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econ.EM2020
An Upper Bound for Functions of Estimators in High Dimensions
Mehmet Caner, Xu Han
We provide an upper bound as a random variable for the functions of estimators in high dimensions. This upper bound may help establish the rate of convergence of functions in high…
q-fin.PM2020
Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
Mehmet Caner, Marcelo Medeiros, Gabriel Vasconcelos
We provide a new theory for nodewise regression when the residuals from a fitted factor model are used. We apply our results to the analysis of the consistency of Sharpe ratio esti…