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Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data
Green, Christopher G - 2017
construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming …
Persistent link: https://www.econbiz.de/10012946531
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Safe approximations of chance constraints using historical data
Yanıkoğlu, İhsan; Hertog, Dirk den - 2011
Persistent link: https://www.econbiz.de/10009389594
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Robust parameter design based on Gaussian process with model uncertainty
Feng, Zebiao; Wang, Jianjun; Ma, Yizhong; Tu, Yiliu - In: International journal of production research 59 (2021) 9, pp. 2772-2788
Persistent link: https://www.econbiz.de/10012516258
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Sellers with misspecified models
Madarász, Kristóf; Prat, Andrea - In: The review of economic studies 84 (2017) 2, pp. 790-815
Persistent link: https://www.econbiz.de/10011751758
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Sensitivity to serial dependency of input processes : a robust approach
Lam, Henry - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1311-1327
Persistent link: https://www.econbiz.de/10011847235
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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Optimal bandwidth selection in heteroskedasticity- autocorrelation robust testing
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 1, pp. 175-194
Persistent link: https://www.econbiz.de/10003726590
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Optimal bandwidth choice for interval estimation in GMM regression
Sun, Yixiao (contributor); Phillips, Peter C. B. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003767435
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Robust online signal extraction from multivariate time series
Lanius, Vivian; Gather, Ursula - 2007
We introduce robust regression-based online filters for multivariate time series and discuss their performance in real time signal extraction settings. We focus on methods that can deal with time series exhibiting patterns such as trends, level changes, outliers and a high level of noise as well...
Persistent link: https://www.econbiz.de/10003835680
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A robust entropy-based test of asymmetry for discrete and continuous processes
Maasoumi, Esfandiar (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003811473