1 citations · 1 across the 2 of their papers we have counts for
5 papers
Distributional stability of sparse inverse covariance matrix estimators
Renjie Chen, Huifu Xu, Henryk Zähle
Finding an approximation of the inverse of the covariance matrix, also known as precision matrix, of a random vector with empirical data is widely discussed in finance and engineer…
Functional delta-method for the bootstrap of uniformly quasi-Hadamard differentiable functionals
Eric Beutner, Henryk Zähle
The functional delta-method provides a convenient tool for deriving bootstrap consistency of a sequence of plug-in estimators w.r.t. a given functional from bootstrap consistency o…
Domains of weak continuity of statistical functionals with a view toward robust statistics
Volker Krätschmer, Alexander Schied, Henryk Zähle
Many standard estimators such as several maximum likelihood estimators or the empirical estimator for any law-invariant convex risk measure are not (qualitatively) robust in the cl…
Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals
Eric Beutner, Henryk Zähle
The functional delta-method provides a convenient tool for deriving the asymptotic distribution of a plug-in estimator of a statistical functional from the asymptotic distribution…
Nonparametric estimation of risk measures of collective risks
Alexandra Lauer, Henryk Zähle
We consider two nonparametric estimators for the risk measure of the sum of i.i.d. individual insurance risks where the number of historical single claims that are used for the…