Sparse estimation within Pearson's system, with an application to financial market risk

DOI10.1002/cjs.11754OpenAlexW4313646656MaRDI QIDQ6059475

Christian Genest, Michelle Carey, James O. Ramsay

Publication date: 2 November 2023

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11754

zbMATH Keywords

density estimationrisk measurespenalized likelihoodparameter cascadingdifferential regularizationS\&P 500

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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