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Composite Bernstein copulas

Yang, Jingping; Chen, Zhijin; Wang, Fang; Wang, Ruodu - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 445-475

Persistent link: https://www.econbiz.de/10011312277

Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient

Cui, Zhenyu; Liu, Yanchu; Wang, Ruodu - In: Operations research letters 50 (2022) 2, pp. 199-204

Persistent link: https://www.econbiz.de/10013192693

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

Cui, Zhenyu; Liu, Yanchu; Wang, Ruodu - 2021

We theoretically compare variances between the Infinitesimal Perturbation Analysis (IPA) estimator and the Likelihood Ratio (LR) estimator to Monte Carlo gradient for stochastic systems. The conditions proposed in [Cui et al., 2020] when the IPA estimator has a smaller variance can yield sharper...

Persistent link: https://www.econbiz.de/10013220887

Residual-based test for fractional cointegration

Wang, Bin; Wang, Man; Chan, Ngai Hang - In: Economics letters 126 (2015), pp. 43-46

Persistent link: https://www.econbiz.de/10011376390

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020

Persistent link: https://www.econbiz.de/10012216029

Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications

Bu, Ruijun; Kim, Jihyun; Wang, Bin - In: Journal of econometrics 235 (2023) 2, pp. 1934-1954

Persistent link: https://www.econbiz.de/10014471437

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - In: Econometric theory 37 (2021) 5, pp. 926-958

Persistent link: https://www.econbiz.de/10012656389

Nonparametric estimation of jump diffusion models

Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715

Persistent link: https://www.econbiz.de/10012619778

Testing for the presence of jump components in jump diffusion models

Wang, Bin; Zheng, Xu - In: Journal of econometrics 230 (2022) 2, pp. 483-509

Persistent link: https://www.econbiz.de/10013464085

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