Influence diagnostics for the structural sharpe model under normal/independent distributions

DOI10.1080/03610926.2018.1444176OpenAlexW2790156611MaRDI QIDQ5078377

Manuel Galea, Filidor Vilca, Camila Borelli Zeller

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1444176

zbMATH Keywords

EM-algorithmdiagnosticserrors-in-variables modelsportfoliosnormal/independent (NI) distributionsSharpe's model

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• On structural comparative calibration under a \(t\)-model
• Local Influence for Incomplete Data Models
• Case-deletion measures for models with incomplete data
• The Errors-in-Variable Model in the Optimal Portfolio Construction
• Local Influence in Linear Mixed Models
• Maximum Likelihood Estimation of Simultaneous Pairwise Linear Structural Relationships
• The structural Sharpe model undert-distributions

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