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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 ...
Goodness-of-fit test for directional data
(Wiley Blackwell Publishing, Inc, 2014-03)
In this paper, we study the problem of testing the hypothesis on whether the density f of a random variable on a sphere belongs to a given parametric class of densities. We propose two test statistics based on the L2 and ...
Graphical Tools to Assess Goodness-of-Fit in Non-Location-Scale Distributions
(Universidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias - Departamento de Estadística, 2014-07-01)
Goodness-of-fit (GOF) techniques are used for assessment whether a distribution is suitable to describe a data set or not. These techniques have been studied for distributions belonging to the location-scale family. However, ...
Suposição de normalidade e gestão de risco: uma aplicação do var paramétrico via teste de aderência
(2014)
Given the weaknesses of the parametric VaR (Value-at-Risk) calculated by normality assumptions, this paper develops a method of parametric VaR calculation considering ten different probability distributions. Specifically, ...
Dark Energy Survey year 3 results: covariance modelling and its impact on parameter estimation and quality of fit
(2021-12-01)
We describe and test the fiducial covariance matrix model for the combined two-point function analysis of the Dark Energy Survey Year 3 (DES-Y3) data set. Using a variety of new ansatzes for covariance modelling and testing, ...
Trends in aortic aneurysm- and dissection-related mortality in the state of São Paulo, Brazil, 1985–2009: multiple-cause-of-death analysis
(2012-10-10)
Abstract
Background
Aortic aneurysm and dissection are important causes of death in older people. Ruptured aneurysms show catastrophic fatality rates reaching near 80%. Few ...
Trends in aortic aneurysm- and dissection-related mortality in the state of São Paulo, Brazil, 1985–2009: multiple-cause-of-death analysis
(2012-10-10)
Abstract
Background
Aortic aneurysm and dissection are important causes of death in older people. Ruptured aneurysms show catastrophic fatality rates reaching near 80%. Few ...
Trends in aortic aneurysm- and dissection-related mortality in the state of Sao Paulo, Brazil, 1985-2009: multiple-cause-of-death analysis
(BIOMED CENTRAL LTDLONDON, 2012)
Background: Aortic aneurysm and dissection are important causes of death in older people. Ruptured aneurysms show catastrophic fatality rates reaching near 80%. Few population-based mortality studies have been published ...
Trends in aortic aneurysm- and dissection-related mortality in the state of São Paulo, Brazil, 1985–2009: multiple-cause-of-death analysis
(London, 2012)
Background: Aortic aneurysm and dissection are important causes of death in older people. Ruptured aneurysms show catastrophic fatality rates reaching near 80%. Few population-based mortality studies have been published ...