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  • Search: subject:"First order autoregressive process"
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Subject
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first-order autoregressive process 2 Balanced incomplete block designs 1 Catastrophe swaps 1 Contingent claims pricing approach 1 Counterparty default risk 1 Doubly stochastic Poisson process 1 EWMA model 1 Estimation theory 1 Exploratory factor analysis 1 Exponentially weighted moving average 1 First order autoregressive process 1 First-order autoregressive process 1 Implied intensities 1 Mean-reverting Ornstein–Uhlenbeck intensity 1 Ornstein-Uhlenbeck process 1 Sampling 1 Schätztheorie 1 Stichprobenerhebung 1 Time series analysis 1 Zeitreihenanalyse 1 generalized binary designs 1 generalized least-squares 1 local Pitman-type alternatives 1 multiple dependent state repetitive 1 nearly non-stationary 1 periodogram ordinate 1 repetitive group sampling 1 resubmitted sampling 1 semi-balanced array 1 unit roots 1 universal optimality 1 yield index 1
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Article 4
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 3 English 1
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Bhattacharyya, B. 1 Braun, Alexander 1 Li, X. 1 Martin, R. J. 1 Pensky, M. 1 Pooladsaz, S. 1 Richardson, G. 1 Tamirat, Yeneneh 1 Wang, Fu-Kwun 1
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Annals of the Institute of Statistical Mathematics 1 Insurance: Mathematics and Economics 1 Journal of the Operational Research Society 1 Metrika 1
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Acceptance sampling plans based on EWMA yield index for the first order autoregressive process
Tamirat, Yeneneh; Wang, Fu-Kwun - In: Journal of the Operational Research Society 70 (2019) 7, pp. 1179-1192
Persistent link: https://www.econbiz.de/10012213635
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Pricing catastrophe swaps: A contingent claims approach
Braun, Alexander - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 520-536
examining the resulting factor scores, we show that a first order autoregressive process provides a good fit. Hence, its …
Persistent link: https://www.econbiz.de/10010576743
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Optimal extended complete block designs for dependent observations
Pooladsaz, S.; Martin, R. J. - In: Metrika 61 (2005) 2, pp. 185-197
Optimal designs under general dependence structures are usually difficult to specify theoretically or find algorithmically. However, they can sometimes be found for a specific dependence structure and a particular parameter value. In this paper, a class of generalized binary block designs with t...
Persistent link: https://www.econbiz.de/10005155857
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Testing for Unit Roots in a Nearly Nonstationary Spatial Autoregressive Process
Bhattacharyya, B.; Li, X.; Pensky, M.; Richardson, G. - In: Annals of the Institute of Statistical Mathematics 52 (2000) 1, pp. 71-83
Persistent link: https://www.econbiz.de/10005169191
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