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Estimating a tail exponent by modelling departure from a Pareto distribution
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 approximateExpand
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A Consistent Test for Bivariate Dependence
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 theExpand
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On the Efficiency of Empirical Characteristic Function Procedures
SUMMARY The asymptotic normality and arbitrarily high efficiency of some new statistical procedures based on the empirical characteristic function is established under general conditions.
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On Some Fourier Methods for Inference
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 approachingExpand
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An efficiency result for the empirical characteristic function in stationary time-series models
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 characteristicExpand
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Biases in the Shanks—Rényi Prime Number Race
We derive a general formula for the densities δq;al , …,ar, and We use this formula to calculate many of these densities when q ≤ 12 and r ≤ 4. Expand
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Statistical Significance of the Netflix Challenge
Inspired by the legacy of the Netflix contest, we provide an overview of what has been learned---from our own efforts, and those of others---concerning the problems of collaborative filtering and recommender systems. Expand
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On the empirical saddlepoint approximation
SUMMARY The properties of the saddlepoint approximation are investigated when the required cumulant generating function is obtained empirically. Properties of the empirical moment generating functionExpand
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