Robust signal dimension estimation via SURE. (English) Zbl 07889348
MSC:
62-XX
Found 314 Documents (Results 1–100)
Smooth singular value thresholding algorithm for low-rank matrix completion problem. (English) Zbl 07854606
Lower bound estimation for a family of high-dimensional sparse covariance matrices. (English) Zbl 1531.62009
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks. (English) Zbl 1532.91108
On the estimation of partially observed continuous-time Markov chains. (English) Zbl 07734162
MSC:
62-08
Factor-based imputation of missing values and covariances in panel data of large dimensions. (English) Zbl 07659414
Modeling volatility risk in equity options market: a statistical approach. (English) Zbl 07907642
Gershon, David (ed.) et al., Options – 45 years since the publication of the Black-Scholes-Merton model. The Gershon Fintech Center conference. Singapore: World Scientific. World Sci. Lect. Notes Finance 6, 257-292 (2022).
Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics. (English) Zbl 1533.91468
Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 587-623 (2022).
Multivariate matrix-exponential affine mixtures and their applications in risk theory. (English) Zbl 1498.91354
MSC:
91G05
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. (English) Zbl 1490.91204
Optimal estimator under risk matrix in a seemingly unrelated regression model and its generalized least squares expression. (English) Zbl 1483.62121
Low-rank matrix denoising for count data using unbiased Kullback-Leibler risk estimation. (English) Zbl 1543.62369
On the Gerber-Shiu function of a MAP risk model with possible delayed phase-type by-claims. (English) Zbl 1482.91062
MSC:
91B05
Double fused Lasso regularized regression with both matrix and vector valued predictors. (English) Zbl 1471.62278
Statistical Taylor series expansion: an approach for epistemic uncertainty propagation in Markov reliability models. (English) Zbl 1472.60124
Optimal structured principal subspace estimation: metric entropy and minimax rates. (English) Zbl 1539.62175
Research on portfolio optimization based on complex network community detection. (Chinese. English summary) Zbl 1474.91191
Structural pricing of CoCos and deposit insurance with regime switching and jumps. (English) Zbl 1467.91200
Two-stage dimension reduction for noisy high-dimensional images and application to cryogenic electron microscopy. (English) Zbl 1457.62380
Pricing and hedging defaultable participating contracts with regime switching and jump risk. (English) Zbl 1444.91192
Computing the degrees of freedom of rank-regularized estimators and cousins. (English) Zbl 1439.62142
On barrier option pricing by Erlangization in a regime-switching model with jumps. (English) Zbl 1442.91099
Reviewer: Nikolaos Halidias (Athína)
Independent attributes control chart for Markov-dependent processes. (English) Zbl 07551038
MSC:
62P30
Optimum reliability acceptance sampling plans under progressive type-I interval censoring with random removal using a cost model. (English) Zbl 1516.62168
MSC:
62-XX
Finite horizon Markov decision processes for risk-averse decision makers. (Chinese. English summary) Zbl 1449.90186
Impact of error in parameter estimations on large scale portfolio optimization. (English) Zbl 1425.91433
Demetriou, Ioannis (ed.) et al., Approximation and optimization. Algorithms, complexity and applications. Based on the conference on approximation and optimization: algorithms, complexity, and applications, National and Kapodistrian University of Athens, Athens, Greece, June 29–30, 2017. Cham: Springer. Springer Optim. Appl. 145, 151-184 (2019).
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory. (English) Zbl 1418.91453
An extended likelihood framework for modelling discretely observed credit rating transitions. (English) Zbl 1407.91265
Estimating a covariance matrix for market risk management and the case of credit default swaps. (English) Zbl 1407.91231
Disentangling the role of variance and covariance information in portfolio selection problems. (English) Zbl 1407.91233
High-dimensional integrated volatility matrix estimation for high-frequency financial data. (Chinese. English summary) Zbl 1499.91130
Vessel traffic risk assessment based on uncertainty analysis in the risk matrix. (English) Zbl 1461.90035
Observations on industry practice in the construction of large correlation structures for risk and capital margins. (English) Zbl 1422.91377
MSC:
91B30
62P05
Applications of Peter Hall’s martingale limit theory to estimating and testing high dimensional covariance matrices. (English) Zbl 1406.62057
Risk-based strategies: the social responsibility of investment universes does matter. (English) Zbl 1416.91342
MSC:
91G10
Robust low-rank matrix estimation. (English) Zbl 1412.62068
Reviewer: Wolfgang Näther (Freiberg)
1-bit matrix completion: PAC-Bayesian analysis of a variational approximation. (English) Zbl 1461.15032
Improving occupational health and safety risk evaluation through decision analysis. (English) Zbl 1407.91140
MSC:
91B30
90B50
Equilibrium strategies of triangular intuitionistic fuzzy numbers bi-matrix game model and its application at considering the players’ attitude. (Chinese. English summary) Zbl 1424.91003
Dynamic risk assessment of gas pipeline operation. (Chinese. English summary) Zbl 1413.90169
MSC:
90B90
91B30
Generalized SURE for optimal shrinkage of singular values in low-rank matrix denoising. (English) Zbl 1440.94012
Linguistic multi-attribute decision making with considering decision makers’ risk preferences. (English) Zbl 1377.91068
Long-term optimal investment in matrix valued factor models. (English) Zbl 1367.91169
Reviewer: Aleksandr D. Borisenko (Kyïv)
Matrix-exponential distributions in applied probability. (English) Zbl 1375.60002
Probability Theory and Stochastic Modelling 81. New York, NY: Springer (ISBN 978-1-4939-7047-6/hbk; 978-1-4939-7049-0/ebook). xvii, 736 p. (2017).
Reviewer: Fraser Daly (Edinburgh)
Decomposing aggregate risk into marginal risks under partial information: A top-down method. (English) Zbl 1463.91034
Stress testing correlation matrix: a maximum empirical likelihood approach. (English) Zbl 07184761
MSC:
62-XX
Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions. (English) Zbl 1468.62087
Trapezoidal intuitionistic fuzzy bi-matrix game model with risk preference and its solving method. (Chinese. English summary) Zbl 1374.91002
Linear shrinkage estimation of large covariance matrices using factor models. (English) Zbl 1348.62075
Exact and asymptotic tests on a factor model in low and large dimensions with applications. (English) Zbl 1397.62209
Improved second order estimation in the singular multivariate normal model. (English) Zbl 1335.62027
Multi-factorial risk assessment: an approach based on fuzzy preference relations. (English) Zbl 1375.91059
An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications. (English) Zbl 1372.60017
Efficient solution of structural default models with correlated jumps and mutual obligations. (English) Zbl 1335.91095
Model selection criterion based on the multivariate quasi-likelihood for generalized estimating equations. (English) Zbl 1419.62139
Risks of large portfolios. (English) Zbl 1331.91204
Mortality modelling with regime-switching for the valuation of a guaranteed annuity option. (English) Zbl 1348.91145
Risk-sensitive filtering for discrete-time systems with time-varying delay. (English) Zbl 1312.93107
A note on deficit analysis in dependency models involving Coxian claim amounts. (English) Zbl 1401.91157
Analytic network process in risk assessment and decision analysis. (English) Zbl 1348.91086
MSC:
91B06
91B30
Robust LMI stability, stabilization and \(H_\infty\) control for premium pricing models with uncertainties into a stochastic discrete-time framework. (English) Zbl 1306.91083
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes. (English) Zbl 1306.91068
MSC:
91B30
Potential measures for spectrally negative Markov additive processes with applications in ruin theory. (English) Zbl 1339.60108
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