Search Results - subject:"Limit theorem"

Central limit theorems and multiplier bootstrap when p is much larger than n

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012

We derive a central limit theorem for the maximum of a sum of high dimensional random vectors. More precisely, we … statistical applications. In particular, we demonstrate how our central limit theorem and the multiplier bootstrap can be used for …

Persistent link: https://www.econbiz.de/10009692028

The uniform central limit theorem for the tent map

Bae, Jongsig; Hwang, Changha; Jun, Doobae - In: Statistics & Probability Letters 82 (2012) 5, pp. 1021-1027

defined on the unit interval. We get the uniform version of central limit theorem for the tent map by using the method of …

Persistent link: https://www.econbiz.de/10010576142

Efficiency in large markets with firm heterogeneity

Dhingra, Swati; Morrow, John - In: Research in economics : an international review of economics 71 (2017) 4, pp. 718-728

Persistent link: https://www.econbiz.de/10011879052

Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model

Arvanitis, Stelios; Louka, Alexandros - In: Economics letters 161 (2017), pp. 135-137

Persistent link: https://www.econbiz.de/10011904539

Closed-form solutions for robust inventory management

Mamani, Hamed; Nassiri, Shima; Wagner, Michael R. - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1625-1643

Persistent link: https://www.econbiz.de/10011684796

On functional limit theorems for the cumulative times in alternating renewal processes

Pang, Guodong; Yang, Jiankui; Zhou, Yuhang - In: Operations research letters 45 (2017) 2, pp. 145-150

Persistent link: https://www.econbiz.de/10011687651

Testing for changes in (extreme) VaR

Hoga, Yannick - In: The econometrics journal 20 (2017) 1, pp. 23-51

Persistent link: https://www.econbiz.de/10011719962

On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

Madan, Dilip B.; Pistorius, M.; Stadje, M. - In: Finance and stochastics 21 (2017) 4, pp. 1073-1102

Persistent link: https://www.econbiz.de/10011944476

Asymptotics of asynchronicity

Bibinger, Markus - 2011

-frequency asymptotics and prove a feasible stable central limit theorem. The characteristics of non-synchronous observation schemes …

Persistent link: https://www.econbiz.de/10010281581

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - 2011

distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …

Persistent link: https://www.econbiz.de/10010281599

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