Nearly weighted risk minimal unbiased estimation

DOI10.1016/j.jeconom.2018.11.016zbMath1452.62667OpenAlexW2903749433WikidataQ128724816 ScholiaQ128724816MaRDI QIDQ1740270

Yu-Long Wang, Ulrich K. Müller

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.11.016

zbMATH Keywords

autoregressionmean biasmedian biasquantile unbiased forecast

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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Estimation and inference about tail features with tail censored data, Analyzing cross-validation for forecasting with structural instability

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