Search Results - subject:"Predictive inference"

Bootstrap consistency for the Mack bootstrap

Steinmetz, Julia; Jentsch, Carsten - In: Insurance : mathematics and economics 115 (2024), pp. 83-121

Persistent link: https://www.econbiz.de/10015066731

A Bayesian Small Area Model with Dirichlet Processes on the Responses

Yin, Jiani; Nandram, Balgobin - In: Statistics in Transition New Series 21 (2020) 3, pp. 1-19

skewed. Usually, in small area estimation, predictive inference is done using a two-stage Bayesian model with normality at … predictive inference. This model has a Gaussian (normal) distribution on the area means, and so we call it the DPG model …. For Bayesian predictive inference, we need to integrate two data sets, one with the responses and other with area sizes …

Persistent link: https://www.econbiz.de/10012600255

A Bayesian small area model with Dirichlet processes on the responses

Yin, Jiani; Nandram, Balgobin - In: Statistics in transition : an international journal of … 21 (2020) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10012291514

Robust Portfolio Protection: A Scenarios-Based Approach

Mankaï, Selim; Guesmi, Khaled - Institut de Préparation à l'Administration et à la … - 2014

This paper constructs a robust optimization framework of the uncertain worst-case return. The model defines an adjustable discrete uncertainty set which controls the conservatism of the optimal asset allocation. Without prior assumptions on the data generating process, the model also develops an...

Persistent link: https://www.econbiz.de/10010786598

Data-Driven Robust Optimization with Application to Portfolio Management

Mankaï, Selim - Institut de Préparation à l'Administration et à la … - 2014

Portfolio optimization results are strongly dependent on the model parameters. To circumvent this shortcoming, this paper proposes a new modeling approach to address data uncertainty. The model offers full control over the degree of conservatism and underlines its interaction with robustness for...

Persistent link: https://www.econbiz.de/10010860464

Robust Portfolio Protection: A Scenarios-Based Approach

Mankaï, Selim; GUESMI, Khaled - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

Persistent link: https://www.econbiz.de/10010992374

Rate of Convergence of Predictive Distributions for Dependent Data

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - 2009

This paper deals with empirical processes of the type Cn(B) = n^(1/2) {µn(B) - P(Xn+1 in B

Persistent link: https://www.econbiz.de/10010335326

Rate of Convergence of Predictive Distributions for Dependent Data

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - Dipartimento di Scienze Economiche e Aziendali, … - 2009

This paper deals with empirical processes of the type Cn(B) = n^(1/2) {µn(B) - P(Xn+1 in B | X1, . . . ,Xn)} , where (Xn) is a sequence of random variables and µn = (1/n)SUM(i=1,..,n) d(Xi) the empirical measure. Conditions for supB|Cn(B)| to converge stably (in particular, in distribution)...

Persistent link: https://www.econbiz.de/10009651795

Rate of convergence of predictive distributions for dependent data

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - 2009

Persistent link: https://www.econbiz.de/10010259915

Nonparametric regression density estimation using smoothly varying normal mixtures

Villani, Mattias; Kohn, Robert; Giordani, Paolo - 2007

We model a regression density nonparametrically so that at each value of the covariates the density is a mixture of normals with the means, variances and mixture probabilities of the components changing smoothly as a function of the covariates. The model extends existing models in two important...

Persistent link: https://www.econbiz.de/10010320765