2 citations · 3 across the 2 of their papers we have counts for
2 papers
stat.AP2014★ 2 cited
Maximum Likelihood Estimation of the correlation parameters for elliptical copulas
Lorenzo Hernández, Jorge Tejero, Jaime Vinuesa
We present an algorithm to obtain the maximum likelihood estimates of the correlation parameters of elliptical copulas. Previously existing methods for this task were either fast b…
stat.AP2012★ 1 cited
Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation
Lorenzo Hernández, Jorge Tejero, Alberto Suárez +1
A perturbative approach is used to derive approximations of arbitrary order to estimate high percentiles of sums of positive independent random variables that exhibit heavy tails.…