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随访不足时 Gumbel 最大吸引域分布的治愈比例估计AI 解读

Summary Estimators of the cured proportion from survival data which may include observations on cured subjects can only be expected to perform well when the follow-up period is sufficient. When follow-up is not sufficient, and the survival distribution of those susceptible to the event belongs to the Fréchet maximum domain of attraction, a nonparametric estimator for the cure proportion proposed by Escobar-Bach & Van Keilegom (2019) incorporates an adjustment that reduces…

允许与禁止卖空时最大夏普比率的大样本分布AI 解读

In the Markowitz paradigm the portfolio having maximum Sharpe ratio is optimal. Previously the large sample distribution of this statistic has been calculated when short sales are allowed and sample returns and covariance matrix are asymptotically normally distributed. This paper considers the more complex situation when short sales are not allowed, and provides conditions under which the maximum Sharpe ratio is asymptotically normal. This is not always the case, as we show,…