Statistics and Risk Management (CMA-SRM)
Statistics and Risk Management

Centre for Mathematics and Applications (CMA)

Publications Count: 8

43 Team Members
Filters -> Year: 2019
1
TITLE: A simple class of reduced bias kernel estimators of extreme value parameters
AUTHORS: Frederico Caeiro ; Lígia Henriques‐Rodrigues; Dora Prata Gomes;
SOURCE: Computational and Mathematical Methods, PUBLISHED: 2019
INDEXED IN: CrossRef
2
TITLE: Approximations for the Likelihood Ratio Statistic for Hypothesis Testing Between Two Beta Distributions
AUTHORS: Filipe Marques ; Frank Coolen; Tahani Coolen Maturi;
SOURCE: JOURNAL OF STATISTICAL THEORY AND PRACTICE, VOLUME: 13, ISSUE: 1, PUBLISHED: 2019
INDEXED IN: WOS
3
TITLE: Corrected-Hill versus partially reduced-bias value-at-risk estimation  Full Text
AUTHORS: Gomes, MI; Caeiro, F ; Figueiredo, F ; Henriques Rodrigues, L; Pestana, D;
SOURCE: Communications in Statistics: Simulation and Computation, PAGES: 1-19, PUBLISHED: 2019
INDEXED IN: Scopus CrossRef
4
TITLE: Differentiability of SDEs with drifts of super-linear growth
AUTHORS: Peter Imkeller; Goncalo dos Reis ; William Salkeld;
SOURCE: ELECTRONIC JOURNAL OF PROBABILITY, VOLUME: 24, PUBLISHED: 2019
INDEXED IN: WOS CrossRef
5
TITLE: Exact critical values for one-way fixed effects models with random sample sizes
AUTHORS: Celia Nunes ; Gilberto Capistrano; Dario Ferreira ; Sandra S Ferreira ; Joao Tiago Mexia ;
SOURCE: 17th International Conference on Computational and Mathematical Methods in Science and Engineering (CMMSE) in JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, VOLUME: 354, PAGES: 112-122, PUBLISHED: 2019
INDEXED IN: WOS CrossRef
6
TITLE: FREIDLIN-WENTZELL LDP IN PATH SPACE FOR MCKEAN-VLASOV EQUATIONS AND THE FUNCTIONAL ITERATED LOGARITHM LAW
AUTHORS: Goncalo dos Reis ; William Salkeld; Julian Tugaut;
SOURCE: ANNALS OF APPLIED PROBABILITY, VOLUME: 29, ISSUE: 3, PAGES: 1487-1540, PUBLISHED: 2019
INDEXED IN: WOS CrossRef
7
TITLE: Introducing Nonparametric Predictive Inference Methods for Reproducibility of Likelihood Ratio Tests
AUTHORS: Filipe J Marques ; Frank P A Coolen; Tahani Coolen Maturi;
SOURCE: JOURNAL OF STATISTICAL THEORY AND PRACTICE, VOLUME: 13, ISSUE: 1, PUBLISHED: 2019
INDEXED IN: WOS
8
TITLE: Products of ratios of gamma functions - An application to the distribution of the test statistic for testing the equality of covariance matrices
AUTHORS: Filipe J Marques ;
SOURCE: 17th International Conference on Computational and Mathematical Methods in Science and Engineering (CMMSE) in JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, VOLUME: 354, PAGES: 86-95, PUBLISHED: 2019
INDEXED IN: WOS CrossRef