Results 61 to 70 of about 269 (141)
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
, 2014 This paper presents a dynamic portfolio credit model following the regulatory framework, using macroeconomic and latent risk factors to predict the aggregate loan portfolio loss in a banking system.
Poon, Ser Huang; id_orcid +1 more
core +1 more source
Towards More Efficient Rényi Entropy Estimation. [PDF]
Entropy (Basel), 2023 Skorski M.
europepmc +1 more source
Multivariate Bernoulli Hoeffding Decomposition: From Theory to Sensitivity Analysis
Understanding the behavior of predictive models with random inputs can be achieved through functional decompositions into sub-models that capture interpretable effects of input groups.
Ferrere, Baptiste +4 more
core
Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
core
On ANOVA Decompositions of Kernels and Gaussian Random Field Paths
, 2016 The FANOVA (or “Sobol’-Hoeffding”) decomposition of multivariate functions has been used for high-dimensional model representation and global sensitivity analysis.
Roustant, Olivier +9 more
core +1 more source
Excluding false negative error in certification of quantum channels. [PDF]
Sci Rep, 2021 Krawiec A, Pawela Ł, Puchała Z.
europepmc +1 more source
Approximations to distributions of linear combinations of order statistics in finite populations.
, 2012 Properties of linear combinations of order statistics (L-statistics), where samples are drawn without replacement, are considered in the thesis. The main object of the thesis is an improvement of the normal approximation to distributions of L-statistics ...
Čiginas, Andrius,
core
Spread in climate policy scenarios unravelled. [PDF]
Nature, 2023 Dekker MM +6 more
europepmc +1 more source
Pozicinių statistikų tiesinių kombinacijų skirstinių aproksimacijos baigtinėse populiacijose.
, 2012 Properties of linear combinations of order statistics (L-statistics), where samples are drawn without replacement, are considered in the thesis. The main object of the thesis is an improvement of the normal approximation to distributions of L-statistics ...
Čiginas, Andrius,
core
Universal integrals based on copulas
, 2014 A hierarchical family of integrals based on a fixed copula is introduced and discussed. The extremal members of this family correspond to the inner and outer extension of integrals of basic functions, the copula under consideration being the ...
Andrea Stupnanova +3 more
core +1 more source