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Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
Goodness-of-fit Tests Focus on Value-at-Risk EstimationGoodness-of-fit Tests Focus on Value-at-Risk Estimation
(Sociedade Brasileira de Econometria, 2006)
Random number generators for the generalized Birnbaum-Saunders distribution
(TAYLOR & FRANCIS LTD, 2008)
The generalized Birnbaum-Saunders distribution pertains to a class of lifetime models including both lighter and heavier tailed distributions. This model adapts well to lifetime data, even when outliers exist, and has other ...
A new goodness-of-fit test for censored data with an application in monitoring processes
(TAYLOR & FRANCIS INC, 2009)
Goodness-of-fit tests for the birnbaum-saunders distribution with censored reliability data
(INSTITUTE OF ELECTRICAL AND ELECTRONICS ENGINEERS, 2014)
On a goodness-of-fit test for normality with unknown parameters and type-ii censored data
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2010)
Generalized Birnbaum-Saunders distributions applied to air pollutant concentration
(JOHN WILEY & SONS LTD, 2008)
The generalized Birnbaum-Saunders (GBS) distribution is a new class of positively skewed models with lighter and heavier tails than the traditional Birnbaum-Saunders (BS) distribution, which is largely applied to study ...