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Year of publication
Subject
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Normal distribution 20 Normalverteilung 20 Gaussian distribution 17 Theorie 14 Theory 14 Schock 8 Shock 8 Volatility 8 Volatilität 8 Ausreißer 7 Branchenentwicklung 7 Business cycle theory 7 Economic models 7 Input-Output-Analyse 7 Input-output analysis 7 Inter-industry linkages 7 Interindustrielle Verflechtung 7 Konjunkturtheorie 7 Microfoundations 7 Mikrofundierung 7 Outliers 7 Sector development 7 equation 7 gaussian distribution 7 probability 7 statistics 7 correlation 6 covariance 6 equations 6 time series 6 Statistical distribution 5 Statistische Verteilung 5 forecasting 5 probabilities 5 sampling 5 econometrics 4 logarithm 4 markov chain 4 probability distribution 4 random variables 4
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Online availability
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Free 27 Undetermined 13 CC license 2
Type of publication
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Book / Working Paper 29 Article 16
Type of publication (narrower categories)
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Working Paper 12 Arbeitspapier 11 Graue Literatur 11 Non-commercial literature 11 Article in journal 7 Aufsatz in Zeitschrift 7 Hochschulschrift 3 Thesis 3 Aufsatz im Buch 1 Book section 1 Collection of articles of several authors 1 Sammelwerk 1 research-article 1
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Language
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English 33 Undetermined 12
Author
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Acemoglu, Daron 7 Ozdaglar, Asuman E. 7 Tahbaz-Salehi, Alireza 7 Chernozhukov, Victor 3 Chetverikov, Denis 3 Kato, Kengo 3 Aase, Knut K. 2 Benkert, Jean-Michel 2 Chen, Huigang 2 Krichene, Noureddine 2 Ley, Christophe 2 Matyskova, Ludmila 2 Neven, Anouk 2 Starkov, Egor 2 Abiad, Abdul 1 Akinsete, A. A. 1 Aryal, Gokarna 1 Becker, Claudia 1 Chordia, Tarun 1 Clinton, Kevin 1 Cramer, Erhard 1 Cui, Hong-Xin 1 Czyżycki, Rafał 1 Dai, Wu-Sheng 1 Faugeras, Olivier 1 Feng, Ke 1 Gao, Jianbo 1 Han, Jin-Hua 1 Hashorva, Enkelejd 1 Heifner, Richard G. 1 Horowitz, Joel 1 Hosseinkouchack, Mehdi 1 Johannes, Ron 1 Johnson, Marianne 1 Kamenik, Ondra 1 Khanal, Netra 1 Koloch, Grzegorz 1 Kortschak, Dominik 1 Laitenberger, Jörg 1 Lau, Christian 1
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Institution
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International Monetary Fund (IMF) 7 Economic Research Service, Department of Agriculture 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 National Bureau of Economic Research 1 Universität zu Köln 1
Published in...
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IMF Working Papers 7 CEMMAP working papers / Centre for Microdata Methods and Practice 4 Journal of Multivariate Analysis 2 Physica A: Statistical Mechanics and its Applications 2 Collegium of Economic Analysis working paper series 1 Columbia Business School Research Paper 1 Cuadernos de economía 1 Discussion Papers 1 Discussion paper / Department of Business and Management Science 1 Diskussionsschriften / Universität Bern, Departement Volkswirtschaftlehre 1 ECARES working paper 1 Industrial Robot: An International Journal 1 International Journal of Financial Studies : open access journal 1 International economics : a journal published by CEPII (Center for research and expertise on the world economy) 1 Journal of Financial Transformation 1 Journal of financial and quantitative analysis : JFQA 1 MIT Department of Economics Working Paper 1 Massachusetts Institute of Technology Department of Economics working paper series : working paper 1 Modern processes of economic development : economics and law 1 NBER Working Paper 1 NBER working paper series 1 NHH Dept. of Business and Management Science Discussion Paper 1 Oxford bulletin of economics and statistics 1 Renewable and Sustainable Energy Reviews 1 Statistics & Probability Letters 1 Technical Bulletins / Economic Research Service, Department of Agriculture 1 The American economic review 1 Theoretical and applied economics : GAER review 1 Working Papers ECARES 1 Working paper / National Bureau of Economic Research, Inc. 1 Working papers / TSE : WP 1
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Source
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ECONIS (ZBW) 27 RePEc 16 EconStor 1 Other ZBW resources 1
Showing 1 - 45 of 45
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Strategic attribute learning
Benkert, Jean-Michel; Matyskova, Ludmila; Starkov, Egor - 2024
A researcher allocates a budget of informative tests across multiple unknown attributes to influence a decision-maker. We derive the researcher's equilibrium learning strategy by solving an auxiliary single-player problem. The attribute weights in this problem depend on how much the researcher...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325447
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Strategic attribute learning
Benkert, Jean-Michel; Matyskova, Ludmila; Starkov, Egor - 2024
A researcher allocates a budget of informative tests across multiple unknown attributes to influence a decision-maker. We derive the researcher's equilibrium learning strategy by solving an auxiliary single-player problem. The attribute weights in this problem depend on how much the researcher...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191554
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Log-free divergence and covariance matrix for compositional data I : the affine/barycentric approach
Faugeras, Olivier - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015097447
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Probability distributions for modeling stock market returns : an empirical inquiry
Pokharel, Jayanta K.; Aryal, Gokarna; Khanal, Netra; … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-27
Investing in stocks and shares is a common strategy to pursue potential gains while considering future financial needs, such as retirement and children's education. Effectively managing investment risk requires thoroughly analyzing stock market returns and making informed predictions....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636305
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Inference in a class of optimization problems : confidence regions and finite sample bounds on errors in coverage probabilities
Horowitz, Joel; Lee, Sokbae - 2021
This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012595666
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Risk-neutral skewness, informed trading, and the cross section of stock returns
Chordia, Tarun; Lin, Tse-Chun; Xiang, Vincent - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 5, pp. 1713-1737
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012618491
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Hidden Markov Model using transaction patterns for ATM card fraud detection
Nkemnole, E. B.; Akinsete, A. A. - In: Theoretical and applied economics : GAER review 28 (2021) 4/629, pp. 51-70
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013259025
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Smets and Wouters model estimated with skewed shocks - empirical study of forecasting properties
Koloch, Grzegorz - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011662143
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts “macroeconomic tail risks,” that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013030060
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts "macroeconomic tail risks," that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013030251
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution is a good approximation to the nature of aggregate fluctuations, it severely underpredicts the frequency of large economic downturns. We then provide a model that can explain these facts simultaneously. Our model shows that the propagation of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013035361
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Beyond the local mean-variance analysis in continuous time : the problem of non-normality
Aase, Knut K.; Lillestøl, Jostein - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010515222
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Non-normality in financial markets and the measurement of risk
Lau, Christian - 2015
ARMA-GARCH-Modellierung; nicht-Normalität; normal-inverse Gauss-Verteilung (NIG-Verteilung); realisierte Momente; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011440567
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Microeconomic origins of macroeconomic tail risks
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011347414
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Beyond the Local Mean-Variance Analysis in Continuous Time : The Problem of Non-Normality
Aase, Knut K. - 2015
The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013027493
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Microeconomic Origins of Macroeconomic Tail Risks
Acemoglu, Daron - 2015
We document that even though the normal distribution provides a good approximation to GDP fluctuations, it severely underpredicts "macroeconomic tail risks," that is, the frequency of large economic downturns. Using a multi-sector general equilibrium model, we show that the interplay of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012457801
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Understanding the non-Gaussian distribution of revealed comparative advantage index and its alternatives
Liu, Bin; Gao, Jianbo - In: International economics : a journal published by CEPII … 158 (2019), pp. 1-11
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012318720
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The value at the mode in multivariate t distributions: a curiosity or not?
Ley, Christophe; Neven, Anouk - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010826324
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The value at the mode in multivariate t distributions : a curiosity or not?
Ley, Christophe; Neven, Anouk - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010418918
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Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2013
We derive a Gaussian approximation result for the maximum of a sum of high dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the Gaussian random vectors with the same covariance...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010227470
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Central limit theorems and multiplier bootstrap when p is much larger than n
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012
We derive a central limit theorem for the maximum of a sum of high dimensional random vectors. More precisely, we establish condi- tions under which the distribution of the maximum is approximated by the maximum of a sum of the Gaussian random vectors with the same covariance matrices as the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009692028
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Gaussian approximation of suprema of empirical processes
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012
We develop a new direct approach to approximating suprema of general empirical processes by a sequence of suprema of Gaussian processes, without taking the route of approximating empirical processes themselves in the sup-norm. We prove an abstract approximation theorem that is applicable to a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009692046
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Singularity avoidance of 6R decoupled manipulator using improved Gaussian distribution damped reciprocal algorithm
Cui, Hong-Xin; Feng, Ke; Li, Huan-Liang; Han, Jin-Hua - In: Industrial Robot: An International Journal 44 (2017) 3, pp. 324-332
Purpose To improve the trajectory tracking accuracy of 6R decoupled manipulator in singularity region, this paper aims to propose a singularity avoidance algorithm named “singularity separation plus improved Gaussian distribution damped reciprocal”. Design/methodology/approach The...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014835856
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Estimation of a normal distribution of returns on stock indices based on the minimum chi-square criterion
Czyżycki, Rafał - In: Modern processes of economic development : economics and law, (pp. 9-18). 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011861483
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Microeconomic origins of macroeconomic tail risks
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - In: The American economic review 107 (2017) 1, pp. 54-108
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011643426
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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009327870
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Modified CADF and CIPA panel unit root statistics with standard CHI-squared and normal limiting distributions
Westerlund, Joakim; Hosseinkouchack, Mehdi - In: Oxford bulletin of economics and statistics 78 (2016) 3, pp. 347-364
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011494818
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Mandelbrot, Fama and the emergence of econophysics
Salazar, Boris - In: Cuadernos de economía 35 (2016) 69, pp. 637-662
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011649334
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Analysis of latent Gaussian models with spatial dependence
Vogler, Jan - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011618511
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Constructing Forecast Confidence Bands During the Financial Crisis
Clinton, Kevin; Johnson, Marianne; Chen, Huigang; … - International Monetary Fund (IMF) - 2009
We derive forecast confidence bands using a Global Projection Model covering the United States, the euro area, and Japan. In the model, the price of oil is a stochastic process, interest rates have a zero floor, and bank lending tightening affects the United States. To calculate confidence...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10008559263
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Microeconomic origins of macroeconomic tail risks
Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010485562
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Characterization of Gaussian distribution on a Hilbert space from samples of random size
Prakasa Rao, B.L.S. - In: Journal of Multivariate Analysis 132 (2014) C, pp. 209-214
We obtain two characterizations of the Gaussian distribution on a Hilbert space from samples of random size.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010939516
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Tail asymptotics of random sum and maximum of log-normal risks
Hashorva, Enkelejd; Kortschak, Dominik - In: Statistics & Probability Letters 87 (2014) C, pp. 167-174
In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandayapa (2008) also for the more general setup of random sums and random maximum the...
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The truncated multivariate normal distribution in finance and econometrics
Wilhelm, Stefan - 2014
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Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, John - International Monetary Fund (IMF) - 2007
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005825819
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Design aspects and probabilistic approach for generation reliability evaluation of MWW based micro-hydro power plant
Saket, R.K. - In: Renewable and Sustainable Energy Reviews 28 (2013) C, pp. 917-929
This paper presents the design aspects and probabilistic approach for the generation reliability evaluation of an alternative resource: municipal waste water (MWW) based micro-hydro power plant (MHPP). Annual and daily flow duration curves have been obtained for design, installation,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010709384
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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, ebvufind01.dmz1.zbw.eu/10005605320
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An intermediate distribution between Gaussian and Cauchy distributions
Liu, Tong; Zhang, Ping; Dai, Wu-Sheng; Xie, Mi - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5411-5421
In this paper, we construct an intermediate distribution linking the Gaussian and the Cauchy distribution. We provide the probability density function and the corresponding characteristic function of the intermediate distribution. Because many kinds of distributions have no moment, we introduce...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010590688
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Early Warning Systems; A Survey and a Regime-Switching Approach
Abiad, Abdul - International Monetary Fund (IMF) - 2003
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005769232
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - International Monetary Fund (IMF) - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005826355
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The Equilibrium Distributions of Value for Risky Stocks and Bonds
Johannes, Ron - International Monetary Fund (IMF) - 2001
Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations (high peak, fat tail) and double...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005826363
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Risk and Return Measures for a Non-Gaussian World
Powers, Michael R.; Powers, Thomas Y. - In: Journal of Financial Transformation 25 (2009), pp. 51-54
We propose new measures of both risk and anticipated return that incorporate the effects of skewness and heavy tails from a financial return’s probability distribution. Our cosine-based analysis, which involves maximizing the marginal Shannon information associated with the Fourier transform...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10004981465
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Detrended fluctuation analysis of particle condensation on complex networks
Tang, Ming; Liu, Zonghua - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 5, pp. 1361-1368
It has been found that the structure of complex network has significant influence on the condensation of particles and the equilibrium state of particles is dynamical. We study here the fluctuation of particles on each individual node at equilibrium status and find that the particle...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010590612
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Conditional Iterative Proportional Fitting for Gaussian Distributions
Cramer, Erhard - In: Journal of Multivariate Analysis 65 (1998) 2, pp. 261-276
A Gaussian version of the iterative proportional fitting procedure (IFP-P) was applied by Speed and Kiiveri to solve the likelihood equations in graphical Gaussian models. The calculation of the maximum likelihood estimates can be seen as the problem to find a Gaussian distribution with...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005221696
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The Distribution of Shortrun Commodity Price Movements
Mann, Jitendar S.; Heifner, Richard G. - Economic Research Service, Department of Agriculture - 1976
The statistical properties of daily closing futures prices for nine commodities are studied. Two hypotheses are examined: Price changes are normally distributed, and prices follow a random walk process. Normality is tested by estimating kurtosis, the R/S statistic, and characteristic exponents....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010882785
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