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Showing 1 to 4 of 4 for “"probabilistic reduction approach"”.
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Statistical Adequacy and Reliability of Inference in Regression-like Models
… and not the statistical model, is wrong. The Probabilistic Reduction Approach puts forward a modeling strategy in which theory can confront data without compromising the credibility of either one of them. This approach explicitly derives testable assumptions that, along with the standardized …
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Volatility Modeling and Risk Measurement using Statistical Models based on the Multivariate Student's t Distribution
… study is to propose a framework, based on the probabilistic reduction approach, to reliably quantify market risk using statistical models and historical data. Particular emphasis is placed on the importance of the validity of the probabilistic assumptions in risk measurement by demonstrating …
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Advances in Applied Econometrics: Binary Discrete Choice Models, Artificial Neural Networks, and Asymmetries in the FAST Multistage Demand System
… models with binary dependent variables using the probabilistic reduction approach. This re-examination leads to the development of the Bernoulli Regression Model, a family of statistical models arising from conditional Bernoulli distributions. The paper provides guidelines for specifying and …
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On modeling the volatility in speculative prices
Following the Probabilistic Reduction(PR) Approach, this paper proposes the Student’s Autoregressive (St-AR) Model, Student’s t Vector Autoregressive (St-VAR) Model and their heterogeneous versions, as an alternative to the various ARCH type models, to capture univariate and multivariate …