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Inference about ATE from Observational Studies with Continuous Outcome and Unmeasured Confounding
Inference about ATE Observational Studies Continuous Outcome Unmeasured Confounding
2013/4/28
For settings with a binary treatment and a binary outcome, instrumental variables can be used to construct bounds on a causal treatment effect. With continuous outcomes, meaningful bounds are more dif...
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
It^o Process Realized Volatility Integrated Volatility Time Endogeneity Market Microstructure Noise
2013/5/2
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, an...
We investigate statistical inference across time scales. We take as toy model the estimation of the intensity of a discretely observed compound Poisson process with symmetric Bernoulli jumps.