1 citations · 1 across the 3 of their papers we have counts for
3 papers
stat.ME2023
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments
Kewin Pączek, Damian Jelito, Marcin Pitera +1
In this paper we introduce a novel statistical framework based on the first two quantile conditional moments that facilitates effective goodness-of-fit testing for one-sided Lévy d…
q-fin.RM2023
Utility-based acceptability indices
Marcin Pitera, Miklós Rásonyi
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the…
q-fin.RM2022★ 1 cited
Estimating value at risk: LSTM vs. GARCH
Weronika Ormaniec, Marcin Pitera, Sajad Safarveisi +1
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task. Typically, we face a small data problem in combination with a high…