Search Results - subject:"Characteristic function"

Core-stable rings in second price auctions with common values.

Orzach, Ram; Forges, Françoise - Université Paris-Dauphine - 2011

differential information. Journal of Mathematical Economics 37, 247–258], describe a cooperative games in characteristic function … form, in spite of the underlying strategic externalities. A ring is core-stable if the core of this characteristic function …

Persistent link: https://www.econbiz.de/10009493427

Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters

Xu, Dinghai; Knight, John - In: Econometric Reviews 30 (2011) 1, pp. 25-50

empirical characteristic function (CECF). An iterated estimation procedure based on the closed form objective distance function …

Persistent link: https://www.econbiz.de/10008691628

On a generalized mixture of standard normal and skew normal distributions

Satheesh Kumar, C.; Anusree, M.R. - In: Statistics & Probability Letters 81 (2011) 12, pp. 1813-1821

(GMNSND) and study some of its properties by deriving its characteristic function, mean, variance, coefficient of skewness etc …

Persistent link: https://www.econbiz.de/10010571793

Some inequalities for absolute moments

Ushakov, N.G. - In: Statistics & Probability Letters 81 (2011) 12, pp. 2011-2015

variables, using one representation of absolute moments in terms of the characteristic function and inequalities for …

Persistent link: https://www.econbiz.de/10010571813

On the valuation of fader and discrete barrier options in Heston's stochastic volatility model

Griebsch, Susanne; Wystup, Uwe - In: Quantitative Finance 11 (2011) 5, pp. 693-709

We focus on closed-form option pricing in Heston's stochastic volatility model, where closed-form formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate...

Persistent link: https://www.econbiz.de/10009208219

Core-stable rings in second price auctions with common values

Orzach, Ram; Forges, Françoise - Université Paris-Dauphine (Paris IX) - 2011

Persistent link: https://www.econbiz.de/10010708636

Core-stable rings in second price auctions with common values

Forges, Françoise; Orzach, Ram - In: Journal of Mathematical Economics 47 (2011) 6, pp. 760-767

information. Journal of Mathematical Economics 37, 247–258], describe a cooperative games in characteristic function form, in … spite of the underlying strategic externalities. A ring is core-stable if the core of this characteristic function is not …

Persistent link: https://www.econbiz.de/10011065425

Computation of limiting distributions in stationarity testing with a generic trend

Presno, María; Landajo, Manuel - In: Metrika 71 (2010) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10008591065

Time truncated acceptance sampling plans for generalized exponential distribution

Aslam, Muhammad; Kundu, Debasis; Ahmad, Munir - In: Journal of Applied Statistics 37 (2010) 4, pp. 555-566

life of the experimental unit when the shape parameter is two. The operating characteristic function values of the sampling …

Persistent link: https://www.econbiz.de/10008503028

Tests for the error distribution in nonparametric possibly heteroscedastic regression models

Hušková, Marie; Meintanis, Simos - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 1, pp. 92-112

Persistent link: https://www.econbiz.de/10008515578