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sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the … all rectangles, or more generally, sparsely convex sets, and does not require any restrictions on the correlation among … functions depend nontrivially only on a small subset of their arguments, with rectangles being a special case. …
Persistent link: https://www.econbiz.de/10011525777
sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the … all rectangles, or more generally, sparsely convex sets, and does not require any restrictions on the correlation among … functions depend nontrivially only on a small subset of their arguments, with rectangles being a special case. …
Persistent link: https://www.econbiz.de/10011445703
sums hit rectangles and sparsely convex sets. Specifically, we derive Gaussian and bootstrap approximations for the … all rectangles, or more generally, sparsely convex sets, and does not require any restrictions on the correlation among … functions depend nontrivially only on a small subset of their arguments, with rectangles being a special case. …
Persistent link: https://www.econbiz.de/10011594349
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de/10014503297
Persistent link: https://www.econbiz.de/10012307204
We derive a central limit theorem for the maximum of a sum of high dimensional random vectors. More precisely, we establish condi- tions under which the distribution of the maximum is approximated by the maximum of a sum of the Gaussian random vectors with the same covariance matrices as the...
Persistent link: https://www.econbiz.de/10009692028
high-dimensional centered random vectors X1, . . . , Xn over the class of rectangles in the case when the covariance matrix …
Persistent link: https://www.econbiz.de/10012482915
Persistent link: https://www.econbiz.de/10011451977
Persistent link: https://www.econbiz.de/10011765391
Persistent link: https://www.econbiz.de/10011920755