Researchers analyzing historical data on human stature have long sought an estimator that performs well in truncated-normal samples. This paper reviews that search, focusing on two currently widespread procedures: truncated least squares (TLS) and truncated maximum likelihood (TML). The first...

In this article we extend the by now classical Longstaff-Schwartz algorithm for approximately solving high dimensional optimal stopping problems. We reformulate the problem of optimal stopping in discrete time as a generalized statistical learning problem. Within this setup we apply modern...

We studied the effects of sample size and distribution scale/shape for 3 types of skewness (g1, G1, and b1) and kurtosis (g2, G2, and b2) using 18 simulated probability distributions. In general, skewness and kurtosis always increased with increasing sample size. The order in the skewness...

Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...