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5 résultats pour « statistics »

Do Finance Researchers Address Sample Size Issues? – A Bayesian Inquiry in the AI Era.

2 juin 2023 Autre, probability, bayesian, finance, financial, bigdata, statistics, research, statistical, algorithm, conditional

Traditional #statistical and #algorithm-based methods used to analyze #bigdata often overlook small but significant evidence. #bayesian #statistics, driven by #conditional #probability, offer a solution to this challenge. The review identifies two main applications of Bayesian statistics in #finance: prediction in financial markets and credit risk models. The findings aim to provide valuable insights for researchers aiming to incorporate Bayesian methods and address the sample size issue effectively in #financial #research.

Risk, Ambiguity, and Misspecification: Decision Theory, Robust Control, and Statistics

30 nov. 2022 Autre, statistics, ambiguity, statisticaldivergence, econometrics, variationalpreferences, misspecification, relativeentropy

"We connect variational preferences with the likelihood functions and prior probabilities over parameters that are building blocks of statistics and econometrics."

A Conditional One‑Output Likelihood Formulation for Multitask Gaussian Processes

11 mai 2022 Autre, probability, financial, statistics, mathematics, gaussianprocesses, Quantification des risques

"Experimental results over synthetic and real problems confirm the advantages of this inference approach in its ability to accurately recover the original noise and signal matrices, as well as the achieved performance improvement in comparison to other state of art MTGP approaches."

Anytime‑valid sequential testing for elicitable functionals via supermartingales

13 avr. 2022 Autre, riskmanagement, probability, statistics

"Using regret bounds from Online Convex Optimization, we obtain rigorous guarantees on the asymptotic power of the tests for a wide range of alternative hypotheses. Our results allow for bounded and unbounded data distributions, assuming that a sub-ψ tail bound is satisfied."

Detection and treatment of outliers for multivariate robust loss reserving

9 mars 2022 Autre, riskmanagement, insurance, reinsurance, statistics, chainladder

"Traditional techniques for calculating outstanding claim liabilities such as the chain ladder are notoriously at risk of being distorted by outliers in past claims data. Unfortunately, the literature in robust methods of reserving is scant, with notable exceptions … we put forward two alternative robust bivariate chain-ladder techniques to extend the approach of Verdonck and Van Wouwe (2011)."

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