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A new method for estimating Sharpe ratio function via local maximum likelihood 期刊论文
JOURNAL OF APPLIED STATISTICS, 2022, 页码: 19
Authors:  Xu, Wenchao;  Lin, Hongmei;  Tong, Tiejun;  Zhang, Riquan
Favorite  |  View/Download:57/0  |  Submit date:2023/02/07
Direct method  heteroscedastic non-parametric regression  joint limiting distribution  local polynomial smoothing  Sharpe ratio function  
Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance 期刊论文
JOURNAL OF ECONOMETRICS, 2010, 卷号: 159, 期号: 1, 页码: 183-201
Authors:  Zhou, Yong;  Wan, Alan T. K.;  Xie, Shangyu;  Wang, Xiaojing
Favorite  |  View/Download:104/0  |  Submit date:2018/07/30
lambda-sharp cusp  Asymptotic Distribution  Convergence  Discretized estimator  Integral estimator  Jump  Leave-one-out cross validation  Lipschitz continuous  Normal distribution  Resolution level selection