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  • Search: subject:"Shape parameters"
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Year of publication
Subject
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EM Algorithm 2 Estimation 2 Estimation theory 2 Exponential-Generalized Inverse Gaussian Distribution 2 Schätztheorie 2 Schätzung 2 Shape parameters 2 Statistical distribution 2 Statistische Verteilung 2 Time series analysis 2 Zeitreihenanalyse 2 dispersion and shape parameters 2 heavy-tailed losses 2 non-life insurance 2 regression models for the mean 2 shape parameters 2 Algorithm 1 Algorithmus 1 Bahadur representation results 1 Bandwidths 1 Capital income 1 Cross-validation 1 Decomposition method 1 Dekompositionsverfahren 1 Dynamic distribution 1 ETAS models 1 Elliptical distributions 1 Emerging economies 1 Forecasting model 1 Heavy tails 1 Intensity function 1 Kapitaleinkommen 1 Kernel estimates 1 MCD estimators 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Prognoseverfahren 1 Realized kernel 1 Regression analysis 1 Regressionsanalyse 1
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Online availability
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Free 4 Undetermined 3 CC license 2
Type of publication
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Article 7 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Article 1
Language
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English 5 Undetermined 3
Author
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Jeong, Himchan 2 Tzougas, George 2 Adelfio, Giada 1 Alagidede, Imhotep Paul 1 Ayala, Astrid 1 Bianchi, Carlo 1 Blazsek, Szabolcs 1 Cirillo, Pasquale 1 Escribano, Álvaro 1 Gallegati, Mauro 1 Lucas, André 1 Ogata, Yosihiko 1 Opschoor, Anne 1 Owusu Junior, Peterson 1 Paindaveine, Davy 1 Tweneboah, George 1 Vagliasindi, Pietro 1 Van Bever, Germain 1
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Institution
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Society for Computational Economics - SCE 1
Published in...
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Annals of the Institute of Statistical Mathematics 1 Computing in Economics and Finance 2006 1 Economics and Business Letters : EBL 1 International journal of forecasting 1 Journal of Multivariate Analysis 1 Risks 1 Risks : open access journal 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1
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Source
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ECONIS (ZBW) 4 RePEc 3 EconStor 1
Showing 1 - 8 of 8
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Anticipating extreme losses using score-driven shape filters
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
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An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Tzougas, George; Jeong, Himchan - In: Risks 9 (2021) 1, pp. 1-17
This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...
Persistent link: https://www.econbiz.de/10013200689
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An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Tzougas, George; Jeong, Himchan - In: Risks : open access journal 9 (2021) 1/19, pp. 1-17
This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...
Persistent link: https://www.econbiz.de/10012423047
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Time-varying variance and skewness in realized volatility measures
Opschoor, Anne; Lucas, André - In: International journal of forecasting 39 (2023) 2, pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
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Shape-shift contagion in emerging markets equities : evidence from frequency- and time-domain analysis
Owusu Junior, Peterson; Alagidede, Imhotep Paul; … - In: Economics and Business Letters : EBL 9 (2020) 3, pp. 146-156
Persistent link: https://www.econbiz.de/10012420469
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Inference on the shape of elliptical distributions based on the MCD
Paindaveine, Davy; Van Bever, Germain - In: Journal of Multivariate Analysis 129 (2014) C, pp. 125-144
The minimum covariance determinant (MCD) estimator of scatter is one of the most famous robust procedures for multivariate scatter. Despite the quite important research activity related to this estimator, culminating in the recent thorough asymptotic study of Cator and Lopuhaä (2010, 2012), no...
Persistent link: https://www.econbiz.de/10011041923
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Hybrid kernel estimates of space–time earthquake occurrence rates using the epidemic-type aftershock sequence model
Adelfio, Giada; Ogata, Yosihiko - In: Annals of the Institute of Statistical Mathematics 62 (2010) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10008497336
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Validating and Calibrating Agent-based Models: a Case Study
Cirillo, Pasquale; Bianchi, Carlo; Gallegati, Mauro; … - Society for Computational Economics - SCE - 2006
In this paper we deal with the validation of an agent-based model and, in particular, with the technical validation process, that is to say all the set of test and methods used to analyze if the results of a simulation agree with reality. Today, thanks to some important studies, validation...
Persistent link: https://www.econbiz.de/10005132620
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