| Publication | Date of Publication | Type |
|---|
On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach
Advances in Data Analysis and Classification. ADAC | 2024-10-03 | Paper |
FitDynMix
| 2024-01-11 | Software |
Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér - von Mises distance
Computational Statistics and Data Analysis | 2023-09-01 | Paper |
Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér-von Mises distance
Computational Statistics and Data Analysis | 2023-07-13 | Paper |
LNPar
| 2023-06-30 | Software |
Estimating the wrapped stable distribution via indirect inference
Communications in Statistics. Simulation and Computation | 2022-12-13 | Paper |
The truncated g-and-h distribution: estimation and application to loss modeling
Computational Statistics | 2022-11-15 | Paper |
Some analytical results on bivariate stable distributions with an application in operational risk
Quantitative Finance | 2022-07-22 | Paper |
On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach
Advances in Data Analysis and Classification. ADAC | 2022-03-08 | Paper |
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
Quantitative Finance | 2021-12-01 | Paper |
Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach
Computational Statistics | 2021-11-23 | Paper |
A characteristic function-based approach to approximate maximum likelihood estimation
Communications in Statistics: Theory and Methods | 2021-10-28 | Paper |
tukeyGH
| 2021-04-10 | Software |
A simple approach to the estimation of Tukey's gh distribution
Journal of Statistical Computation and Simulation | 2020-04-01 | Paper |
Approximate maximum likelihood estimation of the autologistic model
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
US stock returns: are there seasons of excesses?
Quantitative Finance | 2018-11-14 | Paper |
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
Computational Statistics and Data Analysis | 2018-08-14 | Paper |
Approximate maximum likelihood estimation of the Bingham distribution
Computational Statistics and Data Analysis | 2018-08-14 | Paper |
An extreme value analysis of the last century crises across industries in the U.S. economy
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Fitting spatial regressions to large datasets using unilateral approximations
Communications in Statistics: Theory and Methods | 2018-04-27 | Paper |
Likelihood-based risk estimation for variance-gamma models
Statistical Methods and Applications | 2018-04-12 | Paper |
Density approximations and VaR computation for compound Poisson-lognormal distributions
Communications in Statistics. Simulation and Computation | 2017-06-13 | Paper |
Estimation of the lognormal-Pareto distribution using probability weighted moments and maximum likelihood
Communications in Statistics. Simulation and Computation | 2015-07-29 | Paper |
On maximum likelihood estimation of a Pareto mixture
Computational Statistics | 2015-02-18 | Paper |
A maximum entropy approach to loss distribution analysis
Entropy | 2014-09-19 | Paper |
Adaptive importance sampling for simulating copula-based distributions
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
Communications in Statistics. Simulation and Computation | 2009-05-12 | Paper |
Estimating rating transition probabilities with missing data
Statistical Methods and Applications | 2006-06-12 | Paper |
Modelling credit default swap spreads by means of normal mixtures and copulas
Applied Mathematical Finance | 2005-05-09 | Paper |
Testing for Redundancy in Normal Mixture Analysis
Communications in Statistics. Simulation and Computation | 2005-01-17 | Paper |
scientific article; zbMATH DE number 2067985 (Why is no real title available?)
| 2004-05-27 | Paper |
