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Fig. 2 | Probability, Uncertainty and Quantitative Risk

Fig. 2

From: Upper risk bounds in internal factor models with constrained specification sets

Fig. 2

Plots of estimated Kendall’s rank correlation coefficients \(\hat {\tau }_{k,n}^{i}\,,\) for i=2,…,8, for n=30, and for different k; at the bottom right: \(\hat {\tau }_{k,30}=\max _{2\leq i \leq 8}\{\hat {\tau }_{k,30}^{i}\}\) (solid) and \(\overline {\hat {\rho }}_{k}=\max _{2\leq i \leq 8}\{\rho (\hat {\tau }_{k,30}^{i}+\epsilon _{k})\}\) (dotted) for different k and εk=ε=0.05.

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