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Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging Model averaging
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2016/1/20
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Counterfactual actions in graphical models based on local independence
causal inference event history analysis marked point
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2011/7/5
We consider a framework for counterfactual statistical analysis with graphical models based on marked point processes. The main idea is to treat the counterfactual scenario as just another probability...
Local Proper Scoring Rules of Order Two
density forecast Euler equation Fisher information Hyvarinen
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2011/3/24
Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper i...
Local power of the LR, Wald, score and gradient tests in dispersion models
Asymptotic expansions Chi-square distribution Dispersion models Gradient test Likelihood ratio test Local power Score test Wald test
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2011/3/24
We derive asymptotic expansions up to order $n^{-1/2}$ for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in the class of dispersion models, under...