Search Results - subject:"Pseudo observations"

The finite sample properties of sparse M-estimators with pseudo-observations

Poignard, Benjamin; Fermanian, Jean-David - 2019

Persistent link: https://www.econbiz.de/10012237251

Comparison of specification tests for GARCH models

Ghoudi, Kilani; Rémillard, Bruno - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 291-300

Specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models are compared using simulations. More precisely, Cramér–von Mises and Kolmogorov–Smirnov type statistics are computed for empirical processes based on the standardized...

Persistent link: https://www.econbiz.de/10010776993

Recognizing and visualizing copulas : an approach using local Gaussian approximation

Berentsen, Geir Drage; Støve, Bård; Tjostheim, Dag; … - In: Insurance / Mathematics & economics 57 (2014), pp. 90-103

Persistent link: https://www.econbiz.de/10010402717

Pseudo Observations in Multi-State Models and CUSUM Charts for Monitoring Outcomes of Multi-Center Studies.

Biswas, Pinaki - 2007

This dissertation looks at two different problems essentially. In recent years, pseudo observations have found … performance of estimates and confidenceintervals based on pseudo observations in the context of a multi-state model with … some theory that the pseudo observations method presents difficulty with implementation and may lead to inconsistent …

Persistent link: https://www.econbiz.de/10009477294

Testing For Equality Between Two Copulas

Rémillard, Bruno; Scaillet, Olivier - 2006

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cram´er-von Mises test statistic. Finite sample properties...

Persistent link: https://www.econbiz.de/10005534205

Validation of historical and future statistically downscaled pseudo-observed surface wind speeds in terms of annual climate indices and daily variability

Gaitan, Carlos F.; Cannon, Alex J. - In: Renewable Energy 51 (2013) C, pp. 489-496

pseudo-observations in terms of both downscaled daily variability and annual climate indices characterized by the proposed …

Persistent link: https://www.econbiz.de/10010804192

Pure robust versus robust portfolio unbiased—Credibility and asymptotic optimality

Pitselis, Georgios - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 391-403

Empirical credibility estimation, which is a credibility counterpart of empirical Bayes estimation, lacks robustness due to the sensitivity of estimators to outlier events. In this paper we combine robust statistics with empirical linear Bayes estimation and derive robust asymptotic optimality...

Persistent link: https://www.econbiz.de/10011046674

Testing for equality between two copulas

Rémillard, Bruno; Scaillet, Olivier - In: Journal of Multivariate Analysis 100 (2009) 3, pp. 377-386

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramer-von Mises test statistic. Finite sample properties are...

Persistent link: https://www.econbiz.de/10005199360

Test of independence and randomness based on the empirical copula process

Genest, Christian; Rémillard, Bruno - In: TEST: An Official Journal of the Spanish Society of … 13 (2004) 2, pp. 335-369

Persistent link: https://www.econbiz.de/10005613358