Let Q = (Q₁ ,..., Qn) be a random vector drawn from the uniform distribution on the set of all n! permutations of {1, 2, ..., n]. Let Z = (Z₁ ,..., Zn), where Zj is the mean zero variance one random ...
This paper is concerned with the limiting spectral behaviors of large dimensional Kendall’s rank correlation matrices generated by samples with independent and continuous components. The statistical ...
The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital ...
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