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The transformed Gram Charlier distribution : parametric properties and financial risk applications

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of empirical finance 63 (2021), pp. 323-349

Persistent link: https://www.econbiz.de/10013259272

Distributionally robust chance constraint with unimodality-skewness information and conic reformulation

Shang, Chao; Wang, Chao; You, Keyou; Huang, Dexian - In: Operations research letters 50 (2022) 2, pp. 176-183

Persistent link: https://www.econbiz.de/10013192686

On the optimality conditions of a price-setting newsvendor problem

Luo, Sirong; Sethi, Suresh P.; Shi, Ruixia - In: Operations research letters 44 (2016) 6, pp. 697-701

Persistent link: https://www.econbiz.de/10011622204

Modality for scenario analysis and maximum likelihood allocation

Koike, Takaaki; Hofert, Marius - In: Insurance / Mathematics & economics 97 (2021), pp. 24-43

Persistent link: https://www.econbiz.de/10012491956

Some properties of skew-symmetric distributions

Azzalini, Adelchi; Regoli, Giuliana - In: Annals of the Institute of Statistical Mathematics 64 (2012) 4, pp. 857-879

Persistent link: https://www.econbiz.de/10010848681

Recombining partitions via unimodality tests

Álvarez, Adolfo; Peña, Daniel - Departamento de Estadistica, Universidad Carlos III de … - 2013

density of the data, since departing from unimodality canbe a sign of the presence of clusters. We develop an algorithm that … integrates a splitting process inherited from the SAR algorithm (Peña et al., 2004) with unimodality tests such as the dip test … techniques such as projecting multivariate data into one dimension. The results of the application of multivariate unimodality …

Persistent link: https://www.econbiz.de/10010756110

The beta generalized Pareto distribution with application to lifetime data

Mahmoudi, Eisa - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 11, pp. 2414-2430

The generalized Pareto (GP) distribution is useful in modeling extreme value data, because of its long tail feature. In this paper, a new generalized version of this distribution which is called the beta generalized Pareto (BGP) distribution is introduced. A new distribution is more flexible and...

Persistent link: https://www.econbiz.de/10010870174

Methods for merging Gaussian mixture components

Hennig, Christian - In: Advances in Data Analysis and Classification 4 (2010) 1, pp. 3-34

Persistent link: https://www.econbiz.de/10008486739