Author pages are created from data sourced from our academic publisher partnerships and public sources.

Publications Influence

Estimating a tail exponent by modelling departure from a Pareto distribution

- A. Feuerverger, P. Hall
- Mathematics
- 1 April 1999

We suggest two semiparametric methods for accommodating departures from a Pareto model when estimating a tail exponent by fitting the model to extreme-value data. The methods are based on approximate… Expand

229 38- PDF

A Consistent Test for Bivariate Dependence

- A. Feuerverger
- Mathematics
- 1 December 1993

Summary A new and consistent rank test for bivariate dependence is developed. Let Xi' and Y' denote the (approximate) normal scores associated with the iid vectors (X, Yi), i = 1 ... , n. Then the… Expand

119 18- PDF

On the Efficiency of Empirical Characteristic Function Procedures

- A. Feuerverger, P. McDunnough
- Mathematics
- 1 September 1981

SUMMARY The asymptotic normality and arbitrarily high efficiency of some new statistical procedures based on the empirical characteristic function is established under general conditions.

197 17

The Empirical Characteristic Function and Its Applications

- A. Feuerverger, R. Mureika
- Mathematics
- 1977

325 15

On Some Fourier Methods for Inference

- A. Feuerverger, P. McDunnough
- Mathematics
- 1 June 1981

Abstract Common statistical procedures such as maximum likelihood and M-estimation admit generalized representations in the Fourier domain. The Fourier domain provides fertile ground for approaching… Expand

141 15

An efficiency result for the empirical characteristic function in stationary time-series models

- A. Feuerverger
- Mathematics
- 1 June 1990

It is shown under general conditions that arbitrarily high asymptotic efficiencies can be obtained when the parameters of a stationary time series are estimated by fitting the characteristic… Expand

76 13

Biases in the Shanks—Rényi Prime Number Race

- A. Feuerverger, G. Martin
- Mathematics, Computer Science
- Exp. Math.
- 1 November 1999

TLDR

29 11- PDF

Statistical Significance of the Netflix Challenge

- A. Feuerverger, Y. He, Shashi Khatri
- Computer Science, Mathematics
- 1 May 2012

TLDR

69 6- PDF

Computation of value-at-risk for nonlinear portfolios

- A. Feuerverger, A. Wong
- Mathematics
- 1 October 2000

45 6

On the empirical saddlepoint approximation

- A. Feuerverger
- Mathematics
- 1 September 1989

SUMMARY The properties of the saddlepoint approximation are investigated when the required cumulant generating function is obtained empirically. Properties of the empirical moment generating function… Expand

60 3

...

1

2

3

4

5

...