4 papers
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
Kewin Pączek, Damian Jelito, Marcin Pitera +1
This paper explores the applications of the 20/60/20 rule-a heuristic method that segments data into top-performing, average-performing, and underperforming groups-in mathematical…
Conditional correlation estimation and serial dependence identification
Kewin Pączek, Damian Jelito, Marcin Pitera +1
It has been recently shown in Jaworski, P., Jelito, D. and Pitera, M. (2024), 'A note on the equivalence between the conditional uncorrelation and the independence of random variab…
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments
Kewin Pączek, Damian Jelito, Marcin Pitera +1
In this paper we introduce a novel statistical framework based on the first two quantile conditional moments that facilitates effective goodness-of-fit testing for one-sided Lévy d…
Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios
Kewin Pączek, Damian Jelito, Marcin Pitera +1
The class of -stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the -stable distributions have been used in pr…