Search Results - subject:"Mean and Variance"

Dynamic interactions between Egyptian equity and currency markets prior to and during political unrest

Ahmed, Walid M. A. - In: Applied financial economics 24 (2014) 19/21, pp. 1347-1359

Persistent link: https://www.econbiz.de/10010460154

A METHODOLOGY FOR DETECTING BREAKS IN THE MEAN AND COVARIANCE STRUCTURE OF TIME SERIES

Boutahar, Mohamed; Jouini, Jamel - HAL - 2007

Some structural break techniques defined in the time and frequency domains are presented to explore, at the same time, the empirical evidence of the mean and covariance instability by uncovering regime-shifts in some inflation series. To that effect, we pursue a methodology that combines two...

Persistent link: https://www.econbiz.de/10008793439

The exact bootstrap method shown on the example of the mean and variance estimation

Kisielinska, Joanna - In: Computational Statistics 28 (2013) 3, pp. 1061-1077

and therefore there is no additional bias which results from resampling. The method was used to estimate mean and variance …

Persistent link: https://www.econbiz.de/10010847838

Characterizations of discrete distributions using reliability concepts in reversed time

Unnikrishnan Nair, N.; Sankaran, P.G. - In: Statistics & Probability Letters 83 (2013) 9, pp. 1939-1945

In the present work we establish characterizations of some discrete distributions using properties of the reversed hazard rate and reversed mean residual life. Discrete distributions having a constant reversed hazard rate, the reversed lack of memory property, and the product of the reversed...

Persistent link: https://www.econbiz.de/10010678737

A semiparametric Bayesian approach to joint mean and variance models

Xu, Dengke; Zhang, Zhongzhan - In: Statistics & Probability Letters 83 (2013) 7, pp. 1624-1631

We propose a fully Bayesian inference for semiparametric joint mean and variance models on the basis of B …

Persistent link: https://www.econbiz.de/10010665608

Mean and variance responsive learning

Oyarzun, Carlos; Sarin, Rajiv - In: Games and Economic Behavior 75 (2012) 2, pp. 855-866

Decision makers are often described as seeking higher expected payoffs and avoiding higher variance in payoffs. We provide some necessary and some sufficient conditions for learning rules, that assume the agent has little prior and feedback information about the environment, to reflect such...

Persistent link: https://www.econbiz.de/10011049685

Portfolio adjusting optimization with added assets and transaction costs based on credibility measures

Zhang, Wei-Guo; Zhang, Xili; Chen, Yunxia - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 353-360

In response to changeful financial markets and investor’s capital, we discuss a portfolio adjusting problem with additional risk assets and a riskless asset based on credibility theory. We propose two credibilistic mean–variance portfolio adjusting models with general fuzzy returns, which...

Persistent link: https://www.econbiz.de/10010576725

Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach

Lin, Winston T. - In: Multinational Finance Journal 3 (1999) 3, pp. 173-221

behavior of currency betas with respect to randomness, nonstationarity, and shifts in the mean and variance. We find that the … and variance shifts through time, and that the properties of the underlying variation and stochastic patterns of the … longer (three-month, six-month, and twelve-month), that the currency beta displays randomness and nonstationarity with mean …

Persistent link: https://www.econbiz.de/10010937116

Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent

Audrino, Francesco; Trojani, Fabio - School of Economics and Political Science, Universität … - 2007

We propose a multivariate nonparametric technique for generating reliable shortterm historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...

Persistent link: https://www.econbiz.de/10005696741

Monitoring Process Mean and Variability with One Non-central Chi-square Chart

Costa, A. F. B.; Rahim, M. A. - In: Journal of Applied Statistics 31 (2004) 10, pp. 1171-1183

Traditionally, an X-chart is used to control the process mean and an R-chart to control the process variance. However, these charts are not sensitive to small changes in process parameters. A good alternative to these charts is the exponentially weighted moving average (EWMA) control chart for...

Persistent link: https://www.econbiz.de/10005458316