Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...

Abstract: Streamflow disaggregation techniques are used to distribute a single aggregate flow value to multiple sites in both space and time while preserving distributional statistics (i.e., mean, ...

We use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.

Nonparametric methods form an important core of statistical techniques and are typically used when data do not meet parametric assumptions. Understanding the foundation of these methods, as well as ...

Parametric tests make assumptions that aspects of the data follow some sort of theoretical probability distribution. Non-parametric tests or distribution free methods do not, and are used when the ...

Tyrus Berry, Assistant Professor, Mathematical Sciences, will soon begin a project developing semiparametric modeling techniques that optimally leverage the strengths of parametric and nonparametric ...

Journal of the Royal Statistical Society. Series A (Statistics in Society), Vol. 181, No. 3 (2018), pp. 635-647 (13 pages) Statistical agencies are increasingly adopting synthetic data methods for ...