Matching a Distribution by Matching Quantiles Estimation

Motivated by the problem of selecting representative portfolios for backtesting counterparty credit risks, we propose a matching quantiles estimation (MQE) method for matching a target distribution by that of a linear combination of a set of random variables. An iterative procedure based on the ordi...

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Detalles Bibliográficos
Autores principales: Sgouropoulos, Nikolaos, Yao, Qiwei, Yastremiz, Claudia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Taylor & Francis 2015
Materias:
Theory and Methods
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4647694/
https://www.ncbi.nlm.nih.gov/pubmed/26692592
http://dx.doi.org/10.1080/01621459.2014.929522

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4647694/
https://www.ncbi.nlm.nih.gov/pubmed/26692592
http://dx.doi.org/10.1080/01621459.2014.929522

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