Search Results - subject:"generating function"

On an admissibility problem involving the moment generating function of the lognormal distribution

Mohammadi, Leila - In: Metrika 57 (2003) 1, pp. 63-70

estimator is a function of the moment generating function of the lognormal distribution. The admissibility is studied of a class …

Persistent link: https://www.econbiz.de/10010995001

A large deviations approach to optimal long term investment

Pham, Huyên - In: Finance and Stochastics 7 (2003) 2, pp. 169-195

problem. Its dual problem is an ergodic risk sensitive control problem on the optimal logarithmic moment generating function …

Persistent link: https://www.econbiz.de/10005613378

Distributions of Numbers of Success Runs of Fixed Length in Markov Dependent Trials

Antzoulakos, Demetrios; Chadjiconstantinidis, Stathis - In: Annals of the Institute of Statistical Mathematics 53 (2001) 3, pp. 599-619

Persistent link: https://www.econbiz.de/10005616211

On the estimation of spread rate for a biological population

Clark, Jim; Horváth, Lajos; Lewis, Mark - In: Statistics & Probability Letters 51 (2001) 3, pp. 225-234

distribution of the estimator is normal or stable, depending on the behavior of the moment generating function. We show that …

Persistent link: https://www.econbiz.de/10005313829

Equity portfolios generated by functions of ranked market weights

Fernholz, Robert - In: Finance and Stochastics 5 (2001) 4, pp. 469-486

equation that decomposes the relative return into two components: the logarithmic change in the value of the generating … function, and a drift process that is of bounded variation. The method can be used to construct broad classes of stock …

Persistent link: https://www.econbiz.de/10005166849

Waiting Time Problems in a Two-State Markov Chain

Han, Qing; Aki, Sigeo - In: Annals of the Institute of Statistical Mathematics 52 (2000) 4, pp. 778-789

Persistent link: https://www.econbiz.de/10005616299

Sooner and Later Waiting Time Problems Based on a Dependent Sequence

Han, Qing; Aki, Sigeo - In: Annals of the Institute of Statistical Mathematics 52 (2000) 3, pp. 407-414

Persistent link: https://www.econbiz.de/10005616336

Numbers of Success-Runs of Specified Length Until Certain Stopping Time Rules and Generalized Binomial Distributions of Order k

Aki, Sigeo; Hirano, Katuomi - In: Annals of the Institute of Statistical Mathematics 52 (2000) 4, pp. 767-777

Persistent link: https://www.econbiz.de/10005616365

Generating functions for computing power indices efficiently

Bilbao, J.; Fernández, J.; Losada, A.; López, J. - In: TOP: An Official Journal of the Spanish Society of … 8 (2000) 2, pp. 191-213

Persistent link: https://www.econbiz.de/10005155655

Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains

Chourdakis, Kyriakos - School of Economics and Finance, Queen Mary - 2000

time counterpart of the Hamilton (1989) model. It derives the moment generating function of the asset log-price difference …

Persistent link: https://www.econbiz.de/10005106423

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