Statistical detection and classification of background risks affecting inputs and outputs

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Statistical detection and classification of background risks affecting inputs and outputs. / Gribkova, Nadezhda; Zitikis, Ričardas.

In: Metron, Vol. 77, No. 1, 01.04.2019, p. 1-18.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{07204c2c576e4af7bb544f44a2d9685d,

title = "Statistical detection and classification of background risks affecting inputs and outputs",

abstract = "Systems are exposed to a variety of risks, including those known as background or systematic risks. Therefore, advanced economic, financial, and engineering models incorporate such risks, thus inevitably making the models more challenging to explore. A number of natural questions arise. First and foremost, is the given system affected by any of such risks? If so, then is the system affected by the risks at the input or output stage, or at both stages? In the present paper we construct an algorithm that answers such questions. Even though the algorithm is based on intricate probabilistic considerations, its practical implementation is easy.",

keywords = "Background risk, Gini index, Input, Output, Statistical model, Input, Output, Background risk, Gini index, Statistical model",

author = "Nadezhda Gribkova and Ri{\v c}ardas Zitikis",

note = "Gribkova, N. and Zitikis, R. (2019). Statistical detection and classification of background risks affecting inputs and outputs. Metron - International Journal of Statistics, 77, 1-18. ",

year = "2019",

month = apr,

day = "1",

doi = "10.1007/s40300-019-00148-3",

language = "English",

volume = "77",

pages = "1--18",

journal = "Metron",

issn = "0026-1424",

publisher = "Springer Nature",

number = "1",

}

RIS

TY - JOUR

T1 - Statistical detection and classification of background risks affecting inputs and outputs

AU - Gribkova, Nadezhda

AU - Zitikis, Ričardas

N1 - Gribkova, N. and Zitikis, R. (2019). Statistical detection and classification of background risks affecting inputs and outputs. Metron - International Journal of Statistics, 77, 1-18.

PY - 2019/4/1

Y1 - 2019/4/1

N2 - Systems are exposed to a variety of risks, including those known as background or systematic risks. Therefore, advanced economic, financial, and engineering models incorporate such risks, thus inevitably making the models more challenging to explore. A number of natural questions arise. First and foremost, is the given system affected by any of such risks? If so, then is the system affected by the risks at the input or output stage, or at both stages? In the present paper we construct an algorithm that answers such questions. Even though the algorithm is based on intricate probabilistic considerations, its practical implementation is easy.

AB - Systems are exposed to a variety of risks, including those known as background or systematic risks. Therefore, advanced economic, financial, and engineering models incorporate such risks, thus inevitably making the models more challenging to explore. A number of natural questions arise. First and foremost, is the given system affected by any of such risks? If so, then is the system affected by the risks at the input or output stage, or at both stages? In the present paper we construct an algorithm that answers such questions. Even though the algorithm is based on intricate probabilistic considerations, its practical implementation is easy.

KW - Background risk

KW - Gini index

KW - Input

KW - Output

KW - Statistical model

KW - Input

KW - Output

KW - Background risk

KW - Gini index

KW - Statistical model

UR - http://www.scopus.com/inward/record.url?scp=85064541321&partnerID=8YFLogxK

UR - http://www.mendeley.com/research/statistical-detection-classification-background-risks-affecting-inputs-outputs

U2 - 10.1007/s40300-019-00148-3

DO - 10.1007/s40300-019-00148-3

M3 - Article

AN - SCOPUS:85064541321

VL - 77

SP - 1

EP - 18

JO - Metron

JF - Metron

SN - 0026-1424

IS - 1

ER -

ID: 41499773