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The weak Pareto law and regular variation in the tails

Krämer, Walter; Ziebach, Thorsten - 2002

We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities, but that the reverse implication does not hold. We also establish implications among other versions of the weak Pareto law.

Persistent link: https://www.econbiz.de/10010316717

Tail Distribution of the Maximum of Correlated Gaussian Random Variables

Botev, Zdravko; Mandjes, Michel; Ridder, Ad - 2015

In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...

Persistent link: https://www.econbiz.de/10011451510

Parametric models for biomarkers based on flexible size distributions

Davillas, Apostolos; Jones, Andrew M. - 2018

Recent advances in social science surveys include collection of biological samples. Although biomarkers offer a large potential for social science and economic research, they impose a number of statistical challenges, often being distributed asymmetrically with heavy tails. Using data from the...

Persistent link: https://www.econbiz.de/10012028750

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks 8 (2020) 1, pp. 1-36

This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can be predicted with certainty, i.e., that...

Persistent link: https://www.econbiz.de/10013200560

Model selection in radon data fusion

Zhang, Xuze; Pyne, Saumyadipta; Kedem, Benjamin - In: Statistics in Transition New Series 21 (2020) 4, pp. 159-165

Fitting parametric models or the use of the empirical cumulative distribution function are problematic when it comes to the estimation of tail probabilities from small samples. A possible remedy is to fuse or combine the small samples with additional data from external sources and base the...

Persistent link: https://www.econbiz.de/10012600250

On the Kavya-Manoharan-Burr X model: Estimations under ranked set sampling and applications

Hassan, Osama H. Mahmoud; Elbatal, Ibrahim; Al-Nefaie, … - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-20

A new two-parameter model is proposed using the Kavya-Manoharan (KM) transformation family and Burr X (BX) distribution. The new model is called the Kavya-Manoharan-Burr X (KMBX) model. The statistical properties are obtained, involving the quantile (QU) function, moment (MOs), incomplete MOs,...

Persistent link: https://www.econbiz.de/10014332794

Indirect inference and small sample bias - Some recent results

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2023

Macroeconomic researchers use a variety of estimators to parameterise their models empirically. One such is FIML; another is a form of indirect inference we term "informal" under which data features are "targeted" by the model -i.e. parameters are chosen so that model-simulated features...

Persistent link: https://www.econbiz.de/10014480499

Targeting moments for calibration compared with indirect inference

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2022

of certain data moments; the modelís simulated performance for other moments is then compared to the data for these as an … Inference, FII, chooses a set of moments as the auxiliary model and computes the Wald statistic for the joint distribution of … these moments according to the structural DSGE model; it tests the model according to the probability of obtaining the data …

Persistent link: https://www.econbiz.de/10014480592

The role of fiscal policy: A survey of recent empirical findings

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2023

DSGE models based on New Keynesian principles, which have been extended to allow for banking, the zero lower bound on interest rates (ZLB), and varying price duration, can account well for recent macroeconomic behavior across a variety of economies. These models Önd that active Öscal policy...

Persistent link: https://www.econbiz.de/10014480698

Moment characterization of higher-order risk preferences

Ebert, Sebastian - 2010

preferences in terms of statistical moments. An implication is, for example, that prudence implies preference for distributions … with higher skewness as defined by all odd moments. Moreover, we show that this preference is robust towards variation in … kurtosis as defined by all even moments. We thus speak of the kurtosis robustness feature of prudence. Further, we show that …

Persistent link: https://www.econbiz.de/10010293372