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  • Search: subject:"quantile statistics"
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Subject
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Estimation theory 2 Schätztheorie 2 Concentration measurement 1 Einkommensverteilung 1 Estimation 1 Gini coefficient 1 Gini-Koeffizient 1 High dimensionality 1 Income distribution 1 Induktive Statistik 1 Konzentrationsmaß 1 Pareto distribution 1 Portfolio selection 1 Portfolio-Management 1 Quantile statistics 1 Rank statistics 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 Robust inference 1 Schätzung 1 Statistical distribution 1 Statistical inference 1 Statistical method 1 Statistical theory 1 Statistische Methode 1 Statistische Methodenlehre 1 Statistische Verteilung 1 estimation 1 quantile statistics 1 tail index 1 weighted quartile difference 1
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CC license 1 Free 1 Undetermined 1
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Article 2
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2
Author
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Fan, Jianqing 1 Han, Fang 1 Liu, Han 1 Pinsky, Eugene 1 Vickers, Byron 1 Wen, Qifu 1
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Econometrics : open access journal 1 Journal of econometrics 1
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Simple approximations and interpretation of Pareto index and Gini coefficient using mean absolute deviations and quantile functions
Pinsky, Eugene; Wen, Qifu - In: Econometrics : open access journal 13 (2025) 3, pp. 1-32
The Pareto distribution has been widely used to model income distribution and inequality. The tail index and the Gini index are typically computed by iteration using Maximum Likelihood and are usually interpreted in terms of the Lorenz curve. We derive an alternative method by considering a...
Persistent link: https://www.econbiz.de/10015475555
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Robust inference of risks of large portfolios
Fan, Jianqing; Han, Fang; Liu, Han; Vickers, Byron - In: Journal of econometrics 194 (2016) 2, pp. 298-308
Persistent link: https://www.econbiz.de/10011705149
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