Statistical Inference for a Relative Risk Measure
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Cites work
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Empirical likelihood
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Estimation of the marginal expected shortfall: the mean when a related variable is extreme
- Extreme value theory. An introduction.
- Generalized autoregressive conditional heteroscedasticity
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- scientific article; zbMATH DE number 4039032 (Why is no real title available?)
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- Inference for intermediate Haezendonck-Goovaerts risk measure
- Jackknife Empirical Likelihood
- Jackknife empirical likelihood method for copulas
- Jackknife empirical likelihood method for some risk measures and related quantities
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Smoothed jackknife empirical likelihood method for ROC curve
- Smoothed jackknife empirical likelihood method for tail copulas
- Statistics for near independence in multivariate extreme values
- The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
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