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  • Search: subject:"Gaussian random field"
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Year of publication
Subject
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Gaussian random field 10 Geostatistics 2 Yield curve 2 Zinsstruktur 2 Actual error rate 1 Bayes classification rule 1 CDS spread 1 Copula 1 Correlation 1 Covariance matrix estimation 1 Covariance matrix function 1 Credit derivative 1 Credit risk 1 Cross covariance 1 Derivat 1 Derivative 1 Direct covariance 1 Elliptically contoured random field 1 Estimation theory 1 Euler–Poincaré characteristic 1 European options 1 Excursion sets 1 Expected error rate 1 Fehlende Daten 1 Fréchet–Hoeffding upper bound 1 Generalized linear mixed model 1 Heath-Jarrow-Morton (HJM) framework 1 Index futures 1 Index-Futures 1 Interest rate derivative 1 Korrelation 1 Kreditderivat 1 Kreditrisiko 1 Long-range dependence 1 MCMC algorithm 1 MSC 62F15 1 MSC 62M30 1 Minkowski functionals 1 Missing data 1 Missing data imputation 1
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Online availability
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Undetermined 9
Type of publication
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Article 9 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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Undetermined 7 English 3
Author
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Ahmad, Ola 1 Choi, Yong-Kab 1 De Oliveira, Victor 1 Dreižienė, Lina 1 Dučinskas, Kęstutis 1 Gräler, Benedikt 1 Han, Xixuan 1 He, Zhuoqiong 1 Hüttner, Amelie 1 Kabrick, John 1 Ma, Chunsheng 1 Naito, Kanta 1 Pinoli, Jean-Charles 1 Puplinskaitė, Donata 1 Scherer, Matthias 1 Sun, Xiaoqian 1 Surgailis, Donatas 1 Wei, Boyu 1 Yang, Hailiang 1 Zhang, Jing 1 Zikarienė, Eglė 1
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Institution
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Départment des sciences administratives, Université du Québec en Outaouais (UQO) 1
Published in...
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Journal of Multivariate Analysis 2 Statistics & Probability Letters 2 Annals of the Institute of Statistical Mathematics 1 International journal of theoretical and applied finance 1 Journal of banking & finance 1 RePAd Working Paper Series 1 Statistical Methods and Applications 1 Stochastic Processes and their Applications 1
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Source
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RePEc 8 ECONIS (ZBW) 2
Showing 1 - 10 of 10
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Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data
Hüttner, Amelie; Scherer, Matthias; Gräler, Benedikt - In: Journal of banking & finance 118 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012521061
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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Scaling transition for long-range dependent Gaussian random fields
Puplinskaitė, Donata; Surgailis, Donatas - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2256-2271
In Puplinskaitė and Surgailis (2014) we introduced the notion of scaling transition for stationary random fields X on Z2 in terms of partial sums limits, or scaling limits, of X over rectangles whose sides grow at possibly different rate. The present paper establishes the existence of scaling...
Persistent link: https://www.econbiz.de/10011209776
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Multiclass classification of the scalar Gaussian random field observation with known spatial correlation function
Dučinskas, Kęstutis; Dreižienė, Lina; Zikarienė, Eglė - In: Statistics & Probability Letters 98 (2015) C, pp. 107-114
Given training sample, the problem of classifying the scalar Gaussian random field observation into one of several …
Persistent link: https://www.econbiz.de/10011189324
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Mittag-Leffler vector random fields with Mittag-Leffler direct and cross covariance functions
Ma, Chunsheng - In: Annals of the Institute of Statistical Mathematics 65 (2013) 5, pp. 941-958
In terms of the two-parameter Mittag-Leffler function with specified parameters, this paper introduces the Mittag-Leffler vector random field through its finite-dimensional characteristic functions, which is essentially an elliptically contoured one and reduces to a Gaussian one when the two...
Persistent link: https://www.econbiz.de/10010848634
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On the linear combination of the Gaussian and student’s t random field and the integral geometry of its excursion sets
Ahmad, Ola; Pinoli, Jean-Charles - In: Statistics & Probability Letters 83 (2013) 2, pp. 559-567
, one is a Gaussian random field and the second is a student’s t random field with ν degrees of freedom scaled by β. The …
Persistent link: https://www.econbiz.de/10011040162
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Hierarchical Poisson models for spatial count data
De Oliveira, Victor - In: Journal of Multivariate Analysis 122 (2013) C, pp. 393-408
This work proposes a class of hierarchical models for geostatistical count data that includes the model proposed by Diggle et al. (1998)  [13] as a particular case. For this class of models the main second-order properties of the count variables are derived, and three models within this class...
Persistent link: https://www.econbiz.de/10011042051
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Bayesian spatial models with repeated measurements: with application to the herbaceous data analysis
Sun, Xiaoqian; He, Zhuoqiong; Zhang, Jing; Kabrick, John - In: Statistical Methods and Applications 18 (2009) 4, pp. 585-601
Persistent link: https://www.econbiz.de/10008537611
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Path properties of (N;d)-Gaussian random fields
Choi, Yong-Kab - Départment des sciences administratives, Université … - 2004
we obtain the law of iterated logarithm for the Gaussian random field, via estimating upper and lower bounds of large …
Persistent link: https://www.econbiz.de/10005773144
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Approximation of the Power of Kurtosis Test for Multinormality
Naito, Kanta - In: Journal of Multivariate Analysis 65 (1998) 2, pp. 166-180
In this paper we investigate performances of the test of multinormality introduced by Malkovich and Afifi. An approximation formula of the power of the test against elliptically symmetric distributions is derived. Examples which illustrate the present results are also discussed.
Persistent link: https://www.econbiz.de/10005221397
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