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stat.ME2019
Cellwise Robust M Regression
Peter Filzmoser, Sebastiaan Höppner, Irene Ortner +2
The cellwise robust M regression estimator is introduced as the first estimator of its kind that intrinsically yields both a map of cellwise outliers consistent with the linear mod…
stat.AP2019
Projection pursuit based generalized betas accounting for higher order co-moment effects in financial market analysis
Sven Serneels
Betas are possibly the most frequently applied tool to analyze how securities relate to the market. While in very widespread use, betas only express dynamics derived from second mo…