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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Taylor & Francis
2015
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| Materias: | |
| 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 |