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Econometric modeling of risk measures: A selective review of the recent literature
Since the financial crisis in 2008, the risk measures which are the core of risk management, have received increasing attention among economists and...
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Discrete probability models
Have you ever lived on an active volcanic field? It might sound like a rather reckless thing to do, but we’re all doing it here in Auckland, New... -
Basic Stochastic Computational Methods
In this chapter, several fundamental stochastic computational tools are introduced. The chapter starts by presenting the ideas of the Monte Carlo... -
Outlier Detection Using the Range Distribution
Detecting outliers is a major issue that has been studied in various applications and research domains. Statistical analysis procedures are affected... -
Estimating the Amount of Sparsity in Two-Point Mixture Models
We consider the problem of estimating the fraction of nonzero means in a sparse normal mixture model in the region where variable selection is...
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Moderate Deviations for Parameter Estimation in the Fractional Ornstein-Uhlenbeck Processes with Periodic Mean
In this paper, we study the asymptotic properties for the drift parameter estimators in the fractional Ornstein-Uhlenbeck process with periodic mean...
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An Indirect Single-Position Coordinate Determination Method Considering Motion Invariants under Singular Measurement Errors
AbstractThe problem of indirect single-position coordinate determination based on the smoothed measurements of bearing and the radial velocity of an...
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Engineering Applications of Design Optimization Under Uncertainty
This chapter summarizes various engineering applications of design optimization under uncertainty into two categories, i.e., reliability-based design... -
Generalized PELVE and applications to risk measures
The continuing evolution of insurance and banking regulation has raised interest in the calibration of different risk measures associated with...
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Hypothesis Testing
Chapter 12 discusses testing of statistical hypotheses called null and alternative hypothesis.... -
Quickest Changepoint Detection in General Multistream Stochastic Models: Recent Results, Applications and Future Challenges
Modern information systems generate large volumes of data with anomalies that occur at unknown points in time and have to be detected quickly and... -
Bayesian Estimation of Discrete Exponentiated Pareto Distribution
AbstractIn this paper, the discrete exponentiated Pareto distribution with Bayesian parameter estimation is introduced. Some statistical properties...
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Bayesian Multimodal Models for Risk Analyses of Low-Probability High-Consequence Events
This paper reviews a set of Bayesian model updating methodologies for quantification of uncertainty in multimodal models for estimating failure... -
Graphical Models for Commodities: A Quantile Approach
The high level of integration of international financial markets highlights the need to accurately assess contagion and systemic risk under different... -
The Impact of Newspaper-Based Uncertainty Indices on Tail Risk Forecasting
This paper investigates the impact of economic policy uncertainty on tail risk forecasting. We refer to the Realized Exponential GARCH model as it... -
New Challenges in Covariance Estimation: Multiple Structures and Coarse Quantization
In this self-contained chapter, we revisit a fundamental problem of multivariate statistics: estimating covariance matrices from finitely many... -
Local Dependence Test Between Random Vectors Based on the Robust Conditional Spearman’s ρ and Kendall’s τ
This paper introduces two local conditional dependence matrices based on Spearman’s ρ and Kendall’s τ given the condition that the underlying random...
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Support Recovery of Gaussian Graphical Model with False Discovery Rate Control
This paper focuses on the support recovery of the Gaussian graphical model (GGM) with false discovery rate (FDR) control. The graceful symmetrized...
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Extreme Events and Emergency Scales
An event is extreme if its magnitude exceeds the threshold. A choice of a threshold is subject to uncertainty caused by a method, the size of... -
High-dimensional robust inference for censored linear models
Due to the direct statistical interpretation, censored linear regression offers a valuable complement to the Cox proportional hazards regression in...