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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:60/0  |  Submit date:2023/02/07
Direct method  heteroscedastic non-parametric regression  joint limiting distribution  local polynomial smoothing  Sharpe ratio function  
Two-sample functional linear models with functional responses 期刊论文
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2022, 卷号: 218, 页码: 85-105
Authors:  Xu, Wenchao;  Lin, Hongmei;  Zhang, Riquan;  Liang, Hua
Favorite  |  View/Download:110/0  |  Submit date:2022/04/02
Asymptotic normality  Functional linear regression  Functional response  Functional principal component analysis  Rate of convergence  Semiparametric comparison  
Direct local linear estimation for Sharpe ratio function 期刊论文
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2021, 页码: 23
Authors:  Lin, Hongmei;  Tong, Tiejun;  Wang, Yuedong;  Xu, Wenchao;  Zhang, Riquan
Favorite  |  View/Download:104/0  |  Submit date:2022/04/02
Heteroscedasticity  local likelihood estimation  local linear regression  nonparametric regression  Sharpe ratio function