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基于 GARCH 创新密度的拟合优度检验AI 解读

Testing goodness (or lack) of fit for distributions of observable and nonobservable random variables is one of the main topics in statistics. When they exist, the corresponding density functions and their shapes allow researchers to easily recognize the underlying distribution functions. The present paper is concerned with the densities of (unobservable) generalized autoregressive conditional heteroskedasticity (GARCH) innovations and also with developing goodness-of-fit…

E-Gini 指数的渐近估计AI 解读

Under minimal assumptions on the distribution of income, we demonstrate that Chakravarty's empirical (1988, International Economic Review 29, 147–156) E-Gini index is consistent and asymptotically normal. We also derive an explicit formula for the asymptotic variance of the index and then construct a consistent and computationally straightforward estimator for it.Sincere thanks are due to the co-editor Oliver B. Linton and two anonymous referees whose constructive criticism,…