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Daisuke Kurisu and Taisuke Otsu
This paper studies asymptotic properties of the local linear quantile estimator under the extremal order quantile asymptotics, and develops a practical inference method for conditional quantiles in extreme tail areas. By...Read more...
14 September 2021
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...
Ilze Kalnina and Oliver Linton
We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Poli...Read more...
This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data is unbalanced or incomplete. In this case, one can work only with the common sample, to which a sta...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...
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...