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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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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
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View/Download:37/0
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Submit date:2023/02/07
Direct method
heteroscedastic non-parametric regression
joint limiting distribution
local polynomial smoothing
Sharpe ratio function
On construction of prediction intervals for heteroscedastic regression
期刊论文
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2022, 页码: 26
Authors:
Wu, Yun
;
Xiong, Shifeng
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View/Download:27/0
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Submit date:2023/02/07
Interpolation
Kernel method
Large data
Reconstruction parameterization
Statistical estimation in passenger-to-train assignment models based on automated data
期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2021, 页码: 21
Authors:
Xiong, Shifeng
;
Li, Chunya
;
Sun, Xuan
;
Qin, Yong
;
Wu, Chien-Fu Jeff
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View/Download:89/0
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Submit date:2022/04/02
EM algorithm
Gaussian process interpolation
nonparametric density estimation
passenger flow
spline
Parameter Estimation Based on Set-valued Signals: Theory and Application
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2019, 卷号: 35, 期号: 2, 页码: 255-263
Authors:
Wang, Ting
;
Zhang, Hang
;
Zhao, Yan-long
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View/Download:132/0
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Submit date:2020/01/10
set-valued signals
parameter estimation
one-time completed algorithms
iterative estimation algorithms
recursive estimation algorithms
parameterestimationbasedonsetvaluedsignalstheoryandapplication
期刊论文
actamathematicaeapplicataesinica, 2019, 卷号: 35, 期号: 2, 页码: 255
Authors:
Wang Ting
;
Zhang Hang
;
Zhao Yanlong
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View/Download:120/0
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Submit date:2020/01/10
Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm
期刊论文
SCIENCE CHINA-INFORMATION SCIENCES, 2018, 卷号: 61, 期号: 4, 页码: 17
Authors:
Wang, Ximei
;
He, Xingkang
;
Bao, Ying
;
Zhao, Yanlong
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View/Download:130/0
  |  
Submit date:2018/07/30
Heston model
stochastic volatility model
parameter estimation
normal maximum likelihood estimation
pseudo maximum likelihood estimation
consistent extended Kalman filter
Evaluating the Accuracy of Small P-Values In Genetic Association Studies Using Edgeworth Expansions
期刊论文
SCANDINAVIAN JOURNAL OF STATISTICS, 2018, 卷号: 45, 期号: 1, 页码: 1-33
Authors:
Zheng, Gang
;
Xiong, Jinghong
;
Li, Qizhai
;
Xu, Jinfeng
;
Yuan, Ao
;
Gastwirth, Joe L.
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View/Download:132/0
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Submit date:2018/07/30
chi-squared test
Edgeworth expansion
maximin efficiency robust test (MERT)
maximum likelihood estimate
nuisance parameter
Optimal Subsampling for Large Sample Logistic Regression
期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2018, 卷号: 113, 期号: 522, 页码: 829-844
Authors:
Wang, HaiYing
;
Zhu, Rong
;
Ma, Ping
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View/Download:147/0
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Submit date:2018/09/08
A-optimality
Logistic regression
Massive data
Optimal subsampling
Rare event
parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm
期刊论文
sciencechinainformationscience, 2018, 卷号: 61, 期号: 4, 页码: 17
Authors:
Wang Ximei
;
He Xingkang
;
Bao Ying
;
Zhao Yanlong
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View/Download:102/0
  |  
Submit date:2020/01/10
Testing Association between Mixed Type Outcomes and Covariates Jointly by the Use of a Latent Variable
期刊论文
SCIENTIFIC REPORTS, 2017, 卷号: 7, 期号: 8006, 页码: 10
Authors:
Zhu, Jiayan
;
Zhang, Wei
;
Li, Qizhai
;
Li, Zhengbang
;
Zhu, Jiayan
;
Zhang, Wei
;
Li, Qizhai
;
Li, Zhengbang
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View/Download:338/93
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Submit date:2018/07/30