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Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; 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/10011431354

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/10011804255

Model selection in radon data fusion

Zhang, Xuze; Pyne, Saumyadipta; Kedem, Benjamin - In: Statistics in transition : an international journal of … 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/10012317740

Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 9 (2022) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10013367492

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/10014433313