Unit root testing in the presence of innovation variance breaks: a simple solution with increased power.
Using Inside-Outside Algorithm for Estimation of the Offspring Distribution in Multitype Branching Processes
Multitype branching processes (MTBP) model branching structures, where the nodes of the resulting tree are particles of different types. Usually such a process is not observable in the sense of the whole tree, but only as the “generation” at a given moment in time, which consists of the number of particles of every type. This requires an EM-type algorithm to obtain a maximum likelihood (ML) estimate of the parameters of the branching process. Using a version of the inside-outside algorithm for stochastic context-free...
Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options
∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1].In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider how the expected return...
Uso del estadístico Dn de Kolmogorov-Smirnov en inferencia paramétrica.
Se estudia un método de estimación paramétrica basado en la minimización del estadístico Dn de Kolmogorov-Smirnov. Se prueba la existencia y unicidad de este estimador en familias de distribuciones monótonas en alguno de sus parámetros y se compara computacionalmente con el método de máxima verosimilitud.
Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
In testing that a given distribution Pbelongs to a parameterized family , one is often led to compare a nonparametric estimateAn of some functional A of P with an element Aθn corresponding to an estimate θn of θ. In many cases, the asymptotic distribution of goodness-of-fit statistics derived from the process n1/2(An−Aθn) depends on the unknown distribution P. It is shown here that if the sequences An and θn of estimators are regular in some sense, a parametric bootstrap approach yields valid approximations...
Variance function estimation via model selection
The problem of estimating an unknown variance function in a random design Gaussian heteroscedastic regression model is considered. Both the regression function and the logarithm of the variance function are modelled by piecewise polynomials. A finite collection of such parametric models based on a family of partitions of support of an explanatory variable is studied. Penalized model selection criteria as well as post-model-selection estimates are introduced based on Maximum Likelihood (ML) and Restricted...
Variance reduction in a stochastic volatility scenario.
Variances in spectral analysis of membrane noise
Le fluttuazioni di conduttanza di un modello di canale del potassio di una fibra muscolare che segue una cinetica di Hodgkin e Huxley sono state analizzate attraverso l'analisi spettrale indiretta. Sono state confrontate due diverse stime della densità spettrale e le loro rispettive varianze: quella della prima stima considerata è già nota, mentre quella della seconda stima è stata ricavata da noi nelle medesime ipotesi (distribuzione normale). I risultati teorici sono stati confrontati con quelli...
Verschlüsselungsabbildungen mit Pseudo-Inversen, Zufallsgeneratoren und Täfelungen
Weakly nonlinear constraints in regression models
Weighted Monte Carlo methods for approximate solution of a nonlinear Boltzmann equation.
Zaokrouhlovací chyba při numerickém počítání s hlediska statistického
Zur Bewertung von Schätzungen bei der gewöhnlichen Regressionsanalyse.
Zur Kondition des linearen Ausgleichsproblems mit linearen Gleichungen als Nebenbedingungen.
Алгоритм блуждания по параллелепипедам для решения краевой задачи для дифференциального уравнения эллптического типа
Аналоговый метод решения краевых задач напорной фильтрации в неоднородном грунте
Асимптотика сходимости дискретно-стохастических численных методов глобальной оценки решения интегрального уравнения второго рода.
Генератор рандомизированных псевдослучайных чисел
Комбинированный генератор случайных чисел
Машинное умножение и деление независимых случайных величин