3 papers
stat.ME2025
A Kolmogorov-Smirnov-Type Test for Dependently Double-Truncated Data
Anne-Marie Toparkus, Rafael Weissbach
With double-truncated lifespans, we test the hypothesis of a parametric distribution family for the lifespan. The typical finding from demography is an instationary behaviour of th…
stat.ME2022
Maximum Likelihood Estimation of a Proportion from a Sample of Triplets
Rafael Weissbach, Eric Scholz
When estimating a proportion and only a sample of triplets is given, dependencies within the triplets are to be accounted for. Without assuming a distribution for the success count…
cond-mat.stat-mech2004
Modelling Correlations in Portfolio Credit Risk
Bernd Rosenow, Rafael Weissbach, Frank Altrock
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated…