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20102023
most citedEstimating correlation and covariance matrices by weighting of market similarity

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stat.ME2014

Depth-based Runs Tests for Bivariate Central Symmetry

Rainer Dyckerhoff, Christophe Ley, Davy Paindaveine

McWilliams (1990) introduced a nonparametric procedure based on runs for the problem of testing univariate symmetry about the origin (equivalently, about an arbitrary specified cen…

stat.ME2012

Stochastic linear programming with a distortion risk constraint

Karl Mosler, Pavel Bazovkin

Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the possible violation of a restriction. Each ri…