A robust prediction error criterion for pareto modelling of upper tails
By Debbie J. Dupuis, Maria-Pia Victoria-Feser. 2005
54 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/27c201094366a0b01cea496342027efc24b87c01
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Frank A. Cowell
- Emmanuel Flachaire
- Ricardas Zitikis
- B. Jones
- Maria-Pia Victoria-Feser
- Vytaras Brazauskas
- P. Kerm
- Maria L. Rizzo
In Finance
- Ricardas Zitikis
- B. Jones
- Frank A. Cowell
- Maria-Pia Victoria-Feser
- Vytaras Brazauskas
- Emmanuel Flachaire
- Edward Furman
- Darinka Dentcheva †
Citations in the corpus
- Statistical Methods for Distributional Analysis (2015, background): “To do this, we replace F in (23) and (25) by the EDF F (n) – see 71Fishburn (1980), O’Brien (1984), Stark and Yitzhaki (1988), Thistle (1989), O’Brien and Scarsini (1991), Fishburn and Lavalle (1995), Davidson (2008).”
- A robust coefficient of determination for regression (2010, background): “Olivier Renauda,b and Maria-Pia Victoria-Feserc,1 a Methodology and Data Analysis, Psychology Department, University of Geneva, CH- 1211 Geneva 5 b Distance Learning University, CH- 3960 Sierre c Faculty of Economics and Social Sciences, University of Geneva, CH- 1211 Geneva 5 1 Partially supported ”
- Robust fitting of claim severity distributions and the method of trimmed moments (2009, background): “Recent examples of successful implementation of robust procedures include extreme-value applications in finance and economics (see, e.g., Dupuis and Victoria-Feser, 2006, Cowell and VictoriaFeser, 2006, 2007), geopedology (Vandewalle et al ., 2007), robust fitting of non-standard regression models…”