Search Results - subject:"sampling distribution"

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks 7 (2019) 2, pp. 1-14

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Persistent link: https://www.econbiz.de/10013200474

Sampling distributions of optimal portfolio weights and characteristics in low and large dimensions

Bodnar, Taras; Dette, Holger; Parolya, Nestor; … - Sonderforschungsbereich Statistical Modelling of … - 2019

Persistent link: https://www.econbiz.de/10012119286

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks : open access journal 7 (2019) 2/56, pp. 1-14

Persistent link: https://www.econbiz.de/10012019030

Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Poskitt, D.S.; Grose, Simone D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2013

expansion of the sampling distribution of the autocorrelation coefficients, in the part of the parameter space in which the …

Persistent link: https://www.econbiz.de/10010860410

Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Poskitt, D.S.; Grose, Simone D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2012

then applied to the problem of estimating the sampling distribution of the sample mean under long memory, in an …

Persistent link: https://www.econbiz.de/10010542336

Contingency inferences driven by base rates: Valid by sampling

Kutzner, Florian; Vogel, Tobias; Freytag, Peter; … - In: Judgment and Decision Making 6 (2011) 3, pp. 211-221

Fiedler et al. (2009), reviewed evidence for the utilization of a contingency inference strategy termed pseudocontingencies (PCs). In PCs, the more frequent levels (and, by implication, the less frequent levels) are assumed to be associated. PCs have been obtained using a wide range of task...

Persistent link: https://www.econbiz.de/10009002575

A note on nonidentification in truncated sampling distribution estimation

Barnett, William; Seck, Ousmane - In: Economics Bulletin 30 (2010) 2, pp. 1670-1679

Theoretical constraints on economic model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that...

Persistent link: https://www.econbiz.de/10008599451

The Empirical Saddlepoint Likelihood Estimator Applied to Two-Step GMM

Sowell, Fallaw - 2009

The empirical saddlepoint likelihood (ESPL) estimator is introduced. The ESPL provides improvement over one-step GMM estimators by including additional terms to automatically reduce higher order bias. The first order sampling properties are shown to be equivalent to efficient two-step GMM. New...

Persistent link: https://www.econbiz.de/10009441141

Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution.

Barnett, William; Seck, Ousmane - Department of Economics, University of Kansas - 2009

Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution William A …. Keywords and Key Phrases: Asymptotics, truncated sampling distribution, nonidentified sign, inequality constraints, bootstrap … compromised. The sampling distribution of the estimator, with and without inequality constraint, is displayed in figure 1. To …

Persistent link: https://www.econbiz.de/10004961242

The empirical saddlepoint likelihood estimator applied to two-step GMM

Sowell, Fallaw - Volkswirtschaftliche Fakultät, … - 2009

Persistent link: https://www.econbiz.de/10005668393