Search Results - subject:"Gaussian Process"

Specification tests for non-Gaussian maximum likelihood estimators

Sentana, Enrique; Fiorentini, Gabriele - 2018

Persistent link: https://www.econbiz.de/10011916573

Kriging metamodels and experimental design for Bermudan option pricing

Ludkovski, Mike - In: The journal of computational finance 22 (2018) 1, pp. 37-77

Persistent link: https://www.econbiz.de/10011890178

Comparison of Gaussian process modeling software

Erickson, Collin B.; Ankenman, Bruce E.; Sanchez, Susan M. - In: European journal of operational research : EJOR 266 (2018) 1, pp. 179-192

Persistent link: https://www.econbiz.de/10011811641

Optimal taxation and insurance using machine learning : sufficient statistics and beyond

Kasy, Maximilian - In: Journal of public economics 167 (2018), pp. 205-219

Persistent link: https://www.econbiz.de/10012035979

A fine model for nominal and real bonds

Vladu, Andreea L.; Mönch, Emanuel - In: Essays on interest rates at the lower bound, (pp. 57-114). 2018

Persistent link: https://www.econbiz.de/10012098884

Efficient global optimisation for black-box simulation via sequential intrinsic Kriging

Mehdad, Ehsan; Kleijnen, Jack P. C. - In: Journal of the Operational Research Society 69 (2018) 11, pp. 1725-1737

Persistent link: https://www.econbiz.de/10012229229

An almost sure limit theorem for the maxima of smooth stationary Gaussian processes

Tan, Zhongquan - In: Statistics & Probability Letters 83 (2013) 9, pp. 2135-2141

Let {X(t),t≥0} be a continuous mean square differentiable stationary Gaussian process. Under some mild restrictions on … its correlation function r(⋅), we prove an almost sure limit theorem for the maximum of the Gaussian process {X(t),t≥0}. …

Persistent link: https://www.econbiz.de/10011039927

ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE

YAMAZAKI, AKIRA - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350017-1

While the proportional hazard model is recognized to be statistically meaningful for analyzing and estimating financial event risks, the existing literature that analytically deals with the valuation problems is very limited. In this paper, adopting the proportional hazard model in continuous...

Persistent link: https://www.econbiz.de/10010661003

On valuation with stochastic proportional Hazard model in finance

Yamazaki, Akira - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10009756036

A nonparametric test of the leverage hypothesis

Linton, Oliver; Whang, Yoon-Jae; Yen, Yu-Min - 2012

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...

Persistent link: https://www.econbiz.de/10010288326