32 citations · 67 across the 29 of their papers we have counts for
4 papers · 1 filter
RafterNet: Probabilistic predictions in multi-response regression
Marius Hofert, Avinash Prasad, Mu Zhu
A fully nonparametric approach for making probabilistic predictions in multi-response regression problems is introduced. Random forests are used as marginal models for each respons…
Single-Index Importance Sampling with Stratification
Erik Hintz, Marius Hofert, Christiane Lemieux +1
In many stochastic problems, the output of interest depends on an input random vector mainly through a single random variable (or index) via an appropriate univariate transformatio…
Smooth bootstrapping of copula functionals
Maximilian Coblenz, Oliver Grothe, Klaus Herrmann +1
The smooth bootstrap for estimating copula functionals in small samples is investigated. It can be used both to gauge the distribution of the estimator in question and to augment t…
Measuring non-exchangeable tail dependence using tail copulas
Takaaki Koike, Shogo Kato, Marius Hofert
Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree o…