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Closed-form expansions of discretely monitored asian options in diffusion models
discretely monitored Asian options CEV model CIR process Black-Scholes model Brennan
2016/1/25
In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion ...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/25
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
2016/1/20
Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1–39] for analyzing generalized rando...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
A closed-form estimator for the multivariate GARCH(1,1) model
Multivariate GARCH(1,1) VARMA Temporal Aggregation Es-timation
2013/4/27
We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear algebra tools. We show ...
Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
efficient estimation fractional Brownian motion Fisher information general monotone sequence regular variation slowly varying functions spectral density.
2012/9/18
Mimicking the maximum likelihood estimator, we construct first order Cramer-Rao efficient and explicitly computable estimators for the scale parameterσ2 in the model Zi,n =σn−βXi+Yi, i = 1, . . ...
On the canonical form of scale mixtures of skew-normal distributions
affine invariance kurtosis Mardia indices of multivariate skewness and kurtosis scale mixtures of normal distributions skewness skew-normal distribution skewtdistribution.
2012/9/18
The canonical form of scale mixtures of multivariate skew-normal distribution is defined,emphasizing its role in summarizing some key properties of this class of distributions. It is also shown that t...
Closed-Form EM for Sparse Coding and Its Application to Source Separation
Closed-Form EM Sparse Coding Source Separation
2011/6/17
We define and discuss the first sparse coding algorithm based on closed-form EM
updates and continuous latent variables. The underlying generativemodel consists
of a flexibly parameterized ‘spike-an...
Closed-form cdf and pdf of Tukey's h-distribution, the heavy-tail Lambert W approach, and how to bijectively "Gaussianize" heavy-tailed data
family of heavy-tailed distributions Tukey g-h distribution Lambert W
2010/10/19
Recently Goerg (2010) introduced Lambert W - F random variables (RVs), a new family of generalized skewed distributions. Here I will adapt this appealing framework to generate heavy (heavier) tailed ...
Asymptotic multivariate normality for the subseries values of a general statistic form a stationary sequence - with applications to nonparametric confidence intervals
Asymptotic multivariate the subseries values of a general statistic a stationary sequence
2009/9/23
Asymptotic multivariate normality for the subseries values of a general statistic form a stationary sequence - with applications to nonparametric confidence intervals。
On Levy (spectral) measures of integral form on Banach spaces
Levy (spectral) measures integral form Banach spaces
2009/9/23
On Levy (spectral) measures of integral form on Banach spaces。
The Ornstein-Uhlenbeck process associated with the Levy Laplacian and its Dirichlet form
The Ornstein-Uhlenbeck process the Levy Laplacian Dirichlet form
2009/9/22
We prove the existence of an Omstein-Uhlenbeck type
process associated with the Evy Laplacian. Like the classical case, the
law of the Levy Brownian motion at time 1 is an invariant probability
of ...
Time-inhomogeneous diffusions corresponding to symmetric divergence form operators
Time-inhomogeneous diffusions symmetric divergence form operators
2009/9/21
We consider a time-inhomogeneous Markov family
(X, P,3 corresponding to a symmetric uniformly elliptic divergence
form operator. We show that for any rp in the Sobolev space W: n Wi
with p = 2 if d...
On Homogenization of Non-Divergence Form Partial Difference Equations
pde with random coecients homogenization
2009/4/24
In this paper a method for proving homogenization of divergence form elliptic equations is extended to the non-divergence case. A new proof of homogenization is given when the coefficients in the equa...
On Homogenization of Non-Divergence Form Partial Difference Equations
Homogenization Non-Divergence Partial Difference Equations
2009/4/7
In this paper a method for proving homogenization of divergence form elliptic equations is extended to the non-divergence case. A new proof of homogenization is given when the coefficients in the equa...