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Author ID: sancetta.alessio Recent zbMATH articles by "Sancetta, Alessio"
Published as: Sancetta, Alessio
Documents Indexed: 30 Publications since 2002
Co-Authors: 6 Co-Authors with 8 Joint Publications
206 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

22 Publications have been cited 149 times in 128 Documents Cited by Year
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
91
2004
Online forecast combinations of distributions: worst case bounds. Zbl 1418.62364
Sancetta, Alessio
8
2007
Consistent estimation of a general nonparametric regression function in time series. Zbl 1431.62398
Linton, Oliver; Sancetta, Alessio
7
2009
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: \(L_{1}\) and pointwise convergence theory. Zbl 1116.62039
Sancetta, Alessio
6
2007
Nearest neighbor conditional estimation for Harris recurrent Markov chains. Zbl 1175.62089
Sancetta, Alessio
6
2009
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
Recursive forecast combination for dependent heterogeneous data. Zbl 1189.62186
Sancetta, Alessio
3
2010
Greedy algorithms for prediction. Zbl 1388.62209
Sancetta, Alessio
3
2016
Changing correlation and equity portfolio diversification failure for linear factor models during market declines. Zbl 1186.91200
Sancetta, Alessio; Satchell, Steve E.
2
2007
Estimation for the prediction of point processes with many covariates. Zbl 1390.62048
Sancetta, Alessio
2
2018
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
Strong law of large numbers for pairwise positive quadrant dependent random variables. Zbl 1205.60065
Sancetta, Alessio
1
2009
Calculating hedge fund risk: the draw down and the maximum draw down. Zbl 1063.91050
Sancetta, Alessio; Satchell, Steve E.
1
2004
Bootstrap model selection for possibly dependent and heterogeneous data. Zbl 1440.62144
Sancetta, Alessio
1
2010
Universality of Bayesian predictions. Zbl 1330.62151
Sancetta, Alessio
1
2012
An open problem on strongly consistent learning of the best prediction for Gaussian processes. Zbl 1337.60052
Györfi, László; Sancetta, Alessio
1
2014
Forecasting and prequential validation for time varying meta-elliptical distributions. Zbl 1266.91079
Sancetta, Alessio; Nikandrova, Arina
1
2009
Estimation in reproducing kernel Hilbert spaces with dependent data. Zbl 1473.62112
Sancetta, Alessio
1
2021
Consistency results for stationary autoregressive processes with constrained coefficients. Zbl 1432.62314
Sancetta, Alessio
1
2019
Estimation in reproducing kernel Hilbert spaces with dependent data. Zbl 1473.62112
Sancetta, Alessio
1
2021
Consistency results for stationary autoregressive processes with constrained coefficients. Zbl 1432.62314
Sancetta, Alessio
1
2019
Estimation for the prediction of point processes with many covariates. Zbl 1390.62048
Sancetta, Alessio
2
2018
Greedy algorithms for prediction. Zbl 1388.62209
Sancetta, Alessio
3
2016
A nonparametric estimator for the covariance function of functional data. Zbl 1441.62859
Sancetta, Alessio
2
2015
An open problem on strongly consistent learning of the best prediction for Gaussian processes. Zbl 1337.60052
Györfi, László; Sancetta, Alessio
1
2014
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
Universality of Bayesian predictions. Zbl 1330.62151
Sancetta, Alessio
1
2012
Recursive forecast combination for dependent heterogeneous data. Zbl 1189.62186
Sancetta, Alessio
3
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
7
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
Forecasting and prequential validation for time varying meta-elliptical distributions. Zbl 1266.91079
Sancetta, Alessio; Nikandrova, Arina
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
8
2007
Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: \(L_{1}\) and pointwise convergence theory. Zbl 1116.62039
Sancetta, Alessio
6
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.
2
2007
The Bernstein copula and its applications to modeling and approximations of multivariate distributions. Zbl 1061.62080
Sancetta, Alessio; Satchell, Stephen
91
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 216 Authors

11 Sancetta, Alessio
8 Yang, Jingping
7 Swanepoel, Jan W. H.
6 Janssen, Paul
6 Veraverbeke, Noël
5 Bouezmarni, Taoufik
5 Linton, Oliver Bruce
3 Schellhase, Christian
3 Segers, Johan
3 Steland, Ansgar
3 Taamouti, Abderrahim
3 Wang, Fang
3 Woo, Jae-Kyung
2 Abrams, Steven
2 Ahn, Jae Youn
2 Battey, Heather S.
2 Belalia, Mohamed
2 Blier-Wong, Christopher
2 Bodnar, Taras
2 Cheung, Eric C. K.
2 Cossette, Hélène
2 Czado, Claudia
2 Dickhaus, Thorsten
2 Dou, Xiaoling
2 Durante, Fabrizio
2 Fernández-Sánchez, Juan
2 Ferraty, Frédéric
2 Guillotte, Simon
2 Kauermann, Goran
2 Kuriki, Satoshi
2 Li, Degui
2 Lin, Gwo Dong
2 Lu, Zudi
2 Marceau, Étienne
2 Nadarajah, Saralees
2 Nagler, Thomas
2 Oh, Rosy
2 Perron, François
2 Qu, Leming
2 Quintela-Del-Río, Alejandro
2 Rombouts, Jeroen V. K.
2 Vieu, Philippe
2 Xie, Jiehua
2 Xie, Siyuan
1 Ackerer, Damien
1 Afuecheta, Emmanuel
1 Ahmadabadi, Alireza
1 Al-Labadi, Luai
1 Allison, James Samuel
1 Aneiros-Pérez, Germán
1 Angeloni, Laura
1 Baker, Rose D.
1 Bennafla, Djamila
1 Berckmoes, Ben
1 Berghaus, Betina Hedwig
1 Blumentritt, Thomas
1 Borgonovo, Emanuele
1 Braekers, Roel
1 Bu, Lan
1 Burda, Martin
1 Chan, Stephen Chi-fai
1 Chen, Zhijin
1 Clarke, Bertrand S.
1 Clarke, Jennifer Lynn
1 Ćmiel, Bogdan
1 Coqueret, Guillaume
1 Costarelli, Danilo
1 Cuberos, A.
1 De Giuli, Maria Elena
1 Derennes, Pierre
1 Derumigny, Alexis
1 Dimitrova, Dimitrina S.
1 dos Anjos, Ulisses U.
1 Dumitrescu, Laura
1 El Ghouch, Anouar
1 Fan, Yanqin
1 Fang, Jun
1 Fazeli Asl, Forough
1 Fermanian, Jean-David
1 Fontaine, Charles
1 Fournier, Edouard
1 Frostig, Ron D.
1 Giraud, Christophe
1 Giurcăneanu, Ciprian Doru
1 González-Barrios, José María
1 Griessenberger, Florian
1 Grihon, Stéphane
1 Guan, Zhong
1 Guo, Nan
1 Hasan, Mirza Nazmul
1 Hong, Seokyoung
1 Hoyos-Argüelles, Ricardo
1 Huang, Jianhua Z.
1 Hudaverdi, Burcu
1 Ibragimov, Rustam
1 Jeong, Himchan
1 Junker, Robert R.
1 Kaishev, Vladimir K.
1 Kakizawa, Yoshihide
1 Karlsen, Hans Arnfinn
...and 116 more Authors
all top 5

Cited in 55 Serials

17 Journal of Multivariate Analysis
10 Insurance Mathematics & Economics
8 Journal of Econometrics
8 Econometric Theory
5 Computational Statistics and Data Analysis
4 Journal of Statistical Planning and Inference
3 Statistics & Probability Letters
3 Econometric Reviews
3 Communications in Statistics. Simulation and Computation
3 European Journal of Operational Research
3 Test
3 Bernoulli
3 Quantitative Finance
3 Dependence Modeling
2 Statistics
2 Journal of Economic Dynamics & Control
2 Computational Statistics
2 Communications in Statistics. Theory and Methods
2 Journal of Statistical Computation and Simulation
2 Statistical Papers
2 Journal of Nonparametric Statistics
2 Scandinavian Actuarial Journal
2 ASTIN Bulletin
2 Statistics and Computing
1 Advances in Applied Probability
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 Statistica
1 Acta Mathematicae Applicatae Sinica. English Series
1 Applied Mathematical Modelling
1 Automation and Remote Control
1 Stochastic Processes and their Applications
1 Applied Mathematical Finance
1 Annals of Mathematics and Artificial Intelligence
1 Australian & New Zealand Journal of Statistics
1 Journal of Applied Statistics
1 Extremes
1 Stochastic Models
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 Electronic Journal of Statistics
1 Probability Surveys
1 Science China. Mathematics
1 International Journal of Stochastic Analysis
1 ISRN Probability and Statistics

Citations by Year