Search Results - subject:"stochastic representation"

Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions

Bodnar, Taras; Mazur, Stepan; Parolya, Nestor - 2017

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for...

Persistent link: https://www.econbiz.de/10012654423

Discriminant analysis in small and large dimensions

Bodnar, Taras; Mazur, Stepan; Ngailo, Edward; Parolya, … - 2017

normality by comparing two groups with the same covariance matrix but di erent mean vectors. A stochastic representation of the …

Persistent link: https://www.econbiz.de/10012654424

On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions

Bodnar, Taras; Mazur, Stepan; Muhinyuza, Stanislas; … - 2017

useful stochastic representation is derived for this product, in using which the characteristic function of the product and … its asymptotic distribution under the double asymptotic regime are established. The application of obtained stochastic … representation speeds up the simulation studies where the product of a singular Wishart random matrix and a singular normal random …

Persistent link: https://www.econbiz.de/10012654425

Dual regression

Spady, Richard Henry; Stouli, Sami - 2016

Persistent link: https://www.econbiz.de/10011448812

Bayesian inference for the tangent portfolio

Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-27

Persistent link: https://www.econbiz.de/10011970903

A New Approach to the Irreversible Investment Problem

Su, Xia - 2006

This paper solves the irreversible investment decision problem under uncertainty by a new real options method. It yields a Shadow Net Present Value rule such that the investment is triggered only when the shadow revenue of the investment reaches the investment cost. This paper hence corrects and...

Persistent link: https://www.econbiz.de/10010263177

On the exact and approximate distributions of the product of a Wishart matrix with a normal vector

Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: Journal of Multivariate Analysis 122 (2013) C, pp. 70-81

derive a stochastic representation for the elements of the product. Using this result, the exact joint density for an … arbitrary linear combination of the elements of the product is obtained. Furthermore, the derived stochastic representation …

Persistent link: https://www.econbiz.de/10010702799

Multivariate probit analysis of binary familial data using stochastic representations

Deng, Yihao; Sabo, Roy T.; Chaganty, N. Rao - In: Computational Statistics & Data Analysis 56 (2012) 3, pp. 656-663

The probit function is an alternative transformation to the logistic function in the analysis of binary data. However, use of the probit function is prohibitively complicated for cases of multivariate or repeated-measure binary responses, as integrations involving the multivariate normal...

Persistent link: https://www.econbiz.de/10010574485

Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation

Ekstrom, Erik; Lotstedt, Per; Tysk, Johan - In: Applied Mathematical Finance 16 (2009) 3, pp. 253-259

We study the classical single factor term structure equation for models that predict non-negative interest rates. For these models we develop a fast and accurate finite difference method (FD) using the appropriate boundary conditions at zero.

Persistent link: https://www.econbiz.de/10004966847

On fundamental skew distributions

Arellano-Valle, Reinaldo B.; Genton, Marc G. - In: Journal of Multivariate Analysis 96 (2005) 1, pp. 93-116

A new class of multivariate skew-normal distributions, fundamental skew-normal distributions and their canonical version, is developed. It contains the product of independent univariate skew-normal distributions as a special case. Stochastic representations and other main properties of the...

Persistent link: https://www.econbiz.de/10005160627