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Search: subject:"Kernel quantile estimator"
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Kernel quantile estimator
4
Edgeworth expansion
2
Estimation theory
2
Quantile
2
Schätztheorie
2
Bandwidth selection
1
Bayes
1
Berry-Esseen bound
1
Bootstrap approach
1
Bootstrap-Verfahren
1
Budget allocation
1
Confidence interval
1
Forecasting model
1
Heavy-tailed noise
1
Long memory
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Portfolio selection
1
Portfolio-Management
1
Prognoseverfahren
1
Risikomaß
1
Risk measure
1
Simulation
1
Stationary bootstrap
1
Time series analysis
1
Validity
1
Value-at-risk
1
Zeitreihenanalyse
1
deficiency
1
kernel quantile estimator
1
sample quantile estimator
1
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English
2
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Maesono, Yoshihiko
2
Penev, Spiridon
2
Chudý, M.
1
Karmakar, S.
1
Liu, Xiaoyu
1
Wu, W. B.
1
Xiang, Xiaojing
1
Yan, Xing
1
Zhang, Kun
1
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Annals of the Institute of Statistical Mathematics
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
European journal of operational research : EJOR
1
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RePEc
3
ECONIS (ZBW)
2
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1
Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Liu, Xiaoyu
;
Yan, Xing
;
Zhang, Kun
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
Saved in:
2
Long-term prediction intervals of economic time series
Chudý, M.
;
Karmakar, S.
;
Wu, W. B.
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
1
,
pp. 191-222
Persistent link: https://www.econbiz.de/10012216373
Saved in:
3
Improved confidence intervals for quantiles
Maesono, Yoshihiko
;
Penev, Spiridon
- In:
Annals of the Institute of Statistical Mathematics
65
(
2013
)
1
,
pp. 167-189
We derive the Edgeworth expansion for the studentized version of the
kernel
quantile
estimator
. Inverting the expansion …
Persistent link: https://www.econbiz.de/10010848652
Saved in:
4
Edgeworth expansion for the
kernel
quantile
estimator
Maesono, Yoshihiko
;
Penev, Spiridon
- In:
Annals of the Institute of Statistical Mathematics
63
(
2011
)
3
,
pp. 617-644
Persistent link: https://www.econbiz.de/10008925555
Saved in:
5
A Berry-Esseen theorem for the
kernel
quantile
estimator
with application to studying the deficiency of quantile estimators
Xiang, Xiaojing
- In:
Annals of the Institute of Statistical Mathematics
47
(
1995
)
2
,
pp. 237-251
Persistent link: https://www.econbiz.de/10005169325
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