We derive exact finite-sample expressions for the biases and risks of several common pretest estimators of the scale parameter in the linear regression model. These estimators are associated with ...
The challenge of using small sample sizes for operational risk capital models fitted via maximum likelihood estimation is well recognized, yet the literature generally provides warning examples rather ...
Value-at-risk (VAR) is increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the ...
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