Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach

DOI10.1515/STRM-2015-0009MaRDI QIDQ293596zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai, Steffen Schenk, Matthias Scherer

Publication date 9 June 2016

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2015-0009

zbMATH Keywords

model uncertaintyDirichlet copulamodel robustnessvalue-at-risk models

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random measures (60G57) Special processes (60K99) Exchangeability for stochastic processes (60G09)

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Cites work

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Cited in

(5)

• The infinite extendibility problem for exchangeable real-valued random vectors
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• Stochastic species abundance models involving special copulas
• Practical robust estimators for the imprecise Dirichlet model
• On the construction of radially symmetric copulas in higher dimensions

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