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An application of multivariate total positivity to peacocks

Antoine Marie Bogso (2014)

ESAIM: Probability and Statistics

We use multivariate total positivity theory to exhibit new families of peacocks. As the authors of [F. Hirsch, C. Profeta, B. Roynette and M. Yor, Peacocks and associated martingales vol. 3. Bocconi-Springer (2011)], our guiding example is the result of Carr−Ewald−Xiao [P. Carr, C.-O. Ewald and Y. Xiao, Finance Res. Lett. 5 (2008) 162–171]. We shall introduce the notion of strong conditional monotonicity. This concept is strictly more restrictive than the conditional monotonicity as defined in [F....

An application of nonprarametric Cox regression model in reliability analysis: a case study

Petr Volf (2004)

Kybernetika

The contribution deals with an application of the nonparametric version of Cox regression model to the analysis and modeling of the failure rate of technical devices. The objective is to recall the method of statistical analysis of such a model, to adapt it to the real–case study, and in such a way to demonstrate the flexibility of the Cox model. The goodness-of-fit of the model is tested, too, with the aid of the graphical test procedure based on generalized residuals.

An Application of Skew Product Maps to Markov Chains

Zbigniew S. Kowalski (2007)

Bulletin of the Polish Academy of Sciences. Mathematics

By using the skew product definition of a Markov chain we obtain the following results: (a) Every k-step Markov chain is a quasi-Markovian process. (b) Every piecewise linear map with a Markovian partition defines a Markov chain for every absolutely continuous invariant measure. (c) Satisfying the Chapman-Kolmogorov equation is not sufficient for a process to be quasi-Markovian.

An Approach to Distribution of the Product of Two Normal Variables

Antonio Seijas-Macías, Amílcar Oliveira (2012)

Discussiones Mathematicae Probability and Statistics

The distribution of product of two normally distributed variables come from the first part of the XX Century. First works about this issue were [1] and [2] showed that under certain conditions the product could be considered as a normally distributed. A more recent approach is [3] that studied approximation to density function of the product using three methods: numerical integration, Monte Carlo simulation and analytical approximation to the result using the normal distribution....

An Approach to Wealth Modelling

Stoynov, Pavel (2003)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered.

An approximation of the κ-function for the study of binary images.

Guillermo Ayala Gallego, Amelia Simó Vidal (1993)

Qüestiió

Jensen et al. (1990) gave an exact expression for the κ-function in non-overlapping Boolean models. The present study proposes and evaluates an approximate expression for the κ-function in overlapping isotropic Boolean models based on an approximation of the covariogram of the primary grain. We study the suitability of a Boolean model for two binary images using this approximate expression.

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