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Parameter estimation of sub-Gaussian stable distributions

Vadym Omelchenko (2014)

Kybernetika

In this paper, we present a parameter estimation method for sub-Gaussian stable distributions. Our algorithm has two phases: in the first phase, we calculate the average values of harmonic functions of observations and in the second phase, we conduct the main procedure of asymptotic maximum likelihood where those average values are used as inputs. This implies that the main procedure of our method does not depend on the sample size of observations. The main idea of our method lies in representing...

Performance of hedging strategies in interval models

Berend Roorda, Jacob Engwerda, Johannes M. Schumacher (2005)

Kybernetika

For a proper assessment of risks associated with the trading of derivatives, the performance of hedging strategies should be evaluated not only in the context of the idealized model that has served as the basis of strategy development, but also in the context of other models. In this paper we consider the class of so-called interval models as a possible testing ground. In the context of such models the fair price of a derivative contract is not uniquely determined and we characterize the interval...

Propiedades de las funciones de medias de las distribuciones truncadas.

Procopio Zoroa Terol, José M.ª Ruiz Gómez (1981)

Trabajos de Estadística e Investigación Operativa

En este trabajo, utilizando el concepto de distribuciones truncadas obtenidas de una distribución unidimensional de función de distribución dada F(x), se introduce el de función de medias m(x), estudiándose sus propiedades. Se obtienen condiciones necesarias para que una función real dada pueda ser función de medias. Se plantea la conjetura de que las condiciones que se señalan sean también suficientes, así como el problema de dar forma explícita a la inversa de la transformación funcional que se...

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