Abstract
We consider a semiparametric model for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is non-Euclidean. The model discussed is motivated by the estimation of the mixing distribution of individual utility functions in the DAX market. We discuss the estimation rate of different functionals of the weight functions.
Original language | English |
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Pages (from-to) | 771-785 |
Number of pages | 15 |
Journal | Statistica Sinica |
Volume | 20 |
Issue number | 2 |
State | Published - Apr 2010 |
Keywords
- Empirical pricing kernel
- Exponential mixture
- Inverse problem
- Mixture distribution
- Risk aversion