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Parameter estimation and bias correction for diffusion processes
Tang, Cheng Yong; Chen, Song Xi - In: Journal of econometrics 149 (2009) 1, pp. 65-81
Persistent link: https://www.econbiz.de/10003833732
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Local post-stratification in dual system accuracy and coverage evaluation for the US Census
Chen, Song Xi; Tang, Cheng Yong; Mule, Vincent T. - In: Journal of the American Statistical Association : JASA 105 (2010) 489, pp. 105-119
Persistent link: https://www.econbiz.de/10008732202
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Nonparametric statistical inference of value at risk for financial time series
Chen, Song Xi; Tang, Cheng Yong - 2003
Persistent link: https://www.econbiz.de/10002250834
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Nonparametric inference of value-at-risk for dependent financial returns
Chen, Song Xi; Tang, Cheng Yong - In: Journal of financial econometrics : official journal of … 3 (2005) 2, pp. 227-255
Persistent link: https://www.econbiz.de/10002811347
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Nonparametric Inference of Value-at-Risk for Dependent Financial Returns
Chen, Song Xi - 2010
The article considers nonparametric estimation of value-at-risk (VaR) and associated standard error estimation for dependent financial returns. Theoretical properties of the kernel VaR estimator are investigated in the context of dependence. The presence of dependence affects the variance of the...
Persistent link: https://www.econbiz.de/10012761973
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Properties of Census Dual System Population Size Estimators
Chen, Song Xi; Tang, Cheng Yong - In: International Statistical Review 79 (2011) 3, pp. 336-361
Persistent link: https://www.econbiz.de/10010543734
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Mann–Whitney test with adjustments to pretreatment variables for missing values and observational study
Chen, Song Xi; Qin, Jing; Tang, Cheng Yong - In: Journal of the Royal Statistical Society Series B 75 (2013) 1, pp. 81-102
Persistent link: https://www.econbiz.de/10010642476
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Local Post-Stratification in Dual System Accuracy and Coverage Evaluation for the U.S. Census
Chen, Song Xi; Tang, Cheng Yong; Mule Jr, Vincent T - In: Journal of the American Statistical Association : JASA 105 (2010) 489, pp. 105-120
Persistent link: https://www.econbiz.de/10008409322
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Parameter estimation and bias correction for diffusion processes
Tang, Cheng Yong; Chen, Song Xi - In: Journal of econometrics 149 (2009) 1, pp. 65-81
Persistent link: https://www.econbiz.de/10008237914
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Nonparametric Statistical Inference of Value At Risk For Financial Time Series
Chen, Song Xi; Tang, Cheng Yong - Finance Discipline Group, Business School - 2003
The paper considers nonparametric estimation of Value at Risk (VaR) and associated standard error estimation for dependent financial return series. The presence of dependence affects the variance of the VaR estimates and has to be taken into consideration in order to obtain adequate assessment...
Persistent link: https://www.econbiz.de/10005073662