Search Results - subject:"statistical robustness"

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025

forecasting, stochastic volatility modeling, risk management and other applications requiring statistical robustness in complex …

Persistent link: https://www.econbiz.de/10015338665

Mathematical programs with distributionally robust chance constraints : statistical robustness, discretization and reformulation

Jiang, Jie; Peng, Shen - In: European journal of operational research : EJOR 313 (2024) 2, pp. 616-627

Persistent link: https://www.econbiz.de/10014456605

Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Zhang, Sainan; Xu, Huifu - In: Computational management science 19 (2022) 4, pp. 703-738

Persistent link: https://www.econbiz.de/10013447511

The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework

Pogliani, Alessandro; Paganini, Federico; Rata, Marilena - In: Journal of risk 21 (2018/2019) 4, pp. 1-17

Persistent link: https://www.econbiz.de/10012059858

Ranking of investment funds : acceptability versus robustness

Rossello, Damiano - In: European journal of operational research : EJOR 245 (2015) 3, pp. 828-836

Persistent link: https://www.econbiz.de/10011312111

Law-invariant risk measures: Extension properties and qualitative robustness

Koch-Medina, Pablo; Munari, Cosimo - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 215-236

statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures …

Persistent link: https://www.econbiz.de/10014621226

Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations

Genton, Marc G.; Lucas, André - Tinbergen Institute - 2000

We provide a new definition of breakdown in finite samples with an extension to asymptotic breakdown. Previous definitions center around defining a critical region for either the parameter or the objective function. If for a particular outlier constellation the critical region is entered,...

Persistent link: https://www.econbiz.de/10005281897

Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations

Genton, Marc G.; Lucas, André - 2000

Persistent link: https://www.econbiz.de/10010324408

Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations

Genton, Marc G.; Lucas, André - Tinbergen Instituut - 2000

Persistent link: https://www.econbiz.de/10011255743

Comprehensive definitions of breakdown-points for independent and dependent observations

Genton, Marc G.; Lucas, André - 2000

Persistent link: https://www.econbiz.de/10011303297