Search Results - subject:"convolution"

Asymptotics in the symmetrization inequality

Geluk, J.L. - Erasmus University Rotterdam, Econometric Institute - 2003

We give a sufficient condition for i.i.d. random variables X1,X2 in order to have P{X1-X2>x} ~ P{|X1|>x} as x tends to infinity. A factorization property for subexponential distributions is used in the proof. In a subsequent paper the results will be applied to model fragility of financial markets.

Persistent link: https://www.econbiz.de/10008584695

Asymptotics in the symmetrization inequality

Geluk, J.L. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

Persistent link: https://www.econbiz.de/10010837803

Tight numerical bounds for digital terrain modeling by interpolatory subdivision schemes

Moncayo, M.; Reinoso, J.F.; Amat, S. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 10, pp. 2258-2269

Surface subdivision schemes are used extensively in scientific and practical applications to generate continuous surfaces in an iterative manner, starting from a set of points. The first subdivision step defines the so called control polygon. This initial polygon can be considered as a very...

Persistent link: https://www.econbiz.de/10010869984

Convolutions of multivariate phase-type distributions

Berdel, Jasmin; Hipp, Christian - In: Insurance: Mathematics and Economics 48 (2011) 3, pp. 374-377

This paper is concerned with multivariate phase-type distributions introduced by Assaf et al. (1984). We show that the sum of two independent bivariate vectors each with a bivariate phase-type distribution is again bivariate phase-type and that this is no longer true for higher dimensions....

Persistent link: https://www.econbiz.de/10008865478

Preservation properties of the moment generating function ordering of residual lives

Kayid, M. - In: Statistical Papers 52 (2011) 3, pp. 523-529

Persistent link: https://www.econbiz.de/10009324997

Tests of symmetry with one-sided alternatives in three-way contingency tables

Ye, Ping; Bhattacharya, Bhaskar - In: Statistical Papers 52 (2011) 1, pp. 33-51

Persistent link: https://www.econbiz.de/10008925493

Multi-class percentile user equilibrium with flow-dependent stochasticity

Nie, Yu - In: Transportation Research Part B: Methodological 45 (2011) 10, pp. 1641-1659

approximated through recursive convolution. Preliminary numerical experiments indicate that the algorithm is able to achieve highly …

Persistent link: https://www.econbiz.de/10010574804

A numerical approach for a class of risk-sharing problems

Carlier, Guillaume; Lachapelle, Aimé - Université Paris-Dauphine (Paris IX) - 2011

This paper deals with risk-sharing problems between many agents, each of whom having a strictly concave law invariant utility. In the special case where every agent's utility is given by a concave integral functional of the quantile of her individual endowment, we fully characterize the optimal...

Persistent link: https://www.econbiz.de/10010707336

Describing n-day returns with Student’s t-distributions

Cassidy, Daniel T. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 15, pp. 2794-2802

-distribution is truncated or if the value of the asset is capped. The distributions for n-fold convolution of a Student’s t …’s t-distribution under n-fold self-convolution becomes normal-like whereas a Student’s t-distribution retains the fat … tails of the original distribution under n-fold self-convolution. These results can be used to explain the development of …

Persistent link: https://www.econbiz.de/10011063196

Understanding how both the partitions of a bipartite network affect its one-mode projection

Mukherjee, Animesh; Choudhury, Monojit; Ganguly, Niloy - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 20, pp. 3602-3607

iterative convolution. The results are cross-validated through appropriate simulations. …

Persistent link: https://www.econbiz.de/10010872742