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Improved Eaton Bounds for Linear Combinations of Bounded Random Variables with Statistical Applications

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Listed author(s):
  • Dufour, J.M.
  • Hallin, M.

Abstract

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9224.

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Length: 34 pages
Date of creation: 1992
Handle: RePEc:mtl:montec:9224
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Keywords: econometrics ; statistics ; tests;

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Cited by:

  1. Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc, 2006. "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 123-142, January.
  2. Gossner, Olivier & Schlag, Karl H., 2013. "Finite-sample exact tests for linear regressions with bounded dependent variables," Journal of Econometrics, Elsevier, vol. 177(1), pages 75-84.
  3. Iosif Pinelis, 2014. "An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality," Risks, MDPI, Open Access Journal, vol. 2(3), pages 1-44, September.
  4. Iosif Pinelis, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," Papers 1310.6025, arXiv.org.
  5. Oliver Gossner & Karl Schlag, 2012. "Finite Sample Exact tests for Linear," Vienna Economics Papers 1201, University of Vienna, Department of Economics.
  6. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
  7. Karl H.Schlag, 2015. "Who gives Direction to Statistical Testing? Best Practice meets Mathematically Correct Tests," Vienna Economics Papers 1512, University of Vienna, Department of Economics.
  8. Pinelis, Iosif, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," MPRA Paper 51361, University Library of Munich, Germany.
  9. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
  10. Karl Schlag & Olivier Gossner, 2010. "Finite sample nonparametric tests for linear regressions," Economics Working Papers 1212, Department of Economics and Business, Universitat Pompeu Fabra.

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