Search Results - subject:"Normal approximation"

Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models

Horowitz, Joel - In: Journal of econometrics 222 (2021) 2, pp. 1057-1082

Persistent link: https://www.econbiz.de/10012619819

A simple and robust approach for expected shortfall estimation

Pan, Zhibin; Pang, Tao; Zhao, Yang - In: The journal of computational finance 25 (2021) 1, pp. 77-107

Persistent link: https://www.econbiz.de/10012672323

Non-asymptotic inference in instrumental variables estimation

Horowitz, Joel L. - 2017

This paper presents a simple non-asymptotic method for carrying out inference in IV models. The method is a non-Studentized version of the Anderson-Rubin test but is motivated and analyzed differently. In contrast to the conventional Anderson-Rubin test, the method proposed here does not require...

Persistent link: https://www.econbiz.de/10011941507

Non-asymptotic inference in instrumental variables estimation

Horowitz, Joel - 2017

Persistent link: https://www.econbiz.de/10011758349

Sequential monitoring for changes from stationarity to mild non-stationarity

Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: Journal of econometrics 215 (2020) 1, pp. 209-238

Persistent link: https://www.econbiz.de/10012439449

A newsvendor analysis of a binomial yield production process

Choi, Sungyong; Jeon, Sumin; Kim, Jinmin; Park, Kwangtae - In: European journal of operational research : EJOR 273 (2019) 3, pp. 983-991

Persistent link: https://www.econbiz.de/10011987668

Tail approximation of the skew-normal by the skew-normal Laplace : application to Owen’s T functionand the bivariate normal distribution

Hürlimann, Werner - In: Journal of statistical and econometric methods 2 (2013) 1, pp. 1-12

By equal mean, two skew-symmetric families with the same kernel are quite similar, and the tails are often very close together. We use this observation to approximate the tail distribution of the skew-normal by the skew-normal-Laplace, and accordingly obtain a normal function approximation to...

Persistent link: https://www.econbiz.de/10009769909

Bayesian inference for assessing effects of email marketing campaigns

Wu, Jiexing; Li, Kate J.; Liu, Jun S. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 253-266

Persistent link: https://www.econbiz.de/10011894700

A simple efficient approximation to price basket stock options with volatility smile

Wu, Ping; Elliott, Robert J. - In: Annals of finance 13 (2017) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011944955

On optimal allocation in binary response trials; is adaptive design really necessary?

Azriel, David; Mandel, Micha; Rinott, Yosef - Center for the Study of Rationality, Hebrew University … - 2011

target is to find the design that maximizes the power of the relevant test. Many papers use a normal approximation to the …. The asymptotic justification of this approach is arguable, since it uses the normal approximation in tails where the error …

Persistent link: https://www.econbiz.de/10008865883