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Author: Yoon-Jae Whang
8 results found.
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Karun Adusumilli, Taisuke Otsu and Yoon-Jae Whang
13 November 2017
Gordon Anderson, Oliver Linton and Yoon-Jae Whang
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution th...Read more...
Oliver Linton, Kyungchul Song and Yoon-Jae Whang
We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests h...Read more...
Sokbae Lee, Oliver Linton and Yoon-Jae Whang
We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution i...Read more...
Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the general K-prospect case. We allow for the observations to be serially d...Read more...
Oliver Linton and Yoon-Jae Whang
In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile ...Read more...
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-...Read more...
We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intra-family component but require that observations from di...Read more...