On Goodness of Fit for Operational Risk
From MaRDI portal
Publication:6086480
DOI10.1111/insr.12112MaRDI QIDQ6086480
Publication date: 10 November 2023
Published in: International Statistical Review (Search for Journal in Brave)
order statisticssaddlepoint approximationeigenvaluesinfluence functionheavy tailsjackknifegoodness of fitoperational riskcovariance kernelAnderson-Darling upper-tail test
Related Items (2)
On modified Anderson-Darling test statistics with asymptotic properties ⋮ Approximations of the cumulative distribution function for infinite weighted sum of random variables
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Overweight tails are inefficient
- Asymptotic results for goodness-of-fit statistics with unknown parameters
- Approximating the tail of the Anderson-Darling distribution
- Goodness-of-fit tests via phi-divergences
- Properties of principal component methods for functional and longitudinal data analysis
- Weak convergence of the sample distribution function when parameters are estimated
- Modified signed log likelihood ratio
- General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic
- Tests of fit for the von Mises distribution
- Concerning a Certain Probability Problem
- Saddle point approximation for the distribution of the sum of independent random variables
- Distribution of a Sum of Weighted Chi-Square Variables
- A SADDLEPOINT APPROXIMATION TO THE DISTRIBUTION FUNCTION OF THE ANDERSON-DARLING TEST STATISTIC
- Tail areas of linear combinations of chi-squares and non-central chi-squares
- Computing the distribution of quadratic forms in normal variables
- Convergence of Quadratic Forms in Independent Random Variables
- Distribution of the Anderson-Darling Statistic
- An Explicit Representation of a Stationary Gaussian Process
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- A Test of Goodness of Fit
This page was built for publication: On Goodness of Fit for Operational Risk
