Search Results - subject:"Conditional expectation"

Identifying Nonlinear Relationships in Regression using the ACE Algorithm

Wang, Duolao; Murphy, Michael - In: Journal of Applied Statistics 32 (2005) 3, pp. 243-258

This paper introduces an alternating conditional expectation (ACE) algorithm: a non-parametric approach for estimating …

Persistent link: https://www.econbiz.de/10005458228

Some statistical models for durations and an application to News Corporation stock prices

Peiris, Shelton; Allen, David; Yang, Wenling - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 5, pp. 545-552

This paper considers a new class of time series models called autoregressive conditional duration (ACD) models. These models have been developed and applied to investigate the price discovery process in the context of financial markets. The various statistical properties of this class of ACD...

Persistent link: https://www.econbiz.de/10010749186

On the Non-parametric Prediction of Conditionally Stationary Sequences

Caires, S.; Ferreira, J. - In: Statistical Inference for Stochastic Processes 8 (2005) 2, pp. 151-184

Persistent link: https://www.econbiz.de/10005616053

Reconstruction of previous failure times and records

Klimczak, Monika; Rychlik, Tomasz - In: Metrika 61 (2005) 3, pp. 277-290

Persistent link: https://www.econbiz.de/10005756371

The Foresight Bias in Monte-Carlo Pricing of Options with Early

Fries, Christian - EconWPA - 2005

In this paper we investigate the so called foresight bias that may appear in the Monte-Carlo pricing of Bermudan and compound options if the exercise criteria is calculated by the same Monte-Carlo simulation as the exercise values. The standard approach to remove the foresight bias is to use two...

Persistent link: https://www.econbiz.de/10005125051

When is the mean self-consistent?

Davidov, Ori - In: Journal of Multivariate Analysis 96 (2005) 2, pp. 295-310

We study the conditions under which the sample mean is self-consistent, and therefore an optimal predictor, for an arbitrary observation in the sample.

Persistent link: https://www.econbiz.de/10005199517

Linear Conditional Expectation for Discretized Distributions

Tarpey, Thaddeus; Sanders, Richard - In: Journal of Applied Statistics 31 (2004) 3, pp. 361-372

Many statistical methods for continuous distributions assume a linear conditional expectation. Components of … will have a linear conditional expectation. Examples and simulations are provided to illustrate the results. …

Persistent link: https://www.econbiz.de/10005495272

Updating Non-Additive Probabilities -- A Geometric Approach

Lehrer, Ehud - EconWPA - 2004

expectation with non- additive probabilities. The conditional expectation is then applied for (i) updating the probability when …A geometric approach, analogous to the approach used in the additive case, is proposed to determine the conditional …

Persistent link: https://www.econbiz.de/10005118648

Characterizations of discrete distributions based on conditional expectations of record values

Franco, Manuel; Ruiz, José - In: Statistical Papers 42 (2001) 1, pp. 101-110

Persistent link: https://www.econbiz.de/10005391184

Characterizations of generalized mixtures of geometric and exponential distributions based on upper record values

Wu, Jong-Wuu - In: Statistical Papers 42 (2001) 1, pp. 123-133

Persistent link: https://www.econbiz.de/10005615809