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Matching a Distribution by Matching Quantiles Estimation
Motivated by the problem of selecting representative portfolios for backtesting counterparty credit risks, we propose a matching quantiles estimation (MQE) method for matching a target distribution by that of a linear combination of a set of random variables. An iterative procedure based on the ordi...
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| Publicado no: | J Am Stat Assoc |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Taylor & Francis
2015
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4647694/ https://ncbi.nlm.nih.gov/pubmed/26692592 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2014.929522 |
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