Some notes on extremal discriminant analysis
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hashorva, Enkelejd, 2006. "On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays," Statistics & Probability Letters, Elsevier, vol. 76(18), pages 2027-2035, December.
- Hashorva, Enkelejd, 2005. "Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution," Statistics & Probability Letters, Elsevier, vol. 72(2), pages 125-135, April.
- Robert B. Avery, 1981. "Credit scoring models with discriminant analysis and truncated samples," Research Papers in Banking and Financial Economics 54, Board of Governors of the Federal Reserve System (U.S.).
- Frick, Melanie & Reiss, Rolf-Dieter, 2010. "Limiting distributions of maxima under triangular schemes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2346-2357, November.
- Horrace, William C., 2005. "Some results on the multivariate truncated normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 209-221, May.
- Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hashorva, Enkelejd & Peng, Liang & Weng, Zhichao, 2015. "Maxima of a triangular array of multivariate Gaussian sequence," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 62-72.
- Hashorva, Enkelejd & Weng, Zhichao, 2013. "Limit laws for extremes of dependent stationary Gaussian arrays," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 320-330.
- Michael Asamoah-Boaheng & Atinuke Adebanji & Morire Labeodan, 2016. "Some zero mean classification functions with unequal prior probabilities and non-normality," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 5(3), pages 2.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hashorva, Enkelejd & Weng, Zhichao, 2013. "Limit laws for extremes of dependent stationary Gaussian arrays," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 320-330.
- Frick, Melanie & Reiss, Rolf-Dieter, 2013. "Expansions and penultimate distributions of maxima of bivariate normal random vectors," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2563-2568.
- Weng, Zhichao & Liao, Xin, 2017. "Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 33-43.
- Opitz, T., 2013. "Extremal t processes: Elliptical domain of attraction and a spectral representation," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 409-413.
- Hashorva, Enkelejd, 2009. "Asymptotics for Kotz Type III elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 927-935, April.
- Enkelejd Hashorva & Zuoxiang Peng & Zhichao Weng, 2016. "Higher-order expansions of distributions of maxima in a Hüsler-Reiss model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 181-196, March.
- Hashorva, Enkelejd, 2006. "On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays," Statistics & Probability Letters, Elsevier, vol. 76(18), pages 2027-2035, December.
- Hashorva, Enkelejd, 2006. "A novel class of bivariate max-stable distributions," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1047-1055, May.
- Frick, Melanie & Reiss, Rolf-Dieter, 2010. "Limiting distributions of maxima under triangular schemes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2346-2357, November.
- Robert, Christian Y., 2013. "Some new classes of stationary max-stable random fields," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1496-1503.
- Yue, Chen & Chen, Shaojie & Sair, Haris I. & Airan, Raag & Caffo, Brian S., 2015. "Estimating a graphical intra-class correlation coefficient (GICC) using multivariate probit-linear mixed models," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 126-133.
- Michael Falk & René Michel, 2006. "Testing for Tail Independence in Extreme Value models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(2), pages 261-290, June.
- Dominique Guegan & Bertrand Hassani, 2011.
"Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach,"
Documents de travail du Centre d'Economie de la Sorbonne
11017r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2011.
- Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00587706, HAL.
- Dominique Guegan & Bertrand Hassani, 2011. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Documents de travail du Centre d'Economie de la Sorbonne 11017, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Falk, Michael & Reiss, Rolf-Dieter, 2005. "On Pickands coordinates in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 426-453, February.
- Arismendi, J.C., 2013. "Multivariate truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 41-75.
- Centorrino, Samuele & Pérez-Urdiales, María, 2023.
"Maximum likelihood estimation of stochastic frontier models with endogeneity,"
Journal of Econometrics, Elsevier, vol. 234(1), pages 82-105.
- Samuele Centorrino & Mar'ia P'erez-Urdiales, 2020. "Maximum Likelihood Estimation of Stochastic Frontier Models with Endogeneity," Papers 2004.12369, arXiv.org, revised Mar 2021.
- Centorrino, Samuele & Perez Urdiales, Maria, 2021. "Maximum Likelihood Estimation of Stochastic Frontier Models with Endogeneity," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid) 312072, Agricultural Economics Society - AES.
- Reinaldo B. Arellano-Valle & Adelchi Azzalini, 2022. "Some properties of the unified skew-normal distribution," Statistical Papers, Springer, vol. 63(2), pages 461-487, April.
- Cruz Lopez, Jorge A. & Harris, Jeffrey H. & Hurlin, Christophe & Pérignon, Christophe, 2017.
"CoMargin,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2183-2215, October.
- Jorge A. Cruz Lopez & Jeffrey H. Harris & Christophe Hurlin & Christophe Pérignon, 2015. "CoMargin," Working Papers halshs-00979440, HAL.
- Jorge Cruz Lopez & Jeffrey Harris & Christophe Hurlin & Christophe Pérignon, 2017. "CoMargin," Post-Print hal-03579309, HAL.
- Ravi Kashyap, 2016. "The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance," Papers 1603.09060, arXiv.org, revised Jul 2019.
- Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Post-Print halshs-00587706, HAL.
More about this item
Keywords
Discriminant analysis Gaussian model Truncation Generalized Pareto distributions Linear discriminant functions Husler-Reiss triangular arrays;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:103:y:2012:i:1:p:107-115. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.