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  • Search: subject:"Random set"
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Year of publication
Subject
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Random set 8 Theorie 6 Theory 6 random set 5 Portfolio selection 3 Portfolio-Management 3 Transaction costs 3 Transaktionskosten 3 Aumann expectation 2 Econometrics 2 Partial identification 2 Probability theory 2 Risiko 2 Risikomaß 2 Risk 2 Risk measure 2 Stochastic process 2 Stochastischer Prozess 2 Zufällige Menge 2 random set theory 2 selection 2 Ökonometrie 2 Acceptance set 1 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Aumann mean 1 Banach space of type p 1 Bayesian Robustness 1 Belief 1 Belief Function 1 Calibration 1 Compact convex random set 1 Confidence set 1 Convex optimization 1 Copula process 1 Erwartungsbildung 1 Erwartungsnutzen 1 Estimation theory 1 Expectation formation 1
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Online availability
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Undetermined 14 Free 7
Type of publication
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Article 13 Book / Working Paper 8
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 2 Arbeitspapier 1 Aufsatz im Buch 1 Book section 1 Graue Literatur 1 Non-commercial literature 1
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Language
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Undetermined 11 English 10
Author
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Molčanov, Il'ja S. 6 Vorobyev, Oleg Yu. 3 Molinari, Francesca 2 Terán, Pedro 2 Cascos, Ignacio 1 Choirat, Christine 1 Demuynck, Thomas 1 Ellen, Goldenok 1 Fomin, Andrew 1 Giap, Duong Xuan 1 Gil, M. 1 Haier, Andreas 1 Helena, Tyaglova 1 Ivanoff, B. Gail 1 Jordan, Adriana 1 Kitagawa, Toru 1 Li, Lin 1 Lubiano, M. 1 Lépinette, Emmanuel 1 López-Díaz, Miguel 1 López-García, M. 1 Martin, Ryan 1 Montenegro, Manuel 1 Mühlemann, Anja 1 Novosyolov, Arcady A. 1 Oleg, Vorobyev 1 Potoms, Tom 1 Quang, Nguyen Van 1 Russell, Thomas M. 1 Seri, Raffaello 1 Simonov, Konstantin V. 1 Vorobyev, Alexey O. 1 Zhao, Dandan 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4
Published in...
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MPRA Paper 4 Computational Statistics & Data Analysis 2 Finance and stochastics 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 ECARES working paper 1 Econometric Society Monographs 1 Econometric Society monograph series 1 International journal of information technology and management : IJITM 1 Journal of Multivariate Analysis 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Robustness in econometrics 1 Statistics & Probability Letters 1 Statistics & Risk Modeling 1 cemmap working paper 1
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Source
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RePEc 10 ECONIS (ZBW) 9 EconStor 1 Other ZBW resources 1
Showing 11 - 20 of 21
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Inference and decision for set identified parameters using posterior lower and upper probabilities
Kitagawa, Toru - 2011
This paper develops inference and statistical decision for set-identified parameters from the robust Bayes perspective. When a model is set-identified, prior knowledge for model parameters is decomposed into two parts: the one that can be updated by data (revisable prior knowledge) and the one...
Persistent link: https://www.econbiz.de/10010288337
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Multivariate risk measures : a constructive approach based on selections
Molčanov, Il'ja S.; Cascos, Ignacio - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 867-900
Persistent link: https://www.econbiz.de/10011583808
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Bootstrap confidence sets for the Aumann mean of a random closed set
Choirat, Christine; Seri, Raffaello - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 803-817
estimated through the Minkowski empirical mean. First, a general definition of the confidence set for the mean of a random set …
Persistent link: https://www.econbiz.de/10010871481
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Strong consistency and rates of convergence for a random estimator of a fuzzy set
Terán, Pedro; López-Díaz, Miguel - In: Computational Statistics & Data Analysis 77 (2014) C, pp. 130-145
An approximation scheme for estimating a fixed, unknown fuzzy set from random samples taken from the nested random set …
Persistent link: https://www.econbiz.de/10011056484
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Mosco convergence of SLLN for triangular arrays of rowwise independent random sets
Quang, Nguyen Van; Giap, Duong Xuan - In: Statistics & Probability Letters 83 (2013) 4, pp. 1117-1126
In this paper, we state several convergence results with respect to the Mosco topology of strong laws of large numbers for triangular arrays of rowwise independent random sets in a separable Banach space of type p(1<p≤2). We also provide some typical examples illustrating this study.
Persistent link: https://www.econbiz.de/10011039880
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Multidimensional p–p plots and precedence tests for point processes on ℜd
Jordan, Adriana; Ivanoff, B. Gail - In: Journal of Multivariate Analysis 115 (2013) C, pp. 122-137
Given two univariate distributions F and G, the hypothesis that F=G can be tested against the alternative that FG using a precedence test statistic, or more generally the procentile–procentile plot of G against F. In this paper we propose a d-dimensional generalization of the p–p plot that...
Persistent link: https://www.econbiz.de/10011041910
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On the New Notion of the Set-Expectation for a Random Set of Events
Vorobyev, Oleg Yu.; Vorobyev, Alexey O. - Volkswirtschaftliche Fakultät, … - 2003
The paper introduces new notion for the set-valued mean set of a random set. The means are defined as families of sets … that minimize mean distances to the random set. The distances are determined by metrics in spaces of sets or by suitable …
Persistent link: https://www.econbiz.de/10008518092
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On a games theory of random coalitions and on a coalition imputation
Oleg, Vorobyev; Ellen, Goldenok; Helena, Tyaglova - Volkswirtschaftliche Fakultät, … - 2002
The main theorem of the games theory of random coalitions is reformulated in the random set language which generalizes … coalitions has been introduced as a random set form of classical maximin theorem. This interpretation of the maximin theorem …
Persistent link: https://www.econbiz.de/10005105920
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Portfolio Analysis of Financial Market Risks by Random Set Tools
Vorobyev, Oleg Yu.; Novosyolov, Arcady A.; Simonov, … - Volkswirtschaftliche Fakultät, … - 2001
A new approach to portfolio analysis of financial market risks by random set tools is considered. Despite many attempts … fundamental properties that a market model should possess. The paper suggests a random set approach as a probabilistic base of … random set approach allows to derive the so called transition set-matrices, random set invariants of capital redistribution …
Persistent link: https://www.econbiz.de/10005037758
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On the equivalence of Aumann and Herer expectations of random sets
Terán, Pedro - In: TEST: An Official Journal of the Spanish Society of … 17 (2008) 3, pp. 505-514
Persistent link: https://www.econbiz.de/10005004349
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