The lower regression function and testing expectation dependence dominance hypotheses

DOI10.1080/07474938.2021.1889177MaRDI QIDQ5861055zbMATH OpenOpenAlexWikidataFDO

Authors Oliver Linton, Yu-Min Yen, Yoon-Jae Whang

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07474938.2021.1889177

zbMATH Keywords

expectation dependenceexpectation dominancelower regression functionsubsampling

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

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• Subsampling
• Testing for positive expectation dependence
• Testing the equality of nonparametric regression curves
• The demand for a risky asset in the presence of a background risk

Cited in

(1)

• Econometric Reviews Honors Cheng Hsiao

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