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  • Search: subject:"rank-based methods"
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Year of publication
Subject
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Statistical distribution 2 Statistische Verteilung 2 Approximate factor model 1 Common Principal Components 1 Correlation 1 Elliptical distribution 1 Estimation theory 1 Factor analysis 1 Faktorenanalyse 1 Graphical model 1 Heavy-tailed 1 High-dimensionality 1 Korrelation 1 Linear algebra 1 Lineare Algebra 1 Local Asymptotic Normality 1 Loss 1 Low-rank matrix 1 Multivariate Analyse 1 Multivariate Verteilung 1 Multivariate analysis 1 Multivariate distribution 1 Principal components 1 Rank-Based Methods 1 Rank-based methods 1 Risikomaß 1 Risk measure 1 Robustness 1 Sarmanov family of multivariate distributions 1 Schätztheorie 1 Sparse matrix 1 Statistical theory 1 Statistische Methodenlehre 1 Theorie 1 Theory 1 Thresholding 1 Verlust 1 dependence 1 loss reserving 1 rank-based methods 1
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Online availability
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Free 2 CC license 1 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Abdallah, Anas 1 Fan, Jianqing 1 Hallin, Marc 1 Liao, Yuan 1 Liu, Han 1 Paindaveine, Davy 1 Verdebout, Thomas 1 Wang, Lan 1
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Institution
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European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1
Published in...
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Risks : open access journal 1 The econometrics journal 1 Working Papers ECARES 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Rank-based multivariate Sarmanov for modeling dependence between loss reserves
Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37
, we study rank-based methods using the Sarmanov distribution to adequately estimate the loss reserves and properly capture …
Persistent link: https://www.econbiz.de/10014435614
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Optimal Rank-Based Tests for Common Principal Components
Hallin, Marc; Paindaveine, Davy; Verdebout, Thomas - European Centre for Advanced Research in Economics and … - 2011
This paper provides optimal testing procedures for the m-sample null hypothesis of Common Principal Components (CPC) under possibly non Gaussian and heterogenous elliptical densities. We first establish, under very mild assumptions that do not require finite moments of order four, the local...
Persistent link: https://www.econbiz.de/10009367782
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An overview of the estimation of large covariance and precision matrices
Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
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