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Consistent empirical estimators of multivariate extreme value distribution
Haan, Laurens de; Resnick, Sidney I. - 1991
Persistent link: https://www.econbiz.de/10000842077
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Statistical inference in stable distributions based on asymptotic normality of the sample characteristic function
Kleinman, David Charles - 1977
Persistent link: https://www.econbiz.de/10000573300
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Market-based estimation of default probabilities and its application to financial market surveillance
Chan-Lau, Jorge A. - 2006
Persistent link: https://www.econbiz.de/10003329109
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Estimating default probabilities implicit in equity prices
Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: The credit market handbook : advanced modeling issues, (pp. 1-38). 2006
Persistent link: https://www.econbiz.de/10003338037
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Distribution properties and estimation of the ratio of independent Weilbull random variables
Nadarajah, Saralees - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 3, pp. 231-246
Persistent link: https://www.econbiz.de/10008669456
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A simple nonparametric test for structural change in joint tail probabilities
Krämer, Walter; Kampen, Maarten van - 2009
Persistent link: https://www.econbiz.de/10008827090
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New majorization theory in economics and martingale convergence results in econometrics
Ibragimov, Rustam - 2005
Persistent link: https://www.econbiz.de/10003553406
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Efficient estimation of large portfolio loss probabilities in t-copula models
Chan, Joshua C. C.; Kroese, Dirk P. - In: European journal of operational research : EJOR 205 (2010) 2, pp. 361-367
Persistent link: https://www.econbiz.de/10003961239
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Robust estimation of skewness and kurtosis in distributions with infinite higher moments
Bonato, Matteo - In: Finance research letters 8 (2011) 2, pp. 77-87
Persistent link: https://www.econbiz.de/10009301294
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The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities
Braess, Dietrich; Dette, Holger - 2004
In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation of restrained binominal and multinominal proportions. Quadratic, normalized quadratic and entropy loss are considered and it is demonstrated that in all cases linear estimators...
Persistent link: https://www.econbiz.de/10010516921