Search Results - subject:"distribution functions"

Power to detect normal mixtures: Simulation results

Thode, H.C. Jr. - 2008

Twenty tests for normality were compared for the purpose of detecting mixtures of two normal components with unequal means but equal variance. The purpose of this study was to determine the power of tests specifically designed to detect mixtures, i.e., the likelihood ratio and Engelman-Hartigan...

Persistent link: https://www.econbiz.de/10009436941

Modeling dependencies in finance using copulae

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...

Persistent link: https://www.econbiz.de/10010274147

Modeling Dependencies in Finance using Copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

study and an application to flnancial data. Keywords: Distribution functions; Dimension Reduction; Risk man- agement …∈[0,1], (1.2) where F−1i , i = 1,2 are generalized inverses of the marginal distribution functions. Since the copula function is … elliptical dis- tribution. The problem is, however, that such copulae depend on the in- verse distribution functions and these …

Persistent link: https://www.econbiz.de/10005677999

Order formation processes of complex systems including different parity order parameters

Hashizume, Yoichiro; Suzuki, Masuo; Okamura, Soichiro - In: Physica A: Statistical Mechanics and its Applications 403 (2014) C, pp. 217-226

In the present study, we focus on the parity of the order parameters and clarify the order formation process in a system including two order parameters. Each order parameter shows different parity under a gauge transformation, namely even and odd order parameters. For example, in a spin-glass...

Persistent link: https://www.econbiz.de/10010873248

On multivariate extensions of Conditional-Tail-Expectation

Cousin, Areski; Di Bernardino, Elena - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 272-282

lower-orthant CTE (resp. the upper-orthant CTE) is constructed from level sets of multivariate distribution functions (resp …. of multivariate survival distribution functions). Contrary to allocation measures or systemic risk measures, these …

Persistent link: https://www.econbiz.de/10010753205

On multivariate extensions of Conditional-Tail-Expectation

Cousin, Areski; Di Bernardino, Elena - In: Insurance / Mathematics & economics 55 (2014), pp. 272-282

Persistent link: https://www.econbiz.de/10010366166

Stochastic analysis of life insurance surplus

Nolde, Natalia; Parker, Gary - In: Insurance / Mathematics & economics 56 (2014), pp. 1-13

Persistent link: https://www.econbiz.de/10010385047

Risk measures on P(R) and value at risk with probability/loss function

Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463

Persistent link: https://www.econbiz.de/10010484275

On multivariate extensions of Value-at-Risk

Cousin, Areski; Di Bernardino, Elena - In: Journal of Multivariate Analysis 119 (2013) C, pp. 32-46

portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the upper …

Persistent link: https://www.econbiz.de/10010678846

Vibrational temperature of the adlayer in the ‘hot-atom’ reaction mechanism

Tomellini, Massimo - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 4, pp. 875-888

The hot-atom reaction mechanism brings about reaction rates several orders of magnitude higher than those expected in the case of adatoms which have thermalized with the surface. This paper addresses the issue of a possible thermodynamic characterization of the adlayer under reactive conditions...

Persistent link: https://www.econbiz.de/10010603439