A conditional simulation technique has previously been presented for variance reduction when estimating rail probabilities. particularly extreme ones. for a wide class of moving-average processes. Here. ve generalize the technique from continuous ro discrete random variables. Two distinct...

The calculation of interval forecasts for highly persistent autoregressive (AR) time series based on the bootstrap is considered. Three methods are considered for countering the small-sample bias of least-squares estimation for processes which have roots close to the unit circle: a bootstrap...

A robust minimax approach for optimal investment decisions with imprecise return forecasts and risk estimations in financial portfolio management is considered. Single-period and multi-period mean-variance optimization models are extended to worst-case design with multiple rival risk estimations...