搜索结果: 1-10 共查到“经济统计学 Stochastic”相关记录10条 . 查询时间(0.117 秒)
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 ...
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...
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...
Multivariate stratified sampling by stochastic multiobjective optimisation
Multivariate stratified random sampling multiobjective E-model
2011/7/5
This work considers the allocation problem for multivariate stratified random sampling as a problem of integer non-linear stochastic multiobjective mathematical programming.
Neyman-Pearson classification, convexity and stochastic constraints
binary classifi cation Neyman-Pearson paradigm anomaly detection stochastic constraint convexity empirical risk minimization chance constrained optimization
2011/3/25
Motivated by problems of anomaly detection, this paper implements the Neyman-Pearson paradigm to deal with asymmetric errors in binary classification with a convex loss. Given a finite collection of c...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/25
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
Stochastic Approximation and Newton's Estimate of a Mixing Distribution
Stochastic approximation empirical Bayes mixture models Lyapunov functions
2011/3/22
Many statistical problems involve mixture models and the need for computationally efficient methods to estimate the mixing distribution has increased dramatically in recent years. Newton [Sankhya Ser....
Fractional Lévy-driven Ornstein--Uhlenbeck processes and stochastic differential equations
fractional integral equation fractional Levy process fractional Levy–Ornstein–Uhlenbeck process long-range dependence p-variation Riemann–Stieltjes integration stationary solution to a fractional SDE stochastic diff erential equation
2011/3/18
Using Riemann-Stieltjes methods for integrators of bounded $p$-variation we define a pathwise integral driven by a fractional L\'{e}vy process (FLP). To explicitly solve general fractional stochastic ...
Optimal sequential change-detection for fractional stochastic differential equations
优化序贯Optimal sequential change-detection fractional stochastic differential equations
2011/3/18
The sequential detection of an abrupt and persistent change in the dynamics of an arbitrary continuous-path stochastic process is considered; the optimality of the cumulative sums (CUSUM) test is esta...
Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
Bid-Ask spread Response function Minority game Stochastic process Econophysics
2010/11/9
Statistical properties of double-auction markets with Bid-Ask spread in market order are investigated through the response function. We first attempt to utilize the so-called Madhavan-Richardson-Rooma...