Direct local linear estimation for Sharpe ratio function
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Publication:5094282
DOI10.1002/cjs.11658zbMath1492.62079OpenAlexW3197096319MaRDI QIDQ5094282
Ri-quan Zhang, Wenchao Xu, Yuedong Wang, Hongmei Lin, Tie Jun Tong
Publication date: 2 August 2022
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11658
heteroscedasticitynonparametric regressionlocal linear regressionlocal likelihood estimationSharpe ratio function
Nonparametric regression and quantile regression (62G08) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)