Search Results - subject:"random variables"

First; A Market-Based Approach to Evaluate Financial System Risk and Stability

Avesani, Renzo G. - International Monetary Fund (IMF) - 2005

This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR) since September 2004. The fundamental idea was to build a set of Financial...

Persistent link: https://www.econbiz.de/10005264101

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

Brown, Donald; Ibragimov, Rustam - School of Management, 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/10008854014

Scaling analysis of multiple-try MCMC methods

Bédard, Mylène; Douc, Randal; Moulines, Eric - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 758-786

Multiple-try methods are extensions of the Metropolis algorithm in which the next state of the Markov chain is selected among a pool of proposals. These techniques have witnessed a recent surge of interest because they lend themselves easily to parallel implementations. We consider extended...

Persistent link: https://www.econbiz.de/10010875056

Time discretization and quantization methods for optimal multiple switching problem

Gassiat, Paul; Kharroubi, Idris; Pham, Huyên - In: Stochastic Processes and their Applications 122 (2012) 5, pp. 2019-2052

In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-dependent state process. We first consider a discrete-time approximation of the optimal switching problem, and analyse...

Persistent link: https://www.econbiz.de/10011065086

A note on the bilateral inequality for a sequence of random variables

Liu, Jicheng - In: Statistics & Probability Letters 82 (2012) 5, pp. 871-875

Two bilateral inequalities based on the Borel–Cantelli lemma and a non-negative sequence of bounded random variables … the lower bound results on the assumptions that the random variables are neither non-negative nor bounded, which could be …

Persistent link: https://www.econbiz.de/10011039942

Precise asymptotics in the law of iterated logarithm for the first moment convergence of i.i.d. random variables

Xiao, Xiaoyong; Yin, Hongwei - In: Statistics & Probability Letters 82 (2012) 8, pp. 1590-1596

Let {X,Xn,n≥1} be a sequence of i.i.d. random variables and set Sn=∑i=1nXi. N is the standard normal random variable …

Persistent link: https://www.econbiz.de/10011040046

Asymptotics for dependent Bernoulli random variables

Wu, Lan; Qi, Yongcheng; Yang, Jingping - In: Statistics & Probability Letters 82 (2012) 3, pp. 455-463

This paper considers a sequence of Bernoulli random variables which are dependent in a way that the success probability …

Persistent link: https://www.econbiz.de/10011040048

Li, Deli; Spătaru, Aurel - In: Statistics & Probability Letters 82 (2012) 8, pp. 1538-1548

Let {X,Xn,n≥1} be a sequence of i.i.d. random variables, and set Sn=X1+⋯+Xn. For 1<p≤3/2, if EX=0, EX2=1 and E[|X|2p …

Persistent link: https://www.econbiz.de/10011040144

The validity of instruments revisited

Berkowitz, Daniel; Caner, Mehmet; Fang, Ying - In: Journal of Econometrics 166 (2012) 2, pp. 255-266

This paper shows how valid inferences can be made when an instrumental variable does not perfectly satisfy the orthogonality condition. When there is a mild violation of the orthogonality condition, the Anderson and Rubin (1949) test is oversized. In order to correct this problem, the...

Persistent link: https://www.econbiz.de/10010577525

Multivariate inverse Gaussian and skew-normal densities

Joe, Harry; Seshadri, Vanamamalai; Arnold, Barry C. - In: Statistics & Probability Letters 82 (2012) 12, pp. 2244-2251

Based on inverse Gaussian random variables being transformations of skew-normal random variables, multivariate inverse …

Persistent link: https://www.econbiz.de/10010580424