Search Results - subject:"random variables"

Mixed systems with minimal and maximal lifetime variances

Beśka, Marek; Jasiński, Krzysztof; Rychlik, Tomasz; … - In: Metrika 75 (2012) 7, pp. 877-894

We consider the mixed systems composed of a fixed number of components whose lifetimes are i.i.d. with a known distribution which has a positive and finite variance. We show that a certain of the k-out-of-n systems has the minimal lifetime variance, and the maximal one is attained by a mixture...

Persistent link: https://www.econbiz.de/10010995133

Fuzzy risk adjusted performance measures: Application to hedge funds

Sadefo Kamdem, J.; Mbairadjim Moussa, A.; Terraza, M. - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 702-712

theory. The returns are first represented as fuzzy random variables and then used in defining fuzzy versions of some adjusted …

Persistent link: https://www.econbiz.de/10010594518

1.010 Uncertainty in Engineering, Fall 2004

Veneziano, Daniele - 2004

applications. The first segment discusses events and their probability, Bayes' Theorem, discrete and continuous random variables …

Persistent link: https://www.econbiz.de/10009432180

Estimation of Economic Growth in France Using Business Survey Data

Kabundi, Alain N. - International Monetary Fund (IMF) - 2004

This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extract common components from a large number of survey observations. The results...

Persistent link: https://www.econbiz.de/10005605434

On generating correlated random variables with a given valid or invalid Correlation matrix

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2004

In simulation we often have to generate correlated random variables by giving a reference intercorrelation matrix, R or …

Persistent link: https://www.econbiz.de/10005787098

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Jobert, Arnaud; Kong, Janet; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2004

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

Persistent link: https://www.econbiz.de/10005826670

Approximating the probability distribution of functions of random variables: A new approach

Ghysels, Eric; Forsberg, Anders Eriksson Lars - Econometric Society - 2004

We introduce a new approximation method for the distribution of functions of random variables that are real-valued. The … variables relative each other. This is obtain done by simulate a number functions of random variables and then investigate the … we we examine the how well the different approximation methods can capture the tail behavior of a function of random …

Persistent link: https://www.econbiz.de/10005702763

A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic

Benes, Jaromir; Papa M'B. P. N'Diaye - International Monetary Fund (IMF) - 2004

This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic, a growing economy undergoing major structural change, it shows how the use of more...

Persistent link: https://www.econbiz.de/10005264226

Stochastic modelling of random variables with an application in financial risk management

Moldovan, Max - 2003

The problem of determining whether or not a theoretical model is an accurate representation of an empirically observed phenomenon is one of the most challenging in the empirical scientific investigation. The following study explores the problem of stochastic model validation. Special attention...

Persistent link: https://www.econbiz.de/10009438314

An Intraday Pricing Model of Foreign Exchange Markets

Romeu, Rafael - International Monetary Fund (IMF) - 2003

Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have...

Persistent link: https://www.econbiz.de/10005769015