7 citations · 9 across the 2 of their papers we have counts for
2 papers
econ.EM2026★ 2 cited
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Kim Christensen, Martin Thyrsgaard, Bezirgen Veliyev
We propose a nonparametric estimator of the empirical distribution function (EDF) of the latent spot variance of the log-price of a financial asset. We show that over a fixed time…
stat.ML2017★ 7 cited
Optimal sequential treatment allocation
Anders Bredahl Kock, Martin Thyrsgaard
In treatment allocation problems the individuals to be treated often arrive sequentially. We study a problem in which the policy maker is not only interested in the expected cumula…