Search Results - subject:"Relative errors"

A simulation-based method for estimating systemic risk measures

Ye, Wuyi; Zhou, Yi; Chen, Pengzhan; Wu, Bin - In: European journal of operational research : EJOR 313 (2024) 1, pp. 312-324

Persistent link: https://www.econbiz.de/10014456563

Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

Vatamidou, E.; Adan, I.J.B.F.; Vlasiou, M.; Zwart, B. - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 366-378

this paper, we construct very accurate approximations of such performance measures that provide small absolute and relative … errors. Motivated by statistical analysis, we assume that the claim sizes are a mixture of a phase-type and a heavy …

Persistent link: https://www.econbiz.de/10010702904

Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378

Persistent link: https://www.econbiz.de/10010195917

Saddlepoint Approximations for Multivariate M-Estimates with Applications to Bootstrap Accuracy

Field, Chris; Robinson, John; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2004

We consider tests or confidence intervals on one of the components of multivariate M-estimates. We obtain marginal tail area approximations for the one-dimensional test statistic based on the appropriate component of the M-estimate for both standardized and Studentized versions. The result is...

Persistent link: https://www.econbiz.de/10005687141

Regresión mínimo-cuadrática con errores relativos.

ALVARGONZÁLEZ RODRÍGUEZ, Mercedes - In: Estudios de Economía Aplicada 26 (2008) Agosto, pp. 1-16

The method of Minimum Squares with Relative Errors (MSRE) consists of estimating the parameters that characterize the … model of regression so that there is minimal the sum of the squares of the relative errors. In this work there a descriptive … exposition of the method of Minimum Squares with Relative Errors is realized, we obtain the esteeming of the parameters for a …

Persistent link: https://www.econbiz.de/10005690339

Saddlepoint approximations for multivariate M-estimates with applications to bootstrap accuracy

Field, Chris; Robinson, John; Ronchetti, Elvezio - In: Annals of the Institute of Statistical Mathematics 60 (2008) 1, pp. 205-224

Persistent link: https://www.econbiz.de/10005616210