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Rate of convergence for bivariate extremes : (total variation metric)

Haan, Laurens de; Peng, Liang - 1994

Persistent link: https://www.econbiz.de/10000560737

Rate of convergence for bivariate extremes : (uniform metric)

Haan, Laurens de; Peng, Liang - 1994

Persistent link: https://www.econbiz.de/10000560742

Insensitivity in discrete-time generalized semi-Markov processes allowing multiple events and probabilistic service scheduling

Henderson, W. (contributor) - 1994

Persistent link: https://www.econbiz.de/10000151663

Gaussianity and nonlinearity of foreign exchange rates and macroeconomic time series

Terui, Nobuhiko; Kariya, Takeaki - 1997

Persistent link: https://www.econbiz.de/10000952482

Using a bootstrap method to choose the sample fraction in tail index estimation

Daníelsson, Jón (contributor) - 1997

Persistent link: https://www.econbiz.de/10000953451

On Markov chains and filtrations

Spreij, Peter - 1997

Persistent link: https://www.econbiz.de/10000956205

Estimating the index of a stable distribution

Haan, Laurens de; Pereira, T. Themido - 1997

Persistent link: https://www.econbiz.de/10000959255

Two properties of predicted probabilities in discrete regression models

Cramer, Jan S. - 1997

Persistent link: https://www.econbiz.de/10000960568

Series expansions for finite-state Markov chains

Heidergott, Bernd; Hordijk, Arie; Uitert, Maria Johanna … - 2005

Persistent link: https://www.econbiz.de/10003155798

Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015

In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...

Persistent link: https://www.econbiz.de/10011431354

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