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stat.ME2026
On E-Backtesting: Generalizations and Sample Size Determination
Dennis Oestmann, Thorsten Dickhaus
We present an approach for determining sample sizes required to detect underestimations of the expected shortfall with a prescribed power when applying the recently proposed e-back…
stat.ME2026
Estimation of the complexity of a network under a Gaussian graphical model
Nabaneet Das, Thorsten Dickhaus
The proportion of edges in a Gaussian graphical model (GGM) characterizes the complexity of its conditional dependence structure. Since edge presence corresponds to a nonzero entry…