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Parametric versus nonparametric: the fitness coefficient

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Academic year: 2021

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Figure 1: Estimated p-values (on a logarithmic scale) of the Cramer-Von-Mises goodness-of-fit normality test against the values of the fitness coefficient for the CAC40 data.
Figure 2: Values of the fitness coefficient and the OS coefficient as a function of the bandwidth h, expressed as a proportion of the standard error of the data
Figure 3: Performance of the methods when the truth {N (0, (1 + t) 2 ), −0.5 < t < 0.5} ap- ap-proaches the model {N (θ, 1), −∞ < θ < ∞} until they intersect at t = 0
Figure 4: Estimated densities for (a) the first marginal and (b) the second. The dotted violet, dashed green and plain blue lines are the parametric, nonparametric and the semiparametric estimates, respectively
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