Search Results - subject:"gaussian processes"

Approximation of Some Gaussian Processes

Carmona, Philippe; Coutin, Laure; Montseny, G. - In: Statistical Inference for Stochastic Processes 3 (2000) 1, pp. 161-171

Persistent link: https://www.econbiz.de/10005391503

Asymptotically Optimal Tests and Optimal Designs for Testing the Mean in Regression Models with Applications to Change-Point Problems

Bischoff, Wolfgang; Miller, Frank - In: Annals of the Institute of Statistical Mathematics 52 (2000) 4, pp. 658-679

Persistent link: https://www.econbiz.de/10005616101

Identification of the Hurst Index of a Step Fractional Brownian Motion

Benassi, Albert; Bertrand, Pierre; Cohen, Serge; Istas, … - In: Statistical Inference for Stochastic Processes 3 (2000) 1, pp. 101-111

Persistent link: https://www.econbiz.de/10005184588

Models of Investment under Uncertainty when Shocks are Non-Gaussian. On the Impact of the Policy Uncertainty on Investment

Svetlana, Boyarchenko; Sergey, Levendorsky - EERC Research Network, Russia and CIS - 1998

construct models for the investment behavior of a firm that make it possible to consider non-gaussian processes as well as … that anticipation of future economic environment and prices affects the current investment decisions of a firm. Gaussian … processes are typically used to model returns or prices. The authors believe that in undeveloped markets in transition, which …

Persistent link: https://www.econbiz.de/10005518995

Identifying the multifractional function of a Gaussian process

Benassi, Albert; Cohen, Serge; Istas, Jacques - In: Statistics & Probability Letters 39 (1998) 4, pp. 337-345

Gaussian processes that are multifractional are studied in this paper. By multifractional processes we mean that they …

Persistent link: https://www.econbiz.de/10005254131

Identification of filtered white noises

Benassi, Albert; Cohen, Serge; Istas, Jacques; Jaffard, … - In: Stochastic Processes and their Applications 75 (1998) 1, pp. 31-49

In this paper, a class of Gaussian processes, having locally the same fractal properties as fractional Brownian motion …

Persistent link: https://www.econbiz.de/10008874428

Double Robust Bayesian Inference on Average Treatment Effects

Breunig, Christoph; Liu, Ruixuan; Yu, Zhengfei - In: Econometrica 93, 2, pp. 539-568

We propose a double robust Bayesian inference procedure on the average treatment effect (ATE) under unconfoundedness. For our new Bayesian approach, we first adjust the prior distributions of the conditional mean functions, and then correct the posterior distribution of the resulting ATE. Both...

Persistent link: https://www.econbiz.de/10015411074

Positive dependence orderings and stopping times

Bassan, Bruno; Scarsini, Marco - In: Annals of the Institute of Statistical Mathematics 46 (1994) 2, pp. 333-342

Persistent link: https://www.econbiz.de/10005391518

Extremes and crossings for differentiable stationary processes with application to Gaussian processes in m and Hilbert space

Albin, J. M. P. - In: Stochastic Processes and their Applications 42 (1992) 1, pp. 119-147

Gaussian processes and to study suprema of processes in with application to (the norm of) Gaussian processes in Hilbert space. …

Persistent link: https://www.econbiz.de/10008874394