On the holomorphism of the integral with respect to a complex parameter
T. Świątkowski (1967)
Colloquium Mathematicae
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T. Świątkowski (1967)
Colloquium Mathematicae
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Piotr Nowak (2011)
Applicationes Mathematicae
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Recently Balakrishnan and Iliopoulos [Ann. Inst. Statist. Math. 61 (2009)] gave sufficient conditions under which the maximum likelihood estimator (MLE) is stochastically increasing. In this paper we study test plans which are not considered there and we prove that the MLEs for those plans are also stochastically ordered. We also give some applications to the estimation of reliability.
Ahmed, N.U., Radaideh, S.M. (1995)
Journal of Applied Mathematics and Stochastic Analysis
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T. Barth, A. U. Kussmaul (1981)
Annales scientifiques de l'Université de Clermont. Mathématiques
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Pierre Gosselin, Tilmann Wurzbacher (1997)
Séminaire de probabilités de Strasbourg
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Watanabe, Shinzo (2009)
Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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Jean-Pierre Fouque, Chuan-Hsiang Han (2007)
ESAIM: Probability and Statistics
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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...
Sládeček, Ladislav (2003)
Applied Mathematics E-Notes [electronic only]
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Edwin Perkins (1985)
Séminaire de probabilités de Strasbourg
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