeny - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013173635
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Design and analysis of switchback experiments
Bojinov, Iavor; Simchi-Levi, David; Zhao, Jinglong - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3759-3777
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014338277
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A central limit theorem, loss aversion and multi-armed bandits
Chen, Zengjing; Epstein, Larry G.; Zhang, Guodong - In: Journal of economic theory 209 (2023), pp. 1-35
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014371740
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Limit theorems for locally stationary processes
Kawka, Rafael - In: Statistical Papers 62 (2020) 6, pp. 2557-2571
We present limit theorems for locally stationary processes that have a one sided time-varying moving average representation. In particular, we prove a central limit theorem (CLT), a weak and a strong law of large numbers (WLLN, SLLN) and a law of the iterated logarithm (LIL) under mild...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014504385
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Spatial risk measures and rate of spatial diversification
Koch, Erwan - In: Risks 7 (2019) 2, pp. 1-26
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a corresponding set of axioms which are well suited to analyze the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200470
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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben - 2019
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012480274
Saved in:
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Cross-sectional dispersion of risk in trading time
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012124980
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Spatial risk measures and rate of spatial diversification
Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a corresponding set of axioms which are well suited to analyze the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012019126
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Asymptotic Properties of a Supercritical Branching Process with Immigration in a Random Environment
Wang, Yanqing; Liu, Quansheng - In: Stochastics and Quality Control 36 (2022) 2, pp. 145-155
Abstract This is a short survey about asymptotic properties of a supercritical branching process (Z_{n}) with immigration in a stationary and ergodic or independent and identically distributed random environment. We first present basic properties of the fundamental submartingale (W_{n}) , about...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014591062
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Ruin probabilities for risk process in a regime-switching environment
Palmowski, Zbigniew - In: Scandinavian actuarial journal 2022 (2022) 7, pp. 565-590
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013370724
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Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013349148
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Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013441895
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A simulation-optimization framework for generating dynamic dispatching rules for stochastic job shop with earliness and tardiness penalties
Gohareh, Mehdy Morady; Mansouri, Ehsan - In: Computers & operations research : and their … 140 (2022), pp. 1-14
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013173501
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Limit theorems for network dependent random variables
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul - In: Journal of econometrics 222 (2021) 2, pp. 882-908
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012619804
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Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012619243
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From risk sharing to pure premium for a large number of heterogeneous losses
Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 96 (2021), pp. 116-126
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012482774
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Central limit theorems and bootstrap in high dimensions
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016
In this paper, we derive central limit and bootstrap theorems for probabilities that centered high-dimensional vector sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the probabilities that a root-n rescaled sample average of Xi is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011594349
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Central limit theorems and bootstrap in high dimensions
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - This version: May 31, 2016
In this paper, we derive central limit and bootstrap theorems for probabilities that centered high-dimensional vector sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the probabilities that a root-n rescaled sample average of Xi is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011525777
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Robust confidence regions for incomplete models
Epstein, Larry G.; Kaido, Hiroaki; Seo, Kyoungwon - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 5, pp. 1799-1838
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011741992
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A generalized Black-Litterman model
Chen, Shea D.; Lim, Andrew E. B. - In: Operations research 68 (2020) 2, pp. 381-410
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012213340
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Technical note: central limit theorems for estimated functions at estimated points
Glynn, Peter W.; Fan, Lin; Fu, Michael; Hu, Jian-Qiang; … - In: Operations research 68 (2020) 5, pp. 1557-1563
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012301573
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An elementary proof of Peng's central limit theorem under sub-linear expectations
Chen, Zengjing; Zhang, Ziwu - In: International journal of financial engineering 7 (2020) 2, pp. 1-15
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012602954
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Ill-posed estimation in high-dimensional models with instrumental variables
Breunig, Christoph; Mammen, Enno; Simoni, Anna - In: Journal of econometrics 219 (2020) 1, pp. 171-200
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012483200
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Hypothesis testing for the lifetime performance index based on ranked set sampling
Asghari, Samaneh; Gildeh, Bahram Sadeghpour - In: Total quality management & business excellence 31 (2020) 9, pp. 1022-1040
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012256683
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Incremental value-at-risk
Mitic, Peter; Cooper, James; Bloxham, Nicholas - In: The journal of risk model validation 14 (2020) 1, pp. 65-101
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014335925
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Inference on higher-order spatial autoregressive models with increasingly many parameters
Gupta, Abhimanyu; Robinson, Peter M. - London School of Economics (LSE) - 2015
This paper develops consistency and asymptotic normality of parameter estimates for a higher-order spatial autoregressive model whose order, and number of regressors, are allowed to approach infinity slowly with sample size. Both least squares and instrumental variables estimates are examined,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011171757
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Robust confidence regions for incomplete models
Epstein, Larry G.; Kaido, Hiroaki; Seo, Kyoungwon - 2015
Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge of all parameter values. We propose a method of inference about unknown parameters for such models that is robust to heterogeneity and dependence of unknown form. The key is a Central Limit...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010510064
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Robust confidence regions for incomplete models
Epstein, Larry G.; Kaido, Hiroaki; Seo, Kyoungwon - 2015
Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge of all parameter values. We propose a method of inference about unknown parameters for such models that is robust to heterogeneity and dependence of unknown form. The key is a Central Limit...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011344461
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Risk analysis for large pools of loans
Sirignano, Justin; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 1, pp. 107-121
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011991377
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Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012301329
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Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia; Mancino, Maria Elvira; Marmi, Stefano - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 471-502
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012127239
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Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
Lam, Henry - In: Operations research 67 (2019) 4, pp. 1090-1105
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012062921
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Reasonable sample sizes for convergence to normality
Schröder, Carsten; Yitzhaki, Shlomo - 2014
The central limit theorem says that, provided an estimator fulfills certain weak conditions, then, for reasonable sample sizes, the sampling distribution of the estimator converges to normality. We propose a procedure to find out what a "reasonably large sample size" is. The procedure is based...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010464362
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Central limit theorems and bootstrap in high dimensions
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2014
In this paper, we derive central limit and bootstrap theorems for probabilities that centered high-dimensional vector sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the probabilities that a root-n rescaled sample average of Xi is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011445703
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Applications of Information Measures to Assess Convergence in the Central Limit Theorem
Atukorala, Ranjani; King, Maxwell L.; Sriananthakumar, … - Department of Econometrics and Business Statistics, … - 2014
The Central Limit Theorem (CLT) is an important result in statistics and econometrics and econometricians often rely on the CLT for inference in practice. Even though, different conditions apply to different kinds of data, the CLT results are believed to be generally available for a range of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011105012
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