The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...

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Iterated conditional expectation (ICE) g-computation is an estimation approach for addressing time-varying confounding for both longitudinal and time-to-event data. Unlike other g-computation ...

ABSTRACT: In many applications a heterogeneous population consists of several subpopulations. When each subpopulation can be adequately modeled by a heteroscedastic single-index model, the whole ...

It leverages the conditional front-door adjustment (CFD), which theoretically gaurantees lower variance estimates than the commonly used standard backdoor adjustment (CFD) when the true treatment ...