Narrow search
Showing 1 - 10 of 224,652
Cover Image
Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735
Cover Image
Identification of ex ante returns using elicited choice probabilities
Méango, Romuald - 2023
Persistent link: https://www.econbiz.de/10014250393
Cover Image
Adaptive Bayesian estimation of mixed discrete-continuous distributions under smoothness and sparsity
Norets, Andriy; Pelenis, Justinas - 2018
We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness … derive lower bounds on the estimation rates in the total variation distance. Next, we consider a nonparametric mixture of … normals models can be used for optimal adaptive estimation of mixed discretecontinuous distributions. …
Persistent link: https://www.econbiz.de/10011895828
Cover Image
Vectors of two-parameter Poisson-Dirichlet processes
Leisen, Fabrizio; Lijoi, Antonio - 2010
The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. They, indeed, represent dependent nonparametric prior distributions that are useful for modelling observables for which specific covariate values are known. In this...
Persistent link: https://www.econbiz.de/10010343891
Cover Image
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Cover Image
Nonparametric Forecasting of Multivariate Probability Density Functions
Guegan, Dominique - 2018
The study of dependence between random variables is the core of theoretical and applied statistics. Static and dynamic copula models are useful for describing the dependence structure, which is fully encrypted in the copula probability density function. However, these models are not always able...
Persistent link: https://www.econbiz.de/10012917229
Cover Image
Spatial dependence and space-time trends in extreme event
Einmahl, John H. J.; Ferreira, Ana; Haan, Laurens de; … - 2020
Persistent link: https://www.econbiz.de/10012182625
Cover Image
Modeling extreme events : time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10012429187
Cover Image
Probabilistic quantile factor analysis
Korobilis, Dimitris; Schröder, Maximilian - 2023
Persistent link: https://www.econbiz.de/10014431617
Cover Image
Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011309638