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Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
2016/1/25
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
Jackknife Empirical Likelihood for Parametric Copulas
Copulas Empirical likelihood Interval estimation Jackknife
2016/1/19
For fitting a parametric copula to multivariate data, a popular way is to employ the so-called pseudo maximum likelihood estimation proposed by Genest, Ghoudi and Rivest (1995). Although interval esti...
Confidence Intervals for Random Forests:The Jackknife and the Infinitesimal Jackknife
bagging jackknife methods Monte Carlo noise variance estimation
2015/8/21
We study the variability of predictions made by bagged learners and random forests, and show how to estimate standard errors for these methods. Our work builds on variance estimates for bagging propos...
The Jackknife method and the Gauss-Markov estimation
The Jackknife method the Gauss-Markov estimation
2009/9/24
yI, t is shown that in many cases the Jackknife estimator
is the least squares estimator in a convenient linear model;
moreover, under some light assumptions about the distribution of
the observati...