کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9663690 | 1446238 | 2005 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A distribution-free approach to estimating best response values with application to mutual fund performance modeling
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Frontier regression models seek to model and estimate best rather than average values of a response variable. Our proposed frontier model has similar intent, but also allows for an additional error term. The composed error approach uses the sum of two error terms, one an inefficiency error and the other as white noise. Previous research proposed assumptions on the distributions of the error components so that the distribution of this total error can be specified. Here we propose a distribution free approach to specifying these errors. In addition, our approach is completely data driven, rendering model specification an unnecessary step. We also outline, step-by-step, an approach to implementing this procedure. Our entire approach is illustrated with a mutual fund data set from the Morning Star database.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 166, Issue 2, 16 October 2005, Pages 520-527
Journal: European Journal of Operational Research - Volume 166, Issue 2, 16 October 2005, Pages 520-527
نویسندگان
Marvin D. Troutt, Michael Y. Hu, Murali S. Shanker,