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High Dimensional Stochastic Regression with Latent Factors, Endogeneity and Nonlinearity
α-mixing dimension reduction instrument variables nonstationarity time series
2016/1/26
We consider a multivariate time series model which represents a high dimensional vector process as a sum of three terms: a linear regression of some observed regressors, a linear com-bination of some ...
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
α-mixing dimension reduction instrument variables nonstationarity time series
2016/1/25
We consider a multivariate time series model which represents a high dimensional vector process as a sum of three terms: a linear regression of some observed regressors,a linear combination of some la...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/25
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
α-mixing, dimension reduction instrument variables nonstationarity time series
2016/1/20
We consider a multivariate time series model which represents a high dimensional vector process as a sum of three terms: a linear regression of some observed regressors,a linear combination of some la...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/20
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
A Heuristic for Optimizing Stochastic Activity Networks with Applications to Statistical Digital Circuit Sizing
A Heuristic Optimizing Stochastic Activity Networks Applications Statistical Digital Circuit Sizing
2015/7/10
A deterministic activity network (DAN) is a collection of activities, each with some duration, along with a set of precedence constraints, which specify that activities begin only when certain others ...
Low regularity solutions to a gently stochastic nonlinear wave equation in nonequilibrium statistical mechanics
System stochastic partial differential equations the nonlinear medium heat transfer and energy
2014/12/29
We consider a system of stochastic partial differential equations modeling heat conduction in a non-linear medium. We show global existence of solutions for the system in Sobolev spaces of low regular...
Nucleation of Breathers via Stochastic Resonance in Nonlinear Lattices
Staggered driving force the nonlinear discrete model discrete respirator resonance phenomenon
2014/12/24
By applying a staggered driving force in a prototypical discrete model with a quartic nonlinearity, we demonstrate the spontaneous formation and destruction of discrete breathers with a selected frequ...
COARSE-GRAINING SCHEMES FOR STOCHASTIC LATTICE SYSTEMS WITH SHORT AND LONG-RANGE INTERACTIONS
Coarse-grained plan particle microscopic model dimensional lattice the renormalization group
2014/12/24
We develop coarse-graining schemes for stochastic many-particle microscopic models with competing short- and long-range interactions on a d-dimensional lattice. We focus on the coarse-graining of equi...
Deterministic Equations for Stochastic Spatial Evolutionary Games
Coarse-grained dynamics monte carlo simulation grid the stochastic dynamics systematic lattice spin flip dynamics
2014/12/24
In this paper we investigate the approximation properties of the coarse-graining procedure applied to kinetic Monte Carlo simulations of lattice stochastic dynamics. We provide both analytical and num...
Deterministic Equations for Stochastic Spatial Evolutionary Games
Coarse-grained dynamics monte carlo simulation grid the stochastic dynamics systematic lattice spin flip dynamics
2014/12/24
In this paper we investigate the approximation properties of the coarse-graining procedure applied to kinetic Monte Carlo simulations of lattice stochastic dynamics. We provide both analytical and num...
Matter-Wave Dark Solitons: Stochastic versus Analytical Results
Dark soliton similar dynamics atom condensate stochastic simulation
2014/12/24
The dynamics of dark matter-wave solitons in elongated atomic condensates are discussed at finite temperatures. Simulations with the stochastic Gross-Pitaevskii equation reveal a noticeable, experimen...
Adapting the Stochastic Block Model to Edge-Weighted Networks
Adapting Stochastic Block Model Edge-Weighted Networks
2013/6/14
We generalize the stochastic block model to the important case in which edges are annotated with weights drawn from an exponential family distribution. This generalization introduces several technical...
Penalized importance sampling for parameter estimation in stochastic differential equations
Chronic wasting disease Euler-Maruyama scheme Maximum likelihood estimation Partially observed discrete sparse data Penalized importance sampling Stochastic di
2013/6/14
We consider the problem of estimating parameters of stochastic differential equations with discrete-time observations that are either completely or partially observed. The transition density between t...
On Approximation of the Backward Stochastic Differential Equation
Backward SDE approximation of the solution small noise asymptotics
2013/6/14
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends ...