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  • Search: subject:"Gaussian Processes"
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Year of publication
Subject
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Gaussian processes 68 Stochastischer Prozess 26 Stochastic process 25 Theorie 18 Theory 17 Artificial intelligence 16 Künstliche Intelligenz 13 Option pricing theory 9 Optionspreistheorie 9 Gaussian Processes 7 Volatility 7 Bayes-Statistik 6 Bayesian inference 6 Forecasting model 6 Nichtparametrisches Verfahren 6 Nonparametric statistics 6 Prognoseverfahren 6 Portfolio selection 5 Portfolio-Management 5 Statistical distribution 5 Statistische Verteilung 5 Volatilität 5 machine learning 5 nonparametric estimation 5 Bayesian inverse problems 4 Estimation theory 4 Lepski's method 4 Lévy processes 4 Normal Inverse Gaussian processes 4 Schätztheorie 4 data-driven method 4 honest confidence bands 4 multiplier method 4 posterior consistency 4 Bankruptcy prediction 3 Bayesian nonparametrics 3 CAPM 3 CGMY model 3 Carr's randomization 3 Central Limit Theorem 3
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Online availability
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Undetermined 65 Free 43 CC license 2
Type of publication
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Article 85 Book / Working Paper 34
Type of publication (narrower categories)
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Article in journal 32 Aufsatz in Zeitschrift 32 Working Paper 9 Graue Literatur 6 Non-commercial literature 6 Arbeitspapier 5 Article 3 Hochschulschrift 1 Thesis 1
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Language
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Undetermined 64 English 55
Author
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Podolskij, Mark 5 Barndorff-Nielsen, Ole E. 4 Chernozhukov, Victor 4 Chetverikov, Denis 4 Corcuera, José Manuel 4 Florens, Jean-Pierre 4 Kato, Kengo 4 Simoni, Anna 4 Abudu, Bolanle 3 Benassi, Albert 3 Bianchi, Michele Leonardo 3 Cohen, Serge 3 Istas, Jacques 3 Tassinari, Gian Luca 3 Aue, Alexander 2 BOYARCHENKO, MITYA 2 Branke, Juergen 2 Breunig, Christoph 2 Dew, Ryan 2 Drobne, Samo 2 Eidsvik, Jo 2 Heger, Jens 2 Hidalgo, Javier 2 Hildebrandt, Torsten 2 LEVENDORSKIĬ, SERGEI 2 León, José 2 Liu, Ruixuan 2 Lloyd, James Robert 2 Madan, Dilip B. 2 Marcus, Michael B. 2 Martínez, Serafín 2 Morales-Enciso, Sergio 2 Nourdin, Ivan 2 Peccati, Giovanni 2 Peña, Tonatiuh 2 Piterbarg, V.I. 2 Protassov, V. 2 Rosen, Jay 2 Scholz-Reiter, Bernd 2 Yamazaki, Akira 2
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Institution
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School of Economics and Management, University of Aarhus 5 Erasmus University Rotterdam, Econometric Institute 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 London School of Economics (LSE) 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Banco de México 1 EERC Research Network, Russia and CIS 1 HAL 1 Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE) 1 International Monetary Fund (IMF) 1 Slovensko društvo informatika 1 Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise 1 Toulouse School of Economics (TSE) 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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Stochastic Processes and their Applications 9 Statistical Inference for Stochastic Processes 8 Statistics & Probability Letters 6 CREATES Research Papers 5 Computational Statistics & Data Analysis 4 International Journal of Theoretical and Applied Finance (IJTAF) 4 International journal of theoretical and applied finance 4 Quantitative finance 4 Annals of the Institute of Statistical Mathematics 3 Physica A: Statistical Mechanics and its Applications 3 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Econometric Institute Report 2 Econometric Institute Research Papers 2 European journal of operational research : EJOR 2 Insurance / Mathematics & economics 2 International journal of forecasting 2 Journal of Multivariate Analysis 2 Journal of marketing research 2 LSE Research Online Documents on Economics 2 MPRA Paper 2 STICERD - Econometrics Paper Series 2 The journal of computational finance 2 cemmap working paper 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Advances in Data Analysis and Classification 1 Applied Energy 1 Astin bulletin : the journal of the International Actuarial Association 1 Business Systems Research (BSR) 1 Business systems research : a system view accross technology & economics : the journal of Society for Advancing Innovation and Research in Economy 1 Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies 1 Computational Statistics 1 Decision analysis : a journal of the Institute for Operations Research and the Management Sciences, INFORMS 1 EERC Working Paper Series 1 Econometrica 1 Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics 1 Economics working paper series 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 European Journal of Operational Research 1 Finance and Stochastics 1 IDEI Working Papers 1
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Source
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RePEc 72 ECONIS (ZBW) 39 EconStor 7 BASE 1
Showing 91 - 100 of 119
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Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
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Discrete vs continuous time for large extremes of Gaussian processes.
Piterbarg, V.I. - Faculteit der Economische Wetenschappen, Erasmus … - 2002
The academic publication process consists of al least two stages. The first stage covers the conception of a paper, its submission to a journal, possible revisions due to comments made by (anonymous) reviewers, and acceptance of the manuscript, among other aspects. The second stage concerns the...
Persistent link: https://www.econbiz.de/10010731714
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Cover Image
Discrete vs continuous time for large extremes of Gaussian processes.
Piterbarg, V.I. - Erasmus University Rotterdam, Econometric Institute - 2002
The academic publication process consists of al least two stages. The first stage covers the conception of a paper, its submission to a journal, possible revisions due to comments made by (anonymous) reviewers, and acceptance of the manuscript, among other aspects. The second stage concerns the...
Persistent link: https://www.econbiz.de/10008584706
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Cover Image
Asymptotic expansions for functions of the increments of certain Gaussian processes
Marcus, Michael B.; Rosen, Jay - In: Stochastic Processes and their Applications 120 (2010) 2, pp. 195-222
Let G={G(x),x=0} be a mean zero Gaussian process with stationary increments and set [sigma]2(x-y)=E(G(x)-G(y))2. Let f be a function with Ef2([eta])<[infinity], where [eta]=N(0,1). When [sigma]2 is regularly varying at zero and is locally integrable for some integer j0>=1, and satisfies some additional regularity conditions, in L2. Here Hj is the jth Hermite polynomial. Also :(G')j:(I[a,b]) is a jth order Wick...</[infinity],>
Persistent link: https://www.econbiz.de/10008875497
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Goodness-of-fit test for switching diffusion
Gassem, A. - In: Statistical Inference for Stochastic Processes 13 (2010) 2, pp. 97-123
Persistent link: https://www.econbiz.de/10008456195
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Tail behaviour of Gaussian processes with applications to the Brownian pillow
Koning, Koning, A.J.; Protassov, V. - Faculteit der Economische Wetenschappen, Erasmus … - 2001
In this paper we investigate the tail behaviour of a random variable S which may be viewed as a functional T of a zero mean Gaussian process X, taking special interest in the situation where X obeys the structure which is typical for limiting processes ocurring in nonparametric testing of...
Persistent link: https://www.econbiz.de/10010731609
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The memory of stochastic volatility models
Robinson, Peter M. - London School of Economics (LSE) - 2001
Persistent link: https://www.econbiz.de/10010746529
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Tail behaviour of Gaussian processes with applications to the Brownian pillow
Koning, A.J.; Protassov, V. - Erasmus University Rotterdam, Econometric Institute - 2001
In this paper we investigate the tail behaviour of a random variable S which may be viewed as a functional T of a zero mean Gaussian process X, taking special interest in the situation where X obeys the structure which is typical for limiting processes ocurring in nonparametric testing of...
Persistent link: https://www.econbiz.de/10008584804
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The Memory of Stochastic Volatility Models
Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2001
Gaussian processes and the nonlinear transformation. Implications for simple stochastic volatility models are examined in …
Persistent link: https://www.econbiz.de/10005670798
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Thresholds of moving average of stationary processes for given on target significant levels
Al-Awadhi, F.; Soltani, A. - In: Computational Statistics 24 (2009) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10005029239
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