Search Results - subject:"plug-in estimator"

New classes of distortion risk measures and their estimation

Sepanski, Jungsywan; Wang, Xiwen - In: Risks : open access journal 11 (2023) 11, pp. 1-21

In this paper, we present a new method to construct new classes of distortion functions. A distortion function maps the unit interval to the unit interval and has the characteristics of a cumulative distribution function. The method is based on the transformation of an existing non-negative...

Persistent link: https://www.econbiz.de/10014436375

On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity

Wang, Wenjie; Doko Tchatoka, Firmin - In: Journal of econometrics 207 (2018) 1, pp. 188-211

Persistent link: https://www.econbiz.de/10012116230

Frequentist model averaging for multinomial and ordered logit models

Wan, Alan T.K.; Zhang, Xinyu; Wang, Shouyang - In: International Journal of Forecasting 30 (2014) 1, pp. 118-128

strategy of weight choice for the candidate models is based on the minimization of a plug-in estimator of the asymptotic …

Persistent link: https://www.econbiz.de/10010730019

Frequentist model averaging for multinomial and ordered logit models

Wan, Alan T. K.; Zhang, Xinyu; Wang, Shouyang - In: International journal of forecasting 30 (2013) 1, pp. 118-128

Persistent link: https://www.econbiz.de/10010247003

Root-n consistency in weighted L <Subscript>1</Subscript>-spaces for density estimators of invertible linear processes

Schick, Anton; Wefelmeyer, Wolfgang - In: Statistical Inference for Stochastic Processes 11 (2008) 3, pp. 281-310

Persistent link: https://www.econbiz.de/10005616045