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Sancetta, Alessio

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Author ID: sancetta.alessio Recent zbMATH articles by "Sancetta, Alessio"
Published as: Sancetta, Alessio
Documents Indexed: 27 Publications since 2002

Publications by Year

Citations contained in zbMATH Open

16 Publications have been cited 110 times in 95 Documents Cited by Year
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
66
2004
Consistent estimation of a general nonparametric regression function in time series. Zbl 1431.62398
Linton, Oliver; Sancetta, Alessio
6
2009
Nearest neighbor conditional estimation for Harris recurrent Markov chains. Zbl 1175.62089
Sancetta, Alessio
6
2009
Online forecast combinations of distributions: worst case bounds. Zbl 1418.62364
Sancetta, Alessio
6
2007
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: \(L_{1}\) and pointwise convergence theory. Zbl 1116.62039
Sancetta, Alessio
5
2007
Sample covariance shrinkage for high dimensional dependent data. Zbl 1286.62054
Sancetta, Alessio
4
2008
Weak convergence of laws on \(\mathbb R^{K}\) with common marginals. Zbl 1131.62014
Sancetta, Alessio
3
2007
Greedy algorithms for prediction. Zbl 1388.62209
Sancetta, Alessio
2
2016
A nonparametric estimator for the covariance function of functional data. Zbl 1441.62859
Sancetta, Alessio
2
2015
A recursive algorithm for mixture of densities estimation. Zbl 1364.94251
Sancetta, Alessio
2
2013
Conditional estimation for dependent functional data. Zbl 1349.62378
Battey, Heather; Sancetta, Alessio
2
2013
Recursive forecast combination for dependent heterogeneous data. Zbl 1189.62186
Sancetta, Alessio
2
2010
Bootstrap model selection for possibly dependent and heterogeneous data. Zbl 1440.62144
Sancetta, Alessio
1
2010
Strong law of large numbers for pairwise positive quadrant dependent random variables. Zbl 1205.60065
Sancetta, Alessio
1
2009
Changing correlation and equity portfolio diversification failure for linear factor models during market declines. Zbl 1186.91200
Sancetta, Alessio; Satchell, Steve E.
1
2007
Calculating hedge fund risk: the draw down and the maximum draw down. Zbl 1063.91050
Sancetta, Alessio; Satchell, Steve E.
1
2004
Greedy algorithms for prediction. Zbl 1388.62209
Sancetta, Alessio
2
2016
A nonparametric estimator for the covariance function of functional data. Zbl 1441.62859
Sancetta, Alessio
2
2015
A recursive algorithm for mixture of densities estimation. Zbl 1364.94251
Sancetta, Alessio
2
2013
Conditional estimation for dependent functional data. Zbl 1349.62378
Battey, Heather; Sancetta, Alessio
2
2013
Recursive forecast combination for dependent heterogeneous data. Zbl 1189.62186
Sancetta, Alessio
2
2010
Bootstrap model selection for possibly dependent and heterogeneous data. Zbl 1440.62144
Sancetta, Alessio
1
2010
Consistent estimation of a general nonparametric regression function in time series. Zbl 1431.62398
Linton, Oliver; Sancetta, Alessio
6
2009
Nearest neighbor conditional estimation for Harris recurrent Markov chains. Zbl 1175.62089
Sancetta, Alessio
6
2009
Strong law of large numbers for pairwise positive quadrant dependent random variables. Zbl 1205.60065
Sancetta, Alessio
1
2009
Sample covariance shrinkage for high dimensional dependent data. Zbl 1286.62054
Sancetta, Alessio
4
2008
Online forecast combinations of distributions: worst case bounds. Zbl 1418.62364
Sancetta, Alessio
6
2007
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: \(L_{1}\) and pointwise convergence theory. Zbl 1116.62039
Sancetta, Alessio
5
2007
Weak convergence of laws on \(\mathbb R^{K}\) with common marginals. Zbl 1131.62014
Sancetta, Alessio
3
2007
Changing correlation and equity portfolio diversification failure for linear factor models during market declines. Zbl 1186.91200
Sancetta, Alessio; Satchell, Steve E.
1
2007
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
66
2004
Calculating hedge fund risk: the draw down and the maximum draw down. Zbl 1063.91050
Sancetta, Alessio; Satchell, Steve E.
1
2004
all top 5

Cited by 157 Authors

9 Sancetta, Alessio
6 Swanepoel, Jan W. H.
6 Yang, Jingping
5 Bouezmarni, Taoufik
5 Janssen, Paul
5 Linton, Oliver Bruce
5 Veraverbeke, Noël
3 Schellhase, Christian
3 Segers, Johan
3 Steland, Ansgar
3 Taamouti, Abderrahim
3 Wang, Fang
2 Battey, Heather S.
2 Bodnar, Taras
2 Czado, Claudia
2 Dickhaus, Thorsten
2 Dou, Xiaoling
2 Durante, Fabrizio
2 Fernández-Sánchez, Juan
2 Guillotte, Simon
2 Kauermann, Goran
2 Kuriki, Satoshi
2 Li, Degui
2 Lu, Zudi
2 Nagler, Thomas
2 Perron, François
2 Qu, Leming
2 Rombouts, Jeroen V. K.
2 Vieu, Philippe
2 Woo, Jae-Kyung
2 Xie, Siyuan
1 Abrams, Steven
1 Ackerer, Damien
1 Ahmadabadi, Alireza
1 Allison, James S.
1 Aneiros-Pérez, Germán
1 Angeloni, Laura
1 Baker, Rose D.
1 Belalia, Mohamed
1 Bennafla, Djamila
1 Berckmoes, Ben
1 Berghaus, Betina Hedwig
1 Blumentritt, Thomas
1 Borgonovo, Emanuele
1 Burda, Martin
1 Chen, Zhijin
1 Cheung, Eric C. K.
1 Ćmiel, Bogdan
1 Coqueret, Guillaume
1 Costarelli, Danilo
1 De Giuli, Maria Elena
1 Diers, Dorothea
1 Diks, Cees G. H.
1 Dimitrova, Dimitrina S.
1 dos Anjos, Ulisses U.
1 El Ghouch, Anouar
1 Eling, Martin
1 Ferraty, Frédéric
1 Fournier, Edouard
1 Giraud, Christophe
1 Grihon, Stéphane
1 Guan, Zhong
1 Guo, Nan
1 Hong, Seokyoung
1 Huang, Jianhua Z.
1 Ibragimov, Rustam
1 Kaishev, Vladimir K.
1 Kakizawa, Yoshihide
1 Karlsen, Hans Arnfinn
1 Kiriliouk, Anna
1 Kiwitt, Sebastian
1 Klein, Thierry E.
1 Kojadinovic, Ivan
1 Kokoszka, Piotr S.
1 Kolev, Nikolai
1 Kollo, Tõnu
1 Krauss, Christopher
1 Kwon, Oh Kang
1 Landriault, David
1 Leblanc, Alexandre
1 Ledwina, Teresa
1 Lee, Wing Yan
1 Lemyre, Félix Camirand
1 Lin, Feng
1 Lin, Gwo Dong
1 Lin, Gwodong
1 Ling, Nengxiang
1 Lowen, Robert
1 Manelli, Claudio
1 Mangold, Benedikt
1 Marek, Sebastian D.
1 Mashford, John
1 Masuhr, Andreas
1 Matsumoto, Koichi
1 Meghnafi, Mustapha
1 Mendes, Beatriz Vaz de Melo
1 Myklebust, Terje
1 Nadarajah, Saralees
1 Neumann, André
1 Neumeyer, Natalie
...and 57 more Authors
all top 5

Cited in 45 Serials

15 Journal of Multivariate Analysis
7 Insurance Mathematics & Economics
7 Econometric Theory
6 Journal of Econometrics
4 Computational Statistics and Data Analysis
3 Journal of Statistical Planning and Inference
3 Statistics & Probability Letters
3 European Journal of Operational Research
3 Bernoulli
3 Dependence Modeling
2 Statistics
2 Journal of Economic Dynamics & Control
2 Test
2 Statistical Papers
2 Quantitative Finance
1 Journal of Computational Physics
1 Journal of Mathematical Analysis and Applications
1 Scandinavian Journal of Statistics
1 Annals of the Institute of Statistical Mathematics
1 The Annals of Statistics
1 Biometrical Journal
1 Journal of the American Statistical Association
1 Acta Mathematicae Applicatae Sinica. English Series
1 Computational Statistics
1 Automation and Remote Control
1 Communications in Statistics. Simulation and Computation
1 Communications in Statistics. Theory and Methods
1 Journal of Statistical Computation and Simulation
1 Stochastic Processes and their Applications
1 Applied Mathematical Finance
1 Journal of Nonparametric Statistics
1 Extremes
1 Scandinavian Actuarial Journal
1 Stochastic Models
1 ASTIN Bulletin
1 Review of Derivatives Research
1 Mediterranean Journal of Mathematics
1 Advances in Difference Equations
1 Statistical Methodology
1 Applications and Applied Mathematics
1 Frontiers of Mathematics in China
1 AStA. Advances in Statistical Analysis
1 International Journal of Stochastic Analysis
1 Statistics and Computing
1 ISRN Probability and Statistics

Citations by Year