Search Results - subject:"generating function"

The truncated geometric election algorithm: Duration of the election

Louchard, Guy; Ward, Mark Daniel - In: Statistics & Probability Letters 101 (2015) C, pp. 40-48

The present paper makes three distinct improvements over an earlier investigation of Kalpathy and Ward. We analyze the length of the entire election process (not just one participant’s duration), for a randomized election algorithm, with a truncated geometric number of survivors in each round....

Persistent link: https://www.econbiz.de/10011263165

Descents following maximal values in samples of geometric random variables

Archibald, Margaret; Blecher, Aubrey; Brennan, Charlotte; … - In: Statistics & Probability Letters 97 (2015) C, pp. 229-240

We consider samples of geometric random variables and find the average size of the descent after the first and last maximal values. These are asymptotically but not exactly equal, with the descent after the last maximum being slightly larger than that after the first. Thereafter we calculate the...

Persistent link: https://www.econbiz.de/10011189344

Characterization of the split closure via geometric lifting

Basu, Amitabh; Molinaro, Marco - In: European Journal of Operational Research 243 (2015) 3, pp. 745-751

We analyze split cuts from the perspective of cut generating functions via geometric lifting. We show that α-cuts, a natural higher-dimensional generalization of the k-cuts of Cornuéjols et al., give all the split cuts for the mixed-integer corner relaxation. As an immediate consequence we...

Persistent link: https://www.econbiz.de/10011209330

Hypothesis testing for stochastic PDEs driven by additive noise

Cialenco, Igor; Xu, Liaosha - In: Stochastic Processes and their Applications 125 (2015) 3, pp. 819-866

interest: we find the cumulant generating function of the log-likelihood ratio; obtain sharp large deviation type results for T …

Persistent link: https://www.econbiz.de/10011194149

Crude Oil Prices; Trends and Forecast

Krichene, Noureddine - International Monetary Fund (IMF) - 2008

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...

Persistent link: https://www.econbiz.de/10005825666

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

Persistent link: https://www.econbiz.de/10005768778

Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting

Jobst, Andreas - International Monetary Fund (IMF) - 2007

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...

Persistent link: https://www.econbiz.de/10005826656

Applying the Moment Generating Functions to the Study of Probability Distributions

SPATARU, Silvia - In: Informatica Economica XI (2007) 2, pp. 132-137

derivates. We show how the moment generating function determinates the moments and how the moments can be used to recover the … moment generating function. Using of moment generating functions to find distributions of functions of random variables is …In this paper, we describe a tool to aid in proving theorems about random variables, called the moment generating …

Persistent link: https://www.econbiz.de/10009416591

Joint Distributions of Numbers of Runs of Specified Lengths in a Sequence of Markov Dependent Multistate Trials

Inoue, Kiyoshi; Aki, Sigeo - In: Annals of the Institute of Statistical Mathematics 59 (2007) 3, pp. 577-595

Persistent link: https://www.econbiz.de/10005395760

Reliability assessment of N-version software fault tolerant system with common mode failures

Jain, Madhu; Gupta, Ritu - In: Opsearch : journal of the Operational Research Society … 51 (2014) 4, pp. 533-544

Persistent link: https://www.econbiz.de/10010508654