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20152026
most citedCovariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension

49 citations · 94 across the 12 of their papers we have counts for

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Showing 2023 · math.STShow all

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math.ST2023

Bootstrap Consistency for the Mack Bootstrap

Julia Steinmetz, Carsten Jentsch

Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the r…