Search Results - subject:"Characteristic function"

Acceptance Sampling Plans Under Truncated Life Tests Assuming a Half Exponential Power Life Distribution

Wenhao, Gui - In: Economic Quality Control 28 (2013) 2, pp. 12-12

lifetime. The operating characteristic function of the sampling plans and the associated producer's risks are derived and also …

Persistent link: https://www.econbiz.de/10010761915

On computing the distribution function for the Poisson binomial distribution

Hong, Yili - In: Computational Statistics & Data Analysis 59 (2013) C, pp. 41-51

of the characteristic function of the distribution. We develop an algorithm that efficiently implements the exact formula …

Persistent link: https://www.econbiz.de/10010595097

Distribution of functionals of a Ferguson–Dirichlet process over an n-dimensional ball

Dickey, James M.; Jiang, Thomas J.; Kuo, Kun-Lin - In: Journal of Multivariate Analysis 120 (2013) C, pp. 216-225

The c-characteristic function has been shown to have properties similar to those of the Fourier transformation. We now … give a new property of the c-characteristic function of the spherically symmetric distribution. With this property, we can …

Persistent link: https://www.econbiz.de/10010681785

Estimation for multivariate stable distributions with generalized empirical likelihood

Ogata, Hiroaki - In: Journal of Econometrics 172 (2013) 2, pp. 248-254

This paper considers the generalized empirical likelihood (GEL) method for estimating the parameters of the multivariate stable distribution. The GEL method is considered to be an extension of the generalized method of moments (GMM). The multivariate stable distributions are widely applicable as...

Persistent link: https://www.econbiz.de/10010608467

On the characteristic function for asymmetric Student t distributions

Nadarajah, Saralees; Chan, Stephen; Afuecheta, Emmanuel - In: Economics Letters 121 (2013) 2, pp. 271-274

Following up on the work of Nadarajah and Teimouri [Nadarajah, S., Teimouri, M., 2012. On the characteristic function …, explicit closed-form expressions for the characteristic function of the asymmetric Student t distribution. The expressions …

Persistent link: https://www.econbiz.de/10010709097

A general closed-form spread option pricing formula

Caldana, Ruggero; Fusai, Gianluca - In: Journal of Banking & Finance 37 (2013) 12, pp. 4893-4906

is applicable to models in which the joint characteristic function of the underlying assets forming the spread is known …

Persistent link: https://www.econbiz.de/10010709474

Goodness-of-fit test for stochastic volatility models

Lin, Liang-Ching; Lee, Sangyeol; Guo, Meihui - In: Journal of Multivariate Analysis 116 (2013) C, pp. 473-498

In this paper, we propose a goodness of fit test for continuous time stochastic volatility models based on discretely sampled observations. The proposed test is constructed by measuring deviations between the empirical and true characteristic functions obtained from the hypothesized stochastic...

Persistent link: https://www.econbiz.de/10010665717

Generalized Ornstein–Uhlenbeck process by Doob’s theorem and the time evolution of financial prices

Fonseca, Regina C.B. da; Figueiredo, Annibal; Castro, … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 7, pp. 1671-1680

the characteristic function formalism and compared with empirical stock market data, which are notorious for the non …

Persistent link: https://www.econbiz.de/10011057175

Testing the characteristics of a Lévy process

Reiß, Markus - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2808-2828

approach via the empirical characteristic function unifies existing theory and sheds new light on diverse results. Particular …

Persistent link: https://www.econbiz.de/10011064996

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

Persistent link: https://www.econbiz.de/10011082464