Displaying similar documents to “Goodness-of-fit test for the accelerated failure time model based on martingale residuals”

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

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In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the...

Probabilistic properties of the continuous double auction

Martin Šmíd (2012)

Kybernetika

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In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).