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  • Search: subject:"large deviation"
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Year of publication
Subject
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Large deviation 25 Large deviation principle 11 large deviation 8 Moderate deviation 6 Portfolio selection 3 Portfolio-Management 3 Probability theory 3 Risiko 3 Risk 3 Stochastic process 3 Stochastischer Prozess 3 Wahrscheinlichkeitsrechnung 3 Asymptotic mixed normality 2 Central limit theorem 2 Discrete time observation 2 Estimation theory 2 Game theory 2 Gaussian process 2 Large deviation inequality 2 Large deviation statistics 2 Large deviation theory 2 Least squares estimator 2 Multi-risk model 2 Option pricing theory 2 Optionspreistheorie 2 PD-LGD correlation 2 Polynomial type large deviation inequality 2 Quasi-likelihood analysis 2 Realized volatility 2 Relative entropy 2 Schätztheorie 2 Spieltheorie 2 Statistical distribution 2 Statistische Verteilung 2 Theorie 2 Theory 2 acceptance-rejection sampling 2 credit risk 2 importance sampling 2 income dynamics 2
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Online availability
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Undetermined 58 Free 11 CC license 1
Type of publication
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Article 61 Book / Working Paper 12
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article 1
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Language
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Undetermined 54 English 19
Author
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Aebi, Robert 3 Neusser, Klaus 3 Otsu, Taisuke 3 Steiner, Peter 3 Yoshida, Nakahiro 3 Choi, Yong-Kab 2 Forde, Martin 2 Kanaya, Shin 2 Lu, Dawei 2 Metzler, Adam 2 Scott, Alexandre 2 Shibata, Hiroshi 2 Uchida, Masayuki 2 Ai, Xiaohui 1 Albeverio, Sergio 1 Angel, Sergio 1 Arguin, Louis-Pierre 1 Ariu, Kaito 1 Bogomolova, Anna 1 Bosq, Denis 1 Brummelhuis, Raymond 1 Caglar, Mine 1 Cai, Yujie 1 Chakrabarty, Arijit 1 Chen, Jinwen 1 Chen, Shouquan 1 Chen, Song Xi 1 Chen, Xiaohong 1 Cho, In-Koo 1 Cho, Youngha 1 Deng, Xiaoxue 1 Diallo, Amadou Oury Korbe 1 Djellout, Hacène 1 FORDE, MARTIN 1 Fatheddin, Parisa 1 Feng, Bo 1 Fu, J. 1 Fu, James 1 Fu, James C. 1 Fujisaka, Hirokazu 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 2 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 2 Department Volkswirtschaftlehre, Universität Bern 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 HAL 1 Society for Economic Dynamics - SED 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Statistics & Probability Letters 16 Stochastic Processes and their Applications 11 Annals of the Institute of Statistical Mathematics 8 Statistical Inference for Stochastic Processes 4 Physica A: Statistical Mechanics and its Applications 3 Cowles Foundation Discussion Papers 2 Finance and Stochastics 2 Mathematics of operations research 2 RePAd Working Paper Series 2 2006 Meeting Papers 1 Cowles Foundation discussion paper 1 Diskussionsschriften 1 Economics Letters 1 Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 International journal of theoretical and applied finance 1 Journal of mathematical economics 1 MPRA Paper 1 Metrika 1 Operations research 1 Post-Print / HAL 1 Quantitative Finance 1 Reihe Ökonomie / Economics Series 1 Review of Economic Dynamics 1 Risks 1 Risks : open access journal 1 Statistics & Decisions 1 The Journal of Real Estate Finance and Economics 1 Working paper series / Charles University, Center for Economic Research and Graduate Education ; Academy of Sciences of the Czech Republic, Economics Institute, CERGE-EI 1
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Source
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RePEc 60 ECONIS (ZBW) 10 EconStor 2 Other ZBW resources 1
Showing 61 - 70 of 73
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Path properties of (N;d)-Gaussian random fields
Choi, Yong-Kab - Départment des sciences administratives, Université … - 2004
we obtain the law of iterated logarithm for the Gaussian random field, via estimating upper and lower bounds of large … deviation probabilities on suprema of the (N,d)- Gaussian random fields. …
Persistent link: https://www.econbiz.de/10005773144
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On the Csorgo-Révész increments of finite dimensional Gaussian random fields
Choi, Yong-Kab; Sung, Hwa-Sang; Hwang, Kyo-Shin; Moon, … - Départment des sciences administratives, Université … - 2004
finite dimensional Gaussian random fields under mild conditions, via estimating upper bounds of large deviation probabilities …
Persistent link: https://www.econbiz.de/10005773154
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Momentum flux in Rayleigh–Benard convection
Shibata, Hiroshi - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 71-86
The statistical quantities concerning the momentum flux in the Rayleigh–Benard convection are investigated in detail. The transition from soft turbulence to hard turbulence is captured through the momentum flux. The time series of the momentum flux is studied and its power spectrum shows the...
Persistent link: https://www.econbiz.de/10010591215
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Green–Kubo formula derived from large deviation statistics
Shibata, Hiroshi - In: Physica A: Statistical Mechanics and its Applications 309 (2002) 3, pp. 268-274
–Kubo formula, which holds for the time series that satisfies the large deviation statistics. Extended version for the relation is … shown in this paper and a simple example is given. The relationship between the Green–Kubo formula and the large deviation …
Persistent link: https://www.econbiz.de/10010873699
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A large deviations approach to optimal long term investment
Pham, Huyên - In: Finance and Stochastics 7 (2003) 2, pp. 169-195
portfolio management problem for a long term horizon. This asymptotic criterion leads to a large deviation probability control …
Persistent link: https://www.econbiz.de/10005613378
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Estimation of Mean and Covariance Operator of Autoregressive Processes in Banach Spaces
Bosq, Denis - In: Statistical Inference for Stochastic Processes 5 (2002) 3, pp. 287-306
Persistent link: https://www.econbiz.de/10005616071
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Coarse-graining and self-similarity of price fluctuations
Fujiwara, Yoshi; Fujisaka, Hirokazu - In: Physica A: Statistical Mechanics and its Applications 294 (2001) 3, pp. 439-446
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramér function, the...
Persistent link: https://www.econbiz.de/10010591647
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Evaluating Theories of Income Dynamics: A Probabilistic Approach
Aebi, Robert; Neusser, Klaus; Steiner, Peter - Department Volkswirtschaftlehre, Universität Bern - 1999
The paper proposes an approach to evaluate hypotheses about transition dynamics when only the distributions at two points in time are observed. Using principles of statistical mechanics, we show how to adjust in the "most probable" way a hypothesis such that it becomes compatible with the...
Persistent link: https://www.econbiz.de/10005730942
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Large and Moderate Deviations for Estimators of Quadratic Variational Processes of Diffusions
Djellout, Hacène; Guillin, Arnaud; Wu, Liming - In: Statistical Inference for Stochastic Processes 2 (1999) 3, pp. 195-225
Persistent link: https://www.econbiz.de/10005184590
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A Kolmogorov inequality for the sum of independent Bernoulli random variables with unequal means
Turner, Danny W.; Young, Dean M.; Seaman, John W. - In: Statistics & Probability Letters 23 (1995) 3, pp. 243-245
This note presents a Kolmogorov inequality for the partial sums of a sequence of independent Bernoulli random variables with unequal means.
Persistent link: https://www.econbiz.de/10005313832
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