A longstanding difficulty in multivariate statistics is identifying and evaluating nonnormal data structures in high dimensions with high statistical efficiency and low search effort. Here the ...
Recent advances in estimation techniques have underscored the growing importance of shrinkage estimation and balanced loss functions in the analysis of multivariate normal distributions. These ...
Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.
We propose a generalized method of moments approach to the accelerated failure time model with correlated survival data. We study the semiparametric rank estimator using martingale-based moments. We ...
It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...
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