Statistical detection and classification of background risks affecting inputs and outputs

DOI10.1007/S40300-019-00148-3MaRDI QIDQ2272453zbMATH OpenOpenAlexWikidataFDO

Authors N. V. Gribkova, Ričardas Zitikis

Publication date 10 September 2019

Published in Metron (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40300-019-00148-3

zbMATH Keywords

background riskGini indexinputoutputstatistical model

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Applications of statistics to economics (62P20) Risk models (general) (91B05)

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Cites work

• A fresh look at the topical interest of the Gini concentration ratio
• An introduction to copulas.
• Approximation Theorems of Mathematical Statistics
• Asymptotic Representation of Ratio Statistics and Their Mean Squared Errors
• Bibliographic portrait of the Gini concentration ratio
• Dependence modeling with copulas
• Edgeworth expansion and normalizing transformation of ratio statistics and their application
• Estimating the index of increase via balancing deterministic and random data
• Gini's scientific work: an evergreen
• Multiple risk factor dependence structures: distributional properties
• Multiplicative Background Risk
• On risk aversion with two risks
• On the Asymptotic Distribution of Differentiable Statistical Functions
• On the normal approximations of \(V\)- and \(L\)-statistics
• Order Statistics
• Principles of copula theory
• Quantifying non-monotonicity of functions and the lack of positivity in signed measures
• Risk taking with additive and multiplicative background risks
• Statistical foundations for assessing the difference between the classical and weighted-Gini betas
• Strategic behavior in regressions: an experimental study
• Strategy-proof estimators for simple regression.
• The Gini methodology. A primer on a statistical methodology.
• Time series analysis. Forecasting and control
• Weighted risk capital allocations in the presence of systematic risk

Cited in

(2)

• scientific article; zbMATH DE number 5525681 (Why is no real title available?)
• Detecting systematic anomalies affecting systems when inputs are stationary time series

Describes a project that uses

Uses Software

• CopulaModel

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