Search Results - subject:"Random variables"

On bootstrapping periodic random arrays with increasing period

Leśkow, Jacek; Synowiecki, Rafał - In: Metrika 71 (2010) 3, pp. 253-279

Persistent link: https://www.econbiz.de/10008515483

Fast Simulation of a Queue fed by a Superposition of Many (Heavy-Tailed) Sources

Boots, Nam Kyoo; Mandjes, Michel - 2001

We consider a queue fed by a large number, say n, of on-off sources with generally distributed on-and off-times. The queueing resources are scaled by n: the buffer is B=nb and link rate is C=nc.The model is versatile: it allows us to model both long range dependent traffic (by using heavy-tailed...

Persistent link: https://www.econbiz.de/10010325017

Fast Simulation of a Queue fed by a Superposition of Many (Heavy-Tailed) Sources

Boots, Nam Kyoo; Mandjes, Michel - Tinbergen Instituut - 2001

Persistent link: https://www.econbiz.de/10011257416

Quality Controls, License Transferability and the Level of Investment

Tan, Ling Hui; Krishna, Kala; Ranjan, Ram - International Monetary Fund (IMF) - 2001

This paper models investment/entry decisions in a competitive industry that is subject to a quantity control on an input for production. The quantity control is implemented by auctioning licenses for the restricted input (e.g., a pollution permit or a production license). The paper shows that...

Persistent link: https://www.econbiz.de/10005826357

The Equilibrium Distributions of Value for Risky Stocks and Bonds

Johannes, Ron - International Monetary Fund (IMF) - 2001

Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations (high peak, fat tail) and double...

Persistent link: https://www.econbiz.de/10005826363

Fast Simulation of a Queue fed by a Superposition of Many (Heavy-Tailed) Sources

Boots, Nam Kyoo; Mandjes, Michel - Tinbergen Institute - 2001

We consider a queue fed by a large number, say n, of on-off sources with generally distributed on- and off-times. The queueing resources are scaled by n: the buffer is B=nb and link rate is C=nc. The model is versatile: it allows us to model both long range dependent traffic (by using heavy-...

Persistent link: https://www.econbiz.de/10005281775

Fast simulation of a queue fed by a superposition of many (heavy-tailed) sources

Boots, Nam Kyoo; Mandjes, Michel - 2001

Persistent link: https://www.econbiz.de/10011316865

Rethinking risk and return: part 2 – some felicitous Fourier frequencies

Powers, Michael R. - In: The Journal of Risk Finance 10 (2009) 3, pp. 205-209

‐normal (i.e. asymmetric and long‐tailed) random variables in the context of both investment and insurance portfolios. The … Fourier transform is always well defined, even for long‐tailed random variables. The frequency parameter necessary for the … long‐tailed random variables as to normal random variables. …

Persistent link: https://www.econbiz.de/10014901501

Constant‐sum sampling: an apology for statistics' “original sin”

Powers, Michael R. - In: The Journal of Risk Finance 10 (2009) 4, pp. 317-320

‐sum constraint (that is, a succession of identically distributed random variables that add up to some predetermined constant) in … considering the intuition that successive random variables must be negatively correlated to provide the “balance” required by … random variables suggests that the constant‐sum model played a significant role in the lives of our primitive human ancestors …

Persistent link: https://www.econbiz.de/10014901508

The coefficient of variation asymptotic distribution in the case of non-iid random variables

Curto, Jose Dias; Pinto, Jose Castro - In: Journal of Applied Statistics 36 (2009) 1, pp. 21-32

distribution in the case of non-iid random variables to deal with autocorrelation and/or conditional heteroskedasticity stylized …

Persistent link: https://www.econbiz.de/10005495243