3 citations · 8 across the 10 of their papers we have counts for
10 papers
Varentropy Estimation via Nearest Neighbor Graphs
Nikolai Leonenko, Yu Sun, Emanuele Taufer
The Varentropy is a measure of the variability of the information content of random vector and it is invariant under affine transformations. We introduce the statistical estimate o…
A generalized precision matrix for t-Student distributions in portfolio optimization
Karoline Bax, Emanuele Taufer, Sandra Paterlini
The Markowitz model is still the cornerstone of modern portfolio theory. In particular, when focusing on the minimum-variance portfolio, the covariance matrix or better its inverse…
A 2-stage elastic net algorithm for estimation of sparse networks with heavy tailed data
Davide Bernardini, Sandra Paterlini, Emanuele Taufer
We propose a new 2-stage procedure that relies on the elastic net penalty to estimate a network based on partial correlations when data are heavy-tailed. The new estimator allows t…
New estimation approaches for graphical models with elastic net penalty
Davide Bernardini, Sandra Paterlini, Emanuele Taufer
In the context of undirected Gaussian graphical models, we introduce three estimators based on elastic net penalty for the underlying dependence graph. Our goal is to estimate the…
A goodness of fit test for the Pareto distribution
Emanuele Taufer, Flavio Santi, Giuseppe Espa +1
The Zenga (1984) inequality curve is constant in p for Type I Pareto distributions. This characterizing behavior will be exploited to obtain graphical and analytical tools for tail…
On a property of the inequality curve
Emanuele Taufer, Flavio Santi, Giuseppe Espa +1
The Zenga (1984) inequality curve is constant in p for Type I Pareto distributions. We show that this property holds exactly only for the Pareto distribution and, asymptotically, f…