Results 111 to 120 of about 14,273 (256)
The Power of Bootstrap and Asymptotic Tests [PDF]
We introduce the concept of the bootstrap discrepancy, which measures the difference in rejection probabilities between a bootstrap test based on a given test statistic and that of a (usually infeasible) test based on the true distribution of the ...
Russell Davidson, James G. MacKinnon
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Contributions to Plasma Physics, EarlyView.ABSTRACT Ab initio path integral Monte Carlo (PIMC) simulations constitute the gold standard for the estimation of a broad range of equilibrium properties of a host of interacting quantum many‐body systems spanning a broad range of conditions from ultracold atoms to warm dense quantum plasmas.
Paul Hamann +2 more
wiley +1 more source
Asymptotically distribution free (adf) interval estimation of coefficient alpha [PDF]
Asymptotic distribution free (ADF) interval estimators for coefficient alpha were introduced in the context of an application by Yuan, Guarnaccia, and Hayslip (2003). Here, simulation studies were performed to investigate the behavior of ADF vs.
ALBERTO MAYDEU
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Cross‐Entropy of Power Spectral Density Function: A Modal Identification Framework
Earthquake Engineering &Structural Dynamics, EarlyView.ABSTRACT The power spectral density (PSD) function of measured structural response contains a significant amount of information, including the modal parameters (natural frequencies, damping ratios). Output‐only system identification or modal identification technique can be used for extracting such modal parameters from the measured response or its ...
Su‐Hong Kim +3 more
wiley +1 more source
Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations [PDF]
General formula for the finite sample and asymptotic distributions of the instrumental variable estimators and the Wald statistics in a simultaneous equation model are derived.
In Choi, Peter C.B. Phillips
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Journal of Forecasting, EarlyView.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
wiley +1 more source
ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS [PDF]
In this paper a new model of mixture of distributions is proposed, where the mixing structure is determined by a smooth transition tree architecture.
Eduardo Mendes +2 more
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Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines the relationship between skewness and kurtosis in Bitcoin spot and futures markets using high‐frequency data. We document a strong convex skewness–kurtosis relationship consistent with theoretical moment restrictions. Trading activity is positively associated with realized kurtosis, particularly in futures markets, though ...
Ariston Karagiorgis, Antonis Ballis
wiley +1 more source
Distribution Free Goodness-of-Fit Tests for Linear Processes [PDF]
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence.
Carlos Velasco +2 more
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Geological Journal, EarlyView.Energy security risk has a positive impact on material footprint. Renewable energy consumption reduces material footprint. ABSTRACT Following a high economic growth path, the group of G7 economies is found to be utilising more and more material, causing a material footprint (MF), which in turn contributes to pollution.
Serhat Çamkaya +4 more
wiley +1 more source