Search Results - subject:"gaussian processes"

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

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

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