SUR models applied to an environmental situation with missing data and censored values.
Sur quelques algorithmes récursifs pour les probabilités numériques
The aim of this paper is to take an in-depth look at the long time behaviour of some continuous time markovian dynamical systems and at its numerical analysis. We first propose a short overview of the main ergodicity properties of time continuous homogeneous Markov processes (stability, positive recurrence). The basic tool is a Lyapunov function. Then, we investigate if these properties still hold for the time discretization of these processes, either with constant or decreasing step (ODE method...
Sur quelques algorithmes récursifs pour les probabilités numériques
The aim of this paper is to take an in-depth look at the long time behaviour of some continuous time Markovian dynamical systems and at its numerical analysis. We first propose a short overview of the main ergodicity properties of time continuous homogeneous Markov processes (stability, positive recurrence). The basic tool is a Lyapunov function. Then, we investigate if these properties still hold for the time discretization of these processes, either with constant or decreasing step (ODE...
Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods.
Testing on the first-order autoregressive model with contaminated exponential white noise finite sample case
The testing problem on the first-order autoregressive parameter in finite sample case is considered. The innovations are distributed according to the exponential distribution. The aim of this paper is to study how much the size of this test changes when, at some time k, an innovation outlier contaminant occurs. We show that the test is rather sensitive to these changes.
The approximate Euler method for Lévy driven stochastic differential equations
The approximation of the pressure by a mixed method in the simulation of miscible displacement
The beginning of a mathematical simulation theory
The behavior of locally most powerful tests
The locally most powerful (LMP) tests of the hypothesis against one-sided as well as two-sided alternatives are compared with several competitive tests, as the likelihood ratio tests, the Wald-type tests and the Rao score tests, for several distribution shapes and for location, shape and vector parameters. A simulation study confirms the importance of the condition of local unbiasedness of the test, and shows that the LMP test can sometimes dominate the other tests only in a very restricted neighborhood...
The cross-validation method in the polynomial regression.
The cross-validation method in the smoothing spline regression.
The equation and financial mathematics. II
This paper continues the research started in [J. Štěpán and P. Dostál: The equation and financial mathematics I. Kybernetika 39 (2003)]. Considering a stock price born by the above semilinear SDE with we suggest two methods how to compute the price of a general option . The first, a more universal one, is based on a Monte Carlo procedure while the second one provides explicit formulas. We in this case need an information on the two dimensional distributions of for where is the exponential...
The Dispersion of the Hammersley Sequence in the Unit Square.
The effect of impulsive diffusion on dynamics of a stage-structured predator-prey system.
The effect of spatial scale on predicting time series: a study on epidemiological system identification.
The efficiency of modified jackknife and ridge type regression estimators: a comparison.
The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling.
The ellipsoid method for generating normally distributed random vectors
The failure of orthogonality under nonstationarity: should we care about it?
The Gauss center research in multiscale scientific computation.