Robust estimation in capital asset pricing model.
Wong, Wing-Keung, Bian, Guorui (2000)
Journal of Applied Mathematics and Decision Sciences
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Wong, Wing-Keung, Bian, Guorui (2000)
Journal of Applied Mathematics and Decision Sciences
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Nakhi, Y. Ben, Kalla, S.L. (2004)
Fractional Calculus and Applied Analysis
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The aim of this paper is to establish some mixture distributions that arise in stochastic processes. Some basic functions associated with the probability mass function of the mixture distributions, such as k-th moments, characteristic function and factorial moments are computed. Further we obtain a three-term recurrence relation for each established mixture distribution.
Bolesław Kopociński (1999)
Applicationes Mathematicae
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We define a multivariate negative binomial distribution (MVNB) as a bivariate Poisson distribution function mixed with a multivariate exponential (MVE) distribution. We focus on the class of MVNB distributions generated by Marshall-Olkin MVE distributions. For simplicity of notation we analyze in detail the class of bivariate (BVNB) distributions. In applications the standard data from [2] and [7] and data concerning parasites of birds from [4] are used.
Ahsanullah, M. (2009)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
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Nguyen Bac-Van
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The regression model X(t),Y(t);t=1,...,n with random explanatory variable X is transformed by prescribing a partition
Marek Męczarski, Ryszard Zieliński (1997)
Applicationes Mathematicae
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A homogeneous Poisson process (N(t),t ≥ 0) with the intensity function m(t)=θ is observed on the interval [0,T]. The problem consists in estimating θ with balancing the LINEX loss due to an error of estimation and the cost of sampling which depends linearly on T. The optimal T is given when the prior distribution of θ is not uniquely specified.
Lenka Slámová, Lev B. Klebanov (2014)
Kybernetika
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In this article we propose a method of parameters estimation for the class of discrete stable laws. Discrete stable distributions form a discrete analogy to classical stable distributions and share many interesting properties with them such as heavy tails and skewness. Similarly as stable laws discrete stable distributions are defined through characteristic function and do not posses a probability mass function in closed form. This inhibits the use of classical estimation methods such...
Wojciech Niemiro (1995)
Applicationes Mathematicae
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Statistical inference procedures based on least absolute deviations involve estimates of a matrix which plays the role of a multivariate nuisance parameter. To estimate this matrix, we use kernel smoothing. We show consistency and obtain bounds on the rate of convergence.
Jana Timková (2014)
Kybernetika
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This text describes a method of estimating the hazard rate of survival data following monotone Aalen regression model. The proposed approach is based on techniques which were introduced by Arjas and Gasbarra [4]. The unknown functional parameters are assumed to be a priori piecewise constant on intervals of varying count and size. The estimates are obtained with the aid of the Gibbs sampler and its variants. The performance of the method is explored by simulations. The results indicate...