4 papers
Robust portfolio optimization using pseudodistances
Aida Toma, Samuela Leoni-Aubin
The presence of outliers in financial asset returns is a frequently occuring phenomenon and may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbou…
Upper bounds for the error in some interpolation and extrapolation designs
Michel Broniatowski, Giorgio Celant, Marco Di Battista +1
This paper deals with probabilistic upper bounds for the error in functional estimation defined on some interpolation and extrapolation designs, when the function to estimate is su…
A Simple Lack-of-Fit Test for Regression Models
Jean-Baptiste Aubin, Samuela Leoni-Aubin
A simple test is proposed for examining the correctness of a given completely specified response function against unspecified general alternatives in the context of univariate regr…
A longest run test for heteroscedasticity in univariate regression model
Jean-Baptiste Aubin, Samuela Leoni-Aubin
The scope of this paper is the presentation of a test that enables to detect heteroscedasticity in univariate regression model. The test is simple to compute and very general since…