A limit theorem for joint distribution of order-statistics from stationary Gaussian sequences
A Lower Bound for the Normal Approximation of U-Statistics.
A martingale control variate method for option pricing with stochastic volatility
A generic control variate method is proposed to price options under stochastic volatility models by Monte Carlo simulations. This method provides a constructive way to select control variates which are martingales in order to reduce the variance of unbiased option price estimators. We apply a singular and regular perturbation analysis to characterize the variance reduced by martingale control variates. This variance analysis is done in the regime where time scales of associated driving volatility...
A mathematical model of HIV transmission in homosexuals with genetic heterogeneity.
A maximum likelihood estimator of an inhomogeneous Poisson point processes intensity using beta splines
The problem of estimating the intensity of a non-stationary Poisson point process arises in many applications. Besides non parametric solutions, e. g. kernel estimators, parametric methods based on maximum likelihood estimation are of interest. In the present paper we have developed an approach in which the parametric function is represented by two-dimensional beta-splines.
A method constructing density functions: the case of a generalized Rayleigh variable
In this paper we propose a new generalized Rayleigh distribution different from that introduced in Apl. Mat. 47 (1976), pp. 395–412. The construction makes use of the so-called “conservability approach” (see Kybernetika 25 (1989), pp. 209–215) namely, if is a positive continuous random variable with a finite mean-value , then a new density is set to be , where is the probability density function of . The new generalized Rayleigh variable is obtained using a generalized form of the exponential...
A Method for Decision Making with the OWA Operator
A method for knowledge integration
With the aid of Markov Chain Monte Carlo methods we can sample even from complex multi-dimensional distributions which cannot be exactly calculated. Thus, an application to the problem of knowledge integration (e. g. in expert systems) is straightforward.
A method for random sampling of formulas of an elementary theory and statistical estimation of their deducibility equipped by a program. II. A method for statistical testing of an at random sampled formula
A method for random sampling of well-formed formulas. (A method for random sampling of formulas of an elementary theory and statistical estimation of their deducibility equipped by a program. I.)
A method of detecting changes in the behaviour of a random sequence based on the Bayes approach
A method of detecting changes in the behaviour of locally stationary sequences
A method of trend recognition in time series
A microbiology application of the skew-Laplace distribution.
Flow cytometry scatter are ofen used in microbiology, and their measures are related to bacteria size and granularity. We present an application of the skew-Laplace distribution to flow cytometry data. The goodness of fit is evaluated both graphically and numerically. We also study skewness and kurtosis values to assess usefulness of the skew-Laplace distribution.
A Minimal Characterization of the Covariance Matrix.
A Minimal Complete Class Theorem for Decision Problems Where the Parameter Space Contains Only Finitely Many Points.
A Minimax Property of Lahiri-Midzuno-Sen's Sampling Scheme.
A minimax property of translation invariant estimators for variance components
A model discrimination method for processes with different memory structure.
A model for credit scoring: an application of discriminant analysis.
The application of statistical techniques in decision making, and more specifically for classification requirements, has proved to be adequate in the context of financial problems. In this study, we present the methodology used and the results obtained in the elaboration of a decision-support system for credit assignment. The problem was to provide an automatic tool for a Spanish financial institution that needed to quantify and analyse credit applications from clients. Firstly, we shall present...