Search Results - subject:"random variables"

A characterization for truncated cauchy random variables with nonzero skewness parameter

Shirvani, A.; Soltani, A. - In: Computational Statistics 28 (2013) 3, pp. 1011-1016

characterization and a simulation method for truncated stable random variables when the characteristic exponent <InlineEquation ID …

Persistent link: https://www.econbiz.de/10010998513

Part 1. National road safety performance: Data, the emergence of two single-outcome modeling streams and public health

Gaudry, Marc; de Lapparent, Matthieu - In: Research in Transportation Economics 37 (2013) 1, pp. 6-19

This first part of the state-of-the art focuses on the origins of road safety modeling, covering data, early models and the public health context of model formulation and use.

Persistent link: https://www.econbiz.de/10010587986

Strong solutions of Tsirel’son’s equation in discrete time taking values in compact spaces with semigroup action

Hirayama, Takao; Yano, Kouji - In: Statistics & Probability Letters 83 (2013) 3, pp. 824-828

Under the assumption that the infinite product of the evolution process converges almost surely, the set of strong solutions is characterized by a compact space T, which may be regarded as the set of possible initial states. More precisely, any strong solution may be represented as the result of...

Persistent link: https://www.econbiz.de/10010616879

Simple measure of similarity for the market graph construction

Bautin, Grigory; Kalyagin, Valery; Koldanov, Alexander; … - In: Computational Management Science 10 (2013) 2, pp. 105-124

calculate and can be used as measure of similarity between any number of random variables. For the case of pairwise similarity … of similarity for more than two random variables is introduced and applied to the additional deeper analysis of Russian …

Persistent link: https://www.econbiz.de/10010680652

Exact Rosenthal-type inequalities for p=3, and related results

Pinelis, Iosif - In: Statistics & Probability Letters 83 (2013) 12, pp. 2634-2637

An exact Rosenthal-type inequality for the third absolute moments is given, as well as a number of related results. Such results are useful in applications to Berry–Esseen bounds.

Persistent link: https://www.econbiz.de/10010709056

Reversed variance residual life function and its properties in discrete lifetime models

Khorashadizadeh, M.; Rezaei Roknabadi, A.H.; Mohtashami … - In: International Journal of Quality & Reliability Management 30 (2013) 6, pp. 639-646

Purpose – In reliability studies, interests in discrete failure data came relatively late in comparison to its continuous analogue. Also, discrete failure data arise in several common situations. So, in this paper the authors try to study some reliability concepts such as reversed variance and...

Persistent link: https://www.econbiz.de/10014800761

A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation

Bruti-Liberati, Nicola; Martini, Filippo; Piccardi, Massimo - Finance Discipline Group, Business School - 2005

Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often required, one needs highly efficient implementations of the multi-point...

Persistent link: https://www.econbiz.de/10004984541

Sign Tests for Dependent Observations and Bounds for Path-Dependent Options

Brown, Donald J.; Ibragimov, Rustam - Cowles Foundation for Research in Economics, Yale University - 2005

. Our analysis is based on the results that demonstrate that randomization over zero values of three-valued random variables … in a conditionally symmetric martingale-difference sequence produces a stream of i.i.d. symmetric Bernoulli random … variables and thus reduces the problem of estimating the critical values of the tests to computing the quantiles or moments of …

Persistent link: https://www.econbiz.de/10005593290

Subordinated Levy Processes and Applications to Crude Oil Options

Krichene, Noureddine - International Monetary Fund (IMF) - 2005

One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects...

Persistent link: https://www.econbiz.de/10005605320

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

Negro, Marco Del; Brooks, Robin - International Monetary Fund (IMF) - 2005

We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...

Persistent link: https://www.econbiz.de/10005263928