2 papers
stat.ME2021
Robust selection of predictors and conditional outlier detection in a perturbed large-dimensional regression context
Matteo Farnè, Angelos Vouldis
This paper presents a fast methodology, called ROBOUT, to identify outliers in a response variable conditional on a set of linearly related predictors, retrieved from a large granu…
stat.AP2019
European banks' business models and their credit risk: A cluster analysis in a high-dimensional context
Matteo Farnè, Angelos T. Vouldis
In this paper, we investigate the credit risk in the loan portfolio of banks following different business models. We develop a data-driven methodology for identifying the business…