Bipower variation and other variance estimators
Limit theorems for bipower variation in financial econometrics
... Our theoretical development is motivated by the advent of complete records of quotes or transaction prices for many financial assets. Although market microstructure effects (e.g. dis- creteness of prices, bid/ask bounce, ...
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Threshold bipower variation and the impact of jumps on volatility forecasting
... concurrent estimators we use Monte Carlo simulations of realistic stochastic processes which have been extensively used to model stock index ...samples, bipower variation is a biased estimator of ...
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Other Classes of Minimax Estimators of Variance Covariance Matrix in Multivariate Normal Distribution
... also X. When p=1, it is well known that Stein [10] presented a truncated estimator dominating $ 0 . Sinha and Ghosh [9] extended the Stein's results to the MANOVA model (1) and obtained the estimator improving on $ 0 ...
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Bootstrap-Based Variance Estimators for A Bagging Predictor.
... 1.3.1 Subset Selection Methods Subset selection methods are the oldest and possibly the most frequently used variable selection methods in practice. The classic subset selection procedures include forward addition, ...
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On a general class of long run variance estimators
... ∗ Correspondence to: Department of Statistics, University of Missouri-Columbia, Columbia, MO 65211, United States. Tel.: +1 573 772 1577; fax: +1 573 884 5524. E-mail address: [email protected] (X. Zhang). of the ...
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The Asymptotic Variance of Semi-parametric Estimators with Generated Regressors
... asymptotic variance of other estimators with the same structure not covered here, for instance the production function estimators of Pakes and Olley (1995) and Olley and Pakes ...
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Analysis of Variance of Cross-Validation Estimators of the Generalization Error
... approximation estimators with an estimator proposed by Nadeau and Bengio ...approximation estimators perform better in terms of both, variance and bias, than the Nadeau and Bengio (2003) ...new ...
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Zero Variance Markov Chain Monte Carlo for Bayesian Estimators
... cient variance reduction strategies as discussed in Section ...of variance reduction obtained in the examples in Section 8 and in other simulation studies (not reported here) is impressive and of the ...
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Two estimators of the long-run variance: beyond short memory
... HAC estimators to the choice of bandwidth, a feature that has been widely observed in the special case of short ...the other hand, the MAC estimator is more robust to the bandwidth selection, since its ...
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Techniques for Estimating the Variance of Specific Estimators within Complex Surveys
... The U.S. government spends millions of dollars each year collecting survey data from the U.S. population. These datasets are organized coded files that can be obtained with specific statistical software. They are freely ...
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The Variance of Non-Parametric Treatment Effect Estimators in the Presence of Clustering
... In other words, there may be a clustering ...ATE estimators (see Imbens, 2004), there has been little discussion of the effects of clus- tering on the variance of these ...nonparametric ...
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Asymptotic variance approximations for invariant estimators in uncertain asset pricing models
... Tables I and II about here Table I presents the results for the FF3 specification when the model is correctly specified. Table II is for the misspecified model. Although the model is correctly specified, the centered ...
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A Generalized Class of Estimators for Finite Population Variance in Presence of Measurement Errors
... population variance is presented using auxiliary information in the presence of measurement ...The estimators in this article use auxiliary information to improve efficiency and assume that measurement ...
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Estimation of the variance for different estimators of the change over time for overlapping samples
... the variance of the estimates produced for a given instant of time is now a good practice (also through the development of software packages), the same does not happen for the variation of two quantities ...
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A comparison of heterogeneity variance estimators in simulated random-effects meta-analyses
... with a binary outcome contained zero events, but other methods with a better performance are available 44 . This choice may have affected the results in scenarios where the event is rare (i.e. 0.05), but ...
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Bipower-type estimation in a noisy diffusion setting
... of estimators for volatility functionals in the setting of frequently observed It¯ o diffusions which are disturbed by ...of bipower variation in the no-noise ...efficient estimators for a ...
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A Family of Estimators for Estimating Population Variance Using Auxiliary Information in Sample Survey
... the estimators by using the auxiliary ...ratio-cum-product estimators are good examples. When coefficient of variation c y of the study variate y is known, Searl (1964) considered the problem of ...
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Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
... quadratic variation is, in some ways, similar to the estimation of the long-run variance in stationary ...likelihood-based estimators, and kernel ...realized variance (RV) is analogous to the ...
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THE EFFECT OF SOME ESTIMATORS OF BETWEEN-STUDY VARIANCE ON RANDOM-EFFECTS META-ANALYSIS
... In wanting to summarize evidence, outcomes of different independent studies are first converted into same metric called effect size (e.g. mean difference, relative risks, risk difference and odd ratio) and then combine ...
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Optimal Search of Developed Class of Modified Ratio Estimators for Estimation of Population Variance
... the variance is one of the important measure of ...the variation in production, variation in sales, variation in blood pressure etc affects the human ...of variance estimation, the most ...
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