Edit Profile (opens in new tab) Sancetta, Alessio Co-Author Distance Author ID: 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 all top 5 Co-Authors 21 single-authored 3 Satchell, Steve E. 1 Battey, Heather S. 1 Györfi, László 1 Linton, Oliver Bruce 1 Mucciante, Luca 1 Nikandrova, Arina all top 5 Serials 6 Journal of Multivariate Analysis 5 Econometric Theory 3 IEEE Transactions on Information Theory 2 Journal of Econometrics 2 Applied Mathematical Finance 2 Bayesian Analysis 1 Annals of the Institute of Statistical Mathematics 1 Statistics & Probability Letters 1 Probability and Mathematical Statistics 1 Journal of Theoretical Probability 1 Bernoulli 1 Statistical Inference for Stochastic Processes 1 Quantitative Finance 1 Electronic Journal of Statistics 1 Journal of Time Series Econometrics all top 5 Fields 25 Statistics (62-XX) 8 Probability theory and stochastic processes (60-XX) 4 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Computer science (68-XX) 2 Numerical analysis (65-XX) 1 Special functions (33-XX) 1 Functional analysis (46-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 11 Fields 119 Statistics (62-XX) 32 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 22 Probability theory and stochastic processes (60-XX) 13 Numerical analysis (65-XX) 4 Approximations and expansions (41-XX) 3 Computer science (68-XX) 2 Information and communication theory, circuits (94-XX) 1 Special functions (33-XX) 1 Operator theory (47-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) Citations by Year