the purpose of this study is estimation of daily value at risk (var) for total index of tehran stock exchange using parametric, nonparametric and semi-parametric approaches. conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated var and also to compare the performance of mentioned approaches. in most cases, based on backtesting statistics results, ...

In applications of differential geometry to problems of parametric inference, the notion of divergence is often used to measure the separation between two parametric densities. Among them, in this paper, we will verify measures such as Kullback-Leibler information, J-divergence, Hellinger distance, -Divergence, … and so on. Properties and results related to distance between probability d...

We propose a differential geometric approach for building families of low-rank covariance matrices, via interpolation on matrix manifolds. In contrast with standard parametric classes, these offer significant flexibility problem-specific tailoring the choice “anchor” matrices interpolation, instance over grid relevant conditions describing underlying stochastic process. The is computationally t...

We present a general framework for comparative theory of variability measures, with particular focus on the recently introduced one-parameter families inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail compared widely known applied inter-quantile differences. From mathematical point view, our main result is characterization symmetric comonotonic me...

CNS-directed therapies for the treatment of leukemia can adversely affect the acquisition of new skills, such as reading/writing and math. Two years after the end of treatments, children show gross and fine motor skill delays that may persist even when patients are considered healed. The goal of the present study was to assess motor skills difficulties in pre-school children with leukemia one y...