Search Results - subject:"eigenfunctions"

Did you mean: subject:"eigenfunction" (36 results)

Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem

Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011

Persistent link: https://www.econbiz.de/10012518139

Estimating Stochastic Differential Equations Using Repeated Eigenfunction Estimation and Neural Networks

Tuncer, Ruhi - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012

We propose identifying the drift and the diffusion functions of an ergodic scalar stochastic differential equation using repeated eigenfunction estimation. The transition density will be estimated in a new way involving Kolmogorov’s backward equation, neural networks and functions of our...

Persistent link: https://www.econbiz.de/10010840310

Calculating principal eigen-functions of non-negative integral kernels : particle approximations and applications

Whiteley, Nick; Kantas, Nikolas - In: Mathematics of operations research 42 (2017) 4, pp. 1007-1034

Persistent link: https://www.econbiz.de/10011773301

Kovariat Dari Fungsional Prinsipal Komponen Analisis Untuk Data Longitudinal

Agusman - 2011

Classical multivariate principal component analysis has been extended to functional data and termed functional principal componentanalysis (FPCA). Most existing FPCA approaches do not accommodate covariate information, and it is the goal of this paper to develop two methods that do. In the ?rst...

Persistent link: https://www.econbiz.de/10009464603

Parametric inference for discretely sampled stochastic differential equations

Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008

A review is given of parametric estimation methods for discretely sampled multivariate diffusion processes. The main focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale...

Persistent link: https://www.econbiz.de/10005440043

On nodal domains and higher-order Cheeger inequalities of finite reversible Markov processes

Daneshgar, Amir; Javadi, Ramin; Miclo, Laurent - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1748-1776

shapes of their eigenfunctions, as well as an interpretation of the spectrum through a double-covering construction. Also, we …

Persistent link: https://www.econbiz.de/10010875055

Spectral Clustering and Kernel PCA are Learning Eigenfunctions

Bengio, Yoshua; Vincent, Pascal; Paiement, Jean-François - Centre Interuniversitaire de Recherche en Analyse des … - 2003

of a more general learning problem, that of learning the principal eigenfunctions of a kernel, when the functions are …

Persistent link: https://www.econbiz.de/10005417565

Eigenfactor and article influence scores in the Journal Citation Reports

Jacsó, Péter - In: Online Information Review 34 (2010) 2, pp. 339-348

Purpose – This sequel to the earlier testing and evaluation of the five‐year Journal Impact Factor (JIF‐5) in the enhanced version of the Journal Citation Reports ( JCR ) (released in January and July 2009 for the 2007 and 2008 journal collections, respectively) seeks to assess and compare...

Persistent link: https://www.econbiz.de/10014966001

An Eigenfunction Approach for Volatility Modeling.

MEDDAHI, Nour - Département de Sciences Économiques, Université de … - 2001

eigenfunctions of the conditional expectation (resp. infinitesimal generator) operator associated to the state variable in discrete … (resp. continuous) time. Special examples are the popular log-normal and square-root models where the eigenfunctions are the … any square integrable function may be written as a linear combination of the eigenfunctions; ii) the orthogonality of the …

Persistent link: https://www.econbiz.de/10005545733

An Eigenfunction Approach for Volatility Modeling

Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001

eigenfunctions of the conditional expectation (resp infinitesimal generator) operator associated to the state variable in discrete … (resp continuous) time. Special examples are the popular log-normal and square-root models where the eigenfunctions are the … since any square integrable function may be written as a linear combination of the eigenfunctions; ii) the orthogonality of …

Persistent link: https://www.econbiz.de/10005100570