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Year of publication
Subject
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Goodness-of-fit 5 L-statistics 4 Maximum correlation 4 Aktienmarkt 2 CAPM 2 Exact distribution 2 Risikoprämie 2 USA 2 asset-pricing models 2 economic risk premium 2 maximum-correlation mimicking portfolios 2 mispricing 2 nontraded factors 2 Bahadur asymptotic relative efficiency 1 Censored Samples 1 Censored samples 1 Decomposition of tests statistics 1 Estimation theory 1 Exact Distribution 1 Exponentiality 1 Goodness of fit test 1 Kaplan-Meier estimator 1 Local asymptotic optimality 1 Maximum Correlation 1 Maximum correlation method of estimation 1 Q-Q plots 1 Random censoring 1 Risk premium 1 Schätztheorie 1 Statistical distribution 1 Statistical test 1 Statistische Verteilung 1 Statistischer Test 1 Stock market 1 United States 1
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Online availability
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Free 5 Undetermined 3
Type of publication
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Book / Working Paper 5 Article 3
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 4 Undetermined 4
Author
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Grané, Aurea 3 Balduzzi, Pierluigi 2 Grane, Aurea 2 Robotti, Cesare 2 Fortiana, Josep 1 Strzalkowska-Kominiak, Ewa 1 Subhash, Silpa 1 Sunoj, S. M. 1 Tchirina, Anna V. 1 Unnikrishnan Nair, N. 1
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Institution
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Departamento de Estadistica, Universidad Carlos III de Madrid 3
Published in...
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Statistics and Econometrics Working Papers 3 Annals of the Institute of Statistical Mathematics 1 Metrika 1 Operations research forum 1 Working Paper 1 Working papers / Federal Reserve Bank of Atlanta 1
Source
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RePEc 5 ECONIS (ZBW) 2 EconStor 1
Showing 1 - 8 of 8
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A simple method of estimation and testing based on Q-Q plots
Unnikrishnan Nair, N.; Subhash, Silpa; Sunoj, S. M. - In: Operations research forum 5 (2024) 3, pp. 1-15
Persistent link: https://www.econbiz.de/10015181881
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Goodness-of-fit test for randomly censored data based on maximum correlation
Strzalkowska-Kominiak, Ewa; Grané, Aurea - Departamento de Estadistica, Universidad Carlos III de … - 2014
In this paper we study the goodness-of-fit test introduced by Fortiana and Grané (2003) and Grané (2012), in the context of randomly censored data. We construct a new test statistic undergeneral right-censoring, i.e., with unknown censoring distribution, and prove its asymptoticproperties....
Persistent link: https://www.econbiz.de/10010861858
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Exact goodness-of-fit tests for censored dats
Grane, Aurea - Departamento de Estadistica, Universidad Carlos III de … - 2009
The statistic introduced in Fortiana and Grané (2003) is modified so that it can be used to test the goodness-of-fit of a censored sample, when the distribution function is fully specified. Exact and asymptotic distributions of three modified versions of this statistic are obtained and exact...
Persistent link: https://www.econbiz.de/10004988535
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Asymptotic properties of a goodness-of-fit test based on maximum correlations
Grane, Aurea; Tchirina, Anna V. - Departamento de Estadistica, Universidad Carlos III de … - 2008
We study the efficiency properties of the goodness-of-fit test based on the Qn statistic introduced in Fortiana and Grané (2003) using the concepts of Bahadur asymptotic relative efficiency and Bahadur asymptotic optimality. We compare the test based on this statistic with those based on the...
Persistent link: https://www.econbiz.de/10005249645
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Asset-pricing models and economic risk premia: A decomposition
Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005
on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of … pricing kernel to the maximum-correlation mimicking portfolios. The first component is the same across asset-pricing models …-beta models with nontraded factors can be very unreliable. Conversely, the risk premia on maximum-correlation portfolios provide …
Persistent link: https://www.econbiz.de/10010397680
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Asset-pricing models and economic risk premia : a decomposition
Balduzzi, Pierluigi (contributor);  … - 2005
on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of … pricing kernel to the maximum-correlation mimicking portfolios. The first component is the same across asset-pricing models …-beta models with nontraded factors can be very unreliable. Conversely, the risk premia on maximum-correlation portfolios provide …
Persistent link: https://www.econbiz.de/10003115603
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Exact goodness-of-fit tests for censored data
Grané, Aurea - In: Annals of the Institute of Statistical Mathematics 64 (2012) 6, pp. 1187-1203
The statistic introduced in Fortiana and Grané (J R Stat Soc B 65(1):115–126, <CitationRef CitationID="CR6">2003</CitationRef>) is modified so that it can be used to test the goodness-of-fit of a censored sample, when the distribution function is fully specified. Exact and asymptotic distributions of three modified versions of this...</citationref>
Persistent link: https://www.econbiz.de/10011000085
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A directional test of exponentiality based on maximum correlations
Grané, Aurea; Fortiana, Josep - In: Metrika 73 (2011) 2, pp. 255-274
Persistent link: https://www.econbiz.de/10008925336
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