ROptEst
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Software:18232
swMATH6096CRANROptEstMaRDI QIDQ18232FDOQ18232
Optimally Robust Estimation
Last update: 7 February 2024
Copyright license: GNU Lesser General Public License, version 3.0
Software version identifier: 1.3.1, 0.5.0, 0.6.0, 0.6.2, 0.6.3, 0.7, 0.8.1, 0.8, 0.9, 1.0.1, 1.0, 1.1.0, 1.2.0, 1.2.1, 1.3.3
Source code repository: https://github.com/cran/ROptEst
R infrastructure for optimally robust estimation in general smoothly parameterized models using S4 classes and methods as decribed Kohl, M., Ruckdeschel, P., and Rieder, H. (2010), <doi:10.1007/s10260-010-0133-0>, and in Rieder, H., Kohl, M., and Ruckdeschel, P. (2008), <doi:10.1007/s10260-007-0047-7>.
Cited In (14)
- Robust parameter estimation for the Ornstein-Uhlenbeck process
- ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS
- Optimally robust estimators in generalized Pareto models
- Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
- (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
- Tukey's M-estimator of the Poisson parameter with a special focus on small means
- Robust worst-case optimal investment
- Title not available (Why is that?)
- Infinitesimally robust estimation in general smoothly parametrized models
- Optimal robust influence functions in semiparametric regression
- Regularized robust optimization: the optimal portfolio execution case
- RobExtremes
- Statistical inference for structured high-dimensional models. Abstracts from the workshop held March 11--17, 2018
- Schrödinger wave functional in quantum Yang-Mills theory from precanonical quantization
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