Search Results - subject:"Gaussian Process"

Deheuvels, Paul - In: Statistical Inference for Stochastic Processes 14 (2011) 2, pp. 141-175

Persistent link: https://www.econbiz.de/10009149866

Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes

Andrews, Donald W.K.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2002

This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals (CIs) for the covariance parameters of stationary long-memory Gaussian time series. CIs for the long-memory parameter d_0 are included. The results establish that the bootstrap...

Persistent link: https://www.econbiz.de/10005464054

Design and analysis of computer experiments

Kuhnt, Sonja; Steinberg, David - In: AStA Advances in Statistical Analysis 94 (2010) 4, pp. 307-309

Persistent link: https://www.econbiz.de/10008925207

Computer experiments: a review

Levy, Sigal; Steinberg, David - In: AStA Advances in Statistical Analysis 94 (2010) 4, pp. 311-324

Persistent link: https://www.econbiz.de/10008925214

Modelling of a thermomechanically coupled forming process based on functional outputs from a finite element analysis and from experimental measurements

Wagner, Tobias; Bröcker, Christoph; Saba, Nicolas; … - In: AStA Advances in Statistical Analysis 94 (2010) 4, pp. 389-404

Persistent link: https://www.econbiz.de/10008925215

Extremes of multidimensional Gaussian processes

Debicki, K.; Kosinski, K.M.; Mandjes, M.; Rolski, T. - In: Stochastic Processes and their Applications 120 (2010) 12, pp. 2289-2301

This paper considers extreme values attained by a centered, multidimensional Gaussian process X(t)=(X1(t …

Persistent link: https://www.econbiz.de/10008872988

Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied Mathematical Finance 17 (2010) 4, pp. 301-321

The main purpose of this article is to propose computational methods for Greeks and the multidimensional density estimation for an asset price dynamics model defined with time-changed Brownian motions. Our approach is based on an application of the Malliavin integration-by-parts formula on the...

Persistent link: https://www.econbiz.de/10008675009

An Empirical Comparison of Machine Learning Models for Time Series Forecasting

Ahmed, Nesreen; Atiya, Amir; Gayar, Neamat El; … - In: Econometric Reviews 29 (2010) 5-6, pp. 594-621

differences between the different methods. The best two methods turned out to be the multilayer perceptron and the Gaussian … process regression. In addition to model comparisons, we have tested different preprocessing methods and have shown that they …

Persistent link: https://www.econbiz.de/10008691624

Dynamic relations for sparsely sampled Gaussian processes

Müller, Hans-Georg; Yang, Wenjing - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10008515579

On parametric statistical models for stationary solutions of affine stochastic delay differential equations

Gushchin, Alexander A.; Küchler, Uwe - 2001

Persistent link: https://www.econbiz.de/10010310340