Narrow search
Showing 1 - 10 of 683
Cover Image
Central limit theorems and bootstrap in high dimensions
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2014
sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the … all rectangles, or more generally, sparsely convex sets, and does not require any restrictions on the correlation among … functions depend nontrivially only on a small subset of their arguments, with rectangles being a special case. …
Persistent link: https://www.econbiz.de/10011445703
Cover Image
Central limit theorems and bootstrap in high dimensions
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016
sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the … all rectangles, or more generally, sparsely convex sets, and does not require any restrictions on the correlation among … functions depend nontrivially only on a small subset of their arguments, with rectangles being a special case. …
Persistent link: https://www.econbiz.de/10011594349
Cover Image
Die quantitative Risikobewertung bei einem Portfolio von dichotomen Risiken mithilfe des zentralen Grenzwertsatzes
Knobloch, Ralf - 2021
In den Wirtschaftswissenschaften werden Risiken häufig mit dichotomen Zufallsvariablen modelliert. In der vorliegenden Arbeit wird an Fallbeispielen untersucht, unter welchen Bedingungen für das Gesamtrisiko eines inhomogenen Portfolios von stochastisch unabhängigen dichotomen Risiken...
Persistent link: https://www.econbiz.de/10012427950
Cover Image
Nearly optimal central limit theorem and bootstrap approximations in high dimensions
Chernozhukov, Victor; éCetverikov, Denis N.; Koike, Yuta - 2021
high-dimensional centered random vectors X1, . . . , Xn over the class of rectangles in the case when the covariance matrix …
Persistent link: https://www.econbiz.de/10012621146
Cover Image
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Chen, Xiaohong; Pouzo, Demian - 2008
For semi/nonparametric conditional moment models containing unknown parametric components θ and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h) and derive the large sample properties. This...
Persistent link: https://www.econbiz.de/10010318487
Cover Image
Quantile and probability curves without crossing
Chernozhukov, Victor; Fernández-Val, Iván; Galichon, … - 2007
The most common approach to estimating conditional quantile curves is to fit a curve, typically linear, pointwise for each quantile. Linear functional forms, coupled with pointwise fitting, are used for a number of reasons including parsimony of the resulting approximations and good...
Persistent link: https://www.econbiz.de/10010318516
Cover Image
The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation
Swanson, Norman R.; Corradi, Valentina - 2003
n.a.
Persistent link: https://www.econbiz.de/10010263214
Cover Image
Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10010265962
Cover Image
Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz
Dannenberg, Henry - 2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...
Persistent link: https://www.econbiz.de/10010267037
Cover Image
Bootstrap inference for K-nearest neighbour matching estimators
de Luna, Xavier; Johansson, Per; Sjöstedt-de Luna, Sara - 2010
Abadie and Imbens (2008, Econometrica) showed that classical bootstrap schemes fail to provide correct inference for K-nearest neighbour (KNN) matching estimators of average causal effects. This is an interesting result showing that bootstrap should not be applied without theoretical...
Persistent link: https://www.econbiz.de/10010273923