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  • Search: subject:"Sharp asymptotics"
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Year of publication
Subject
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Sharp asymptotics 2 Common shock 1 Credit risk 1 Default 1 High-dimensional regression 1 Insolvency 1 Insolvenz 1 Kreditrisiko 1 Loss 1 Minimax approach 1 Nonparametric hypotheses testing 1 Portfolio loss 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risk 1 Schock 1 Shock 1 Statistical distribution 1 Statistische Verteilung 1 Systematic risk 1 Theorie 1 Theory 1 Verlust 1 separation rates 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Comminges, Laetitia 1 Dalalyan, Arnak 1 Tang, Qihe 1 Tang, Zhaofeng 1 Yang, Yang 1
Institution
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1
Published in...
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European journal of operational research : EJOR 1 Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Sharp asymptotics for large portfolio losses under extreme risks
Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722
Persistent link: https://www.econbiz.de/10012003644
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Cover Image
Minimax Testing of a Composite null Hypothesis Defined via a Quadratic Functional in the Model of regression
Comminges, Laetitia; Dalalyan, Arnak - Centre de Recherche en Économie et Statistique …
We consider the problem of testing a particular type of composite null hypothesis under a nonparametric multivariate regression model. For a given quadratic functional Q, the null hypothesis states that the regression function f satisfies the constraint Q[f] = 0, while the alternative...
Persistent link: https://www.econbiz.de/10010575236
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