Displaying similar documents to “Approximated maximum likelihood estimation of parameters of discrete stable family”

On precision of stochastic optimization based on estimates from censored data

Petr Volf (2014)

Kybernetika

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In the framework of a stochastic optimization problem, it is assumed that the stochastic characteristics of optimized system are estimated from randomly right-censored data. Such a case is frequently encountered in time-to-event or lifetime studies. The analysis of precision of such a solution is based on corresponding theoretical properties of estimated stochastic characteristics. The main concern is to show consistency of optimal solution even in the random censoring case. Behavior...

Stability and contagion measures for spatial extreme value analyzes

Cecília Fonseca, Helena Ferreira, Luísa Pereira, Ana Paula Martins (2014)

Kybernetika

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As part of global climate change an accelerated hydrologic cycle (including an increase in heavy precipitation) is anticipated (Trenberth [20, 21]). So, it is of great importance to be able to quantify high-impact hydrologic relationships, for example, the impact that an extreme precipitation (or temperature) in a location has on a surrounding region. Building on the Multivariate Extreme Value Theory we propose a contagion index and a stability index. The contagion index makes it possible...

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).