It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...

Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it...

Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...

The fuzzy transform (F-transform), introduced by I. Perfilieva, is a powerful tool for the construction of fuzzy approximation models; it is based on generalized fuzzy partitions and it is obtained by minimizing a quadratic (L₂-norm) functional. In this paper we describe an analogous...

In this paper, we introduce a methodology based on zero-inflated long-term survival data in order to deal with fraud rate estimation in bank loan portfolios. Our approach enables us to accommodate three different types of loan borrowers, i.e., fraudsters, those who are susceptible to default...

The proportional subdistribution hazards (PSH) model is popularly used to deal with competing risks data. Censored quantile regression provides an important supplement as well as variable selection methods, due to large numbers of irrelevant covariates in practice. In this paper, we study...