{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/inference-on-the-sharpe-ratio-via-the-upsilon","title":"Inference on the Sharpe ratio via the upsilon distribution","arxiv_id":"1505.00829","date":"2015-05-04","proceeding":null,"authors":["Steven E. Pav"],"abstract":"The upsilon distribution, the sum of independent chi random variates and a normal, is introduced. As a special case, the upsilon distribution includes Lecoutre's lambda-prime distribution. The upsilon distribution finds application in Frequentist inference on the Sharpe ratio, including hypothesis tests on independent samples, confidence intervals, and prediction intervals, as well as their Bayesian counterparts. These tests are extended to the case of factor models of returns.","url_abs":"https://arxiv.org/abs/1505.00829v3","url_pdf":"https://arxiv.org/pdf/1505.00829v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"inference-on-the-sharpe-ratio-via-the-upsilon","repo_url":"https://github.com/shabbychef/SharpeR","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[{"task_slug":"prediction-intervals","task_name":"Prediction Intervals"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}