A longstanding difficulty in multivariate statistics is identifying and evaluating nonnormal data structures in high dimensions with high statistical efficiency and low search effort. Here the ...

Recent advances in estimation techniques have underscored the growing importance of shrinkage estimation and balanced loss functions in the analysis of multivariate normal distributions. These ...

We propose a generalized method of moments approach to the accelerated failure time model with correlated survival data. We study the semiparametric rank estimator using martingale-based moments. We ...

This column is the fourth in a series on parameter estimation, leading up to the justly famous Kalman filter. The discipline is based on the fact that our knowledge of the state of any real-world ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...