Search Results - subject_exact:"Robust estimation"

Weber, Thomas A. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015394871

When tails are heavy : the benefits of variance-targeted, non-Gaussian, quasi-maximum likelihood estimation of GARCH models

Prono, Todd - 2025 - This version: July 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471286

Robust learning of tail dependence

Ardakani, Omid M. - 2025

Accurate estimation of tail dependence is difficult due to model misspecification and data contamination. This paper introduces a class of minimum f-divergence estimators for the tail dependence coefficient that unifies robust estimation with extreme value theory. I establish strong consistency...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015562118

Stable and reliable monthly repeat rent indices : a robust approach

Boudt, Kris; Inghelbrecht, Koen; Besien, Maarten Van - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015607124

Modeling financial risk attitude : the role of education and financial literacy

Iannario, Maria; Monti, Anna Clara; Scalera, Domenico - 2024

This paper studies the relationship between risk propensity, education and financial literacy. The results of the empirical investigation confirm the importance of the key explanatory variables of education and financial competence. Since they are both included in the model, the different roles...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014636624

Robust estimation of the tail index of a single parameter pareto distribution from grouped data

Poudyal, Chudamani - 2024

Numerous robust estimators exist as alternatives to the maximum likelihood estimator (MLE) when a completely observed ground-up loss severity sample dataset is available. However, the options for robust alternatives to a MLE become significantly limited when dealing with grouped loss severity...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014497443

Regression modelling under general heterogeneity

Giraitis, Liudas; Kapetaniosi, George; Li, Yufei - 2024

This paper introduces and analyses a setting with general heterogeneity in regression modelling. It shows that regression models with fixed or time-varying parameters can be estimated by OLS or time-varying OLS methods, respectively, for a very wide class of regressors and noises, not covered by...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015095127

A robust approach to tilting : parametric relative entropy

Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015610425

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A robust approach to tilting : parametric relative entropy

Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2026

Book / Working Paper

Machine learning-enriched distributionally robust optimization and hybrid decomposition to joint optimization of transportation hub network design and pricing

Shekarabi, Ashkan Hosseini; Kiani Mavi, Reza; Macau, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015553007

Robust trust

Dworczak, Piotr; Smolin, Alex - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605614

Robust functional principal component analysis for detecting anomalous behaviors in electricity markets

Bernardi, Mara Sabina; Cerasa, Andrea; Grossi, Luigi; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627091

Robust frontier and efficiency analysis with frontiles

Daouia, Abdelaati; Laurent, Thibault - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637924

Double-edged sword of diversification : commodities and African equity indices in robust vs. optimal portfolio strategies

Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - 2026

This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framework, we compare the performance of three...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640563

Barron-Loss adaptive estimation

Punder, Ramon de; Dijkstra, Mathijs R. G.; Diks, Cees G. H. - 2026

The score-driven framework relies on pre-specified scoring rules tied to assumed conditional densities, making it vulnerable to misspecification under outliers or structural breaks. We embed the flexible Barron loss within the quasi score-driven (QSD) framework, allowing the degree of robustness...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644884

An accuracy-level method for robust evaluation in predictive analytics

Agustini, Mety; Fithriasari, Kartika; Prastyo, Dedy Dwi - 2026

Evaluation metrics are essential in selecting the most appropriate predictive model. Conventional metrics such as R-squared, root mean squared error (RMSE), and mean absolute percentage error (MAPE) rely on arithmetic averages, making them sensitive to outliers, undefined values, and scale...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652207

Evaluating ESG effects on firm's technical efficiency with robust nonparametric frontiers : insights from Asia

Arsenopoulou, Maria; Nerantzidis, Michail; Lazarides, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015482807

ROBIST : robust optimization by iterative scenario sampling and statistical testing

Starreveld, Justin; Jin, Guanyu; Hertog, Dirk den; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534326

Mitigating choice model ambiguity : a consensus framework and its application to assortment optimization

Attila, Öykü Naz; Jena, Sanjay Dominik; Rei, Walter - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015543024

Robustly non-harmful information for biased learners

Kornemann, Malte - 2026

I examine when robustly beneficial information can be provided to a receiver who also learns from misspecified background sources that are outside the provider's control. In contrast to information provision for rational receivers, any source can be harmful under certain misspecifications of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654931

Partially conditional average treatment effect on treated for difference-in-differences

Yang, Jiale; Cai, Zongwu; Zhong, Qixian - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015673589

Distributionally robust extended Kalman filtering for lithiumion battery state-of-charge estimation

Fisher, D.; Sheshyekani, K.; Lesage-Landry, A. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675671

Propensity score and the double robust estimator in the tails

Furno, Marilena - 2026

This study analyzes the performance of the double robust estimator to compute the treatment effect, not only at the mean but also in the tails in a Monte Carlo experiment. While previous research focused on shifting the regression component of the double robust estimator toward the tail, here we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059540

Robustness? : range tests for equality and equivalence across specifications

Jaeger, David A. - 2026

Applied economists routinely compare estimates across specifications, observe that they are "similar," and conclude that their results are "robust." This common procedure makes an implicit inferential claim about the range of estimates, but usually does not account for their joint sampling...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016069307

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Robustness? : range tests for equality and equivalence across specifications

Jaeger, David A. - 2026

Book / Working Paper

Robust signal maximization in spillover experiments

Borusyak, Kirill; Hull, Peter; Munro, Evan - 2026

We study the optimal design and analysis of experiments for estimating spillover effects. Assuming a known (e.g., linear) exposure mapping, we characterize the treatment-assignment distribution and regression-based estimator that minimize worst-case asymptotic variance against a broad class of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063003

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Robust signal maximization in spillover experiments

Borusyak, Kirill; Hull, Peter; Munro, Evan - 2026

Book / Working Paper

Robust Signal Maximization in Spillover Experiments

Borusyak, Kirill; Hull, Peter; Munro, Evan M. - 2026

Book / Working Paper

Robustness in binary-action supermodular games revisited

Oyama, Daisuke; Takahashi, Satoru - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083144

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Robustness in Binary-Action Supermodular Games Revisited

Oyama, Daisuke; Takahashi, Satoru - 2023

Book / Working Paper

Robust data envelopment analysis models for efficiency evaluation with new uncertainty sets

Arabmaldar, Aliasghar; Hatami-Marbini, Adel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081973

Polynomial time separation algorithms for robust vehicle routing under traveltime uncertainty

Campos, Rafael; Coelho, Leandro C.; Munari, Pedro - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016074500

Robust Inference Via Heteroskedasticity in Linear Models

Akbal, Omer Faruk - 2026

We study inference via heteroskedasticity in linear models commonly used for macroeconomic policy analysis, where covariate endogeneity must often be addressed with limited time and data. Our framework nests standard heteroskedasticity-based approaches, allows for new non-nested restrictions,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016087713

Mean-CVaR portfolio optimization under ESG disagreement

Lauria, Davide; Bonomelli, Marco; Torri, Gabriele; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016088581

Data-driven multi-stage stochastic programming models for integrated hurricane relief logistics and evacuation problem

Bhattarai, Sudhan; Song, Yongjia - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016088453

Robust econometrics for growth-at-risk

Adrian, Tobias; Sasaki, Yuya; Wang, Yulong - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091546

A design-based approach to spatial correlation

Xu, Ruonan; Wooldridge, Jeffrey M. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091938

Factor sufficiency in asset pricing : an application for the Brazilian Market

Dezidério dos Santos Rocha, Rafaela; Laurini, Márcio … - 2023

The multifactor asset pricing model derived from the Fama-French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of this model. In this work, we compare...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014485370

Classifying Swiss geothermal policies with the Group Robust FlowSort method incorporating imprecise inputs and robustness concerns

Huang, River; Kadziński, Miłosz; Siskos, Eleftherios; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617048

Robust ordinal regression for subsets comparisons with interactions

Gilbert, Hugo; Ouaguenouni, Mohamed; Öztürk, Meltem; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015085164

A robust infinite-horizon optimal control approach to climate economics

Babonneau, Frédéric; Haurie, Alain; Vielle, Marc - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015549177

Valid heteroskedasticity robust testing

Pötscher, Benedikt M.; Preinerstorfer, David - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374599

Data-driven prediction of relevant scenarios for robust combinatorial optimization

Goerigk, Marc; Kurtz, Jannis - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330169

Robust portfolio selection under model ambiguity using deep learning

Miri, Sadegh; Salavati, Erfan; Shamsi, Mostafa - 2025

In this study, we address the ambiguity in portfolio optimization, particularly focusing on the uncertainty related to the statistical parameters governing asset returns. We propose a novel method that combines robust optimization with artificial neural networks (ANNs). Our approach effectively...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338300

Robust solutions via optimisation and predictive process monitoring for the scheduling of the interventional radiology procedures

Di Cunzolo, Matteo; Ronzani, Massimiliano; Aringhieri, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338346

General Polyhedral Approximation of two-stage robust linear programming for budgeted uncertainty

Grunau, Lukas; Niemann, Tim; Stiller, Sebastian - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338565

A robustness reproduction of Cox et al. (2023)

Siepe, Björn S.; Kloft, Matthias; Aktepe, Semih C.; … - 2025

Cox et al. (2023) investigated the acoustic features of infant-directed speech. They used Bayesian meta-analyses to investigate five acoustic features with data from 88 studies. In the present robustness reproduction, we first check if the reported results are reproducible based on the data and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015188787

Double robust inference for continuous updating GMM

Kleibergen, Frank; Zhan, Zhaoguo - 2025

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015190343

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Double robust inference for continuous updating GMM

Kleibergen, Frank - 2021

Book / Working Paper

Norm constrained empirical portfolio optimization with stochastic dominance : robust optimization non-asymptotics

Arvanitis, Stelios - 2025

The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015194229

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Norm constrained empirical portfolio optimization with stochastic dominance : robust optimization non-asymptotics

Arvanitis, Stelios - 2025

Book / Working Paper

Robust inference in instrumental variable models

Klooster, Jens - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015199696

Outer approximation for generalized convex mixed-integer nonlinear robust optimization problems

Kuchlbauer, Martina - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358978

Robust parameter design for constrained randomization lifetime improvement experiments

Lv, Shanshan; Zhao, Yichen; Li, Sen; Wang, Guodong; … - 2025

Several process parameters affect product reliability. Traditional reliability improvement methods primarily focus on maximizing product lifetime, often overlooking the variation in product lifetime. Manufacturers, however, aim to produce products with minimal variations in their performance....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015361722