Results 31 to 40 of about 315,996 (341)
Quantile forecasts of daily exchange rate returns from forecasts of realized volatility [PDF]
, 2008 Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the ...
Ana Beatriz Galvão +30 more
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Applied Sciences, 2022 Unit distributions are typically used in probability theory and statistics to illustrate useful quantities with values between zero and one. In this paper, we investigated an appropriate transformation to propose the unit-exponentiated half-logistic ...
Amal S. Hassan +3 more
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Probability and Certainty in the Performance of Evolutionary and Swarm Optimization Algorithms
Mathematics, 2022 Reporting the empirical results of swarm and evolutionary computation algorithms is a challenging task with many possible difficulties. These difficulties stem from the stochastic nature of such algorithms, as well as their inability to guarantee an ...
Nikola Ivković +2 more
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Quantile Hedging in a Semi-Static Market with Model Uncertainty [PDF]
, 2017 With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of ...
Bayraktar, Erhan, Wang, Gu
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Investment Risk Measurement Based on Quantiles and Expectiles
Acta Universitatis Lodziensis. Folia Oeconomica, 2018 In the presented research, we attempt to examine special investment risk measurement. We use quantile regression as a model by describing more general properties of the response distribution.
Grażyna Trzpiot
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Theory and Applications of the Unit Gamma/Gompertz Distribution
Mathematics, 2021 Unit distributions are commonly used in probability and statistics to describe useful quantities with values between 0 and 1, such as proportions, probabilities, and percentages. Some unit distributions are defined in a natural analytical manner, and the
Rashad A. R. Bantan +3 more
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Estimation in functional linear quantile regression
, 2013 This paper studies estimation in functional linear quantile regression in which the dependent variable is scalar while the covariate is a function, and the conditional quantile for each fixed quantile index is modeled as a linear functional of the ...
Kato, Kengo
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Sparse Quantile Regression [PDF]
Journal of Econometrics, 2020 We consider both $\ell _{0}$-penalized and $\ell _{0}$-constrained quantile regression estimators. For the $\ell _{0}$-penalized estimator, we derive an exponential inequality on the tail probability of excess quantile prediction risk and apply it to obtain non-asymptotic upper bounds on the mean-square parameter and regression function estimation ...
Lee, Sokbae (Simon), Chen, Le-Yu
openaire +3 more sources
Türkiye’de İçsel Büyüme Modeline Kademeli Bir Bakış: Kantil Regresyon Yaklaşımı
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2021 Bu çalışmada, Türkiye ekonomisinin dinamiklerinin 1990-2020 dönemleri arasında izlenmesine olanak sağlayacak bir içsel büyüme modeli tahminlemek ve kademesel yapıyı ortaya çıkarmak amaçlanmaktadır.
Serap Dursun, Merve Altaylar
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Quantile forecast discrimination ability and value [PDF]
, 2015 While probabilistic forecast verification for categorical forecasts is well established, some of the existing concepts and methods have not found their equivalent for the case of continuous variables.
Mason I +6 more
core +2 more sources