Search Results - subject:"density Function"

Large eddy simulation-based analysis of entropy generation in a turbulent nonpremixed flame

Safari, Mehdi; Sheikhi, M. Reza H. - In: Energy 78 (2014) C, pp. 451-457

(subgrid scale) closure of these effects is provided by a methodology termed the En-FDF (entropy filtered density function …

Persistent link: https://www.econbiz.de/10011117594

Asymptotic approximation for the probability density function of an arbitrary sequence of random variables

Joutard, Cyrille - In: Statistics & Probability Letters 90 (2014) C, pp. 100-107

We establish a large deviation approximation for the density function of an arbitrary sequence of random variables. The …

Persistent link: https://www.econbiz.de/10010776523

Symbolic ARMA Model Analysis

Webb, Keith; Leemis, Lawrence - In: Computational Economics 43 (2014) 3, pp. 313-330

measures of these models (e.g., the autocorrelation function or the spectral density function) are tedious to compute by hand …

Persistent link: https://www.econbiz.de/10010866882

The ordering importance measure of random variable and its estimation

Cui, Lijie; Lu, Zhenzhou; Wang, Pan; Wang, Weihu - In: Mathematics and Computers in Simulation (MATCOM) 105 (2014) C, pp. 132-143

sampling strategy of the conditional probability density function is provided by the Copula transformation, which could solve … efficiency and tremendous computational cost of the Monte Carlo method, the probability density function evolution method (PDEM … precision of the probability density function evolution method, even. …

Persistent link: https://www.econbiz.de/10010906727

Advancing the universality of quadrature methods to any underlying process for option pricing

Chen, Ding; Härkönen, Hannu J.; Newton, David P. - In: Journal of Financial Economics 114 (2014) 3, pp. 600-612

Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007). However, the exposition is...

Persistent link: https://www.econbiz.de/10011076291

Daily data is bad for beta : opacity and frequency-dependent betas

Gilbert, Thomas; Hrdlicka, Christopher; Kalodimos, Jonathan - In: Review of asset pricing studies 4 (2014) 1, pp. 78-117

Persistent link: https://www.econbiz.de/10010399878

Statistical characteristics of Jakarta Composite Index (JCI) dynamics based on short term data represented in candles

Adam, Pasrun; Gubu, La; Cahyono, Edi - In: International journal of economics, finance and … 2 (2014) 2, pp. 138-142

Persistent link: https://www.econbiz.de/10010382097

Generalized moment-independent importance measures based on Minkowski distance

Zhai, Qingqing; Yang, Jun; Xie, Min; Zhao, Yu - In: European journal of operational research : EJOR 239 (2014) 2, pp. 449-455

Persistent link: https://www.econbiz.de/10010407842

Advancing the universality of quadrature methods to any underlying process for option pricing

Chen, Ding; Härkönen, Hannu J.; Newton, David P. - In: Journal of financial economics 114 (2014) 3, pp. 600-612

Persistent link: https://www.econbiz.de/10010532686

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

Persistent link: https://www.econbiz.de/10005768778