Results 31 to 40 of about 1,634 (85)

Standardizing densities on Gaussian spaces

, 2017
In the present note we investigate the problem of standardizing random variables taking values on infinite dimensional Gaussian spaces. In particular, we focus on the transformations induced on densities by the selected standardization procedure.
Lanconelli, Alberto
core   +1 more source

On the Equality of Sharp and Germ - Fields for Gaussian Processes and Fields [PDF]

, 2004
2000 Mathematics Subject Classification: 60G15, 60G60; secondary 31B15, 31B25, 60H15We investigate the relationship between the sigma-field and the infinitesimal or germ sigma ...
Pitt, Loren D., Robeva, Raina S.
core  

A new proof of fractional Hu-Meyer formula and its applications

Journal of Inequalities and Applications, 2012
This paper is concerned with the Hu-Meyer formula for fractional Brownian motion with the Hurst parameter less than 1/2. By the mollifier approximation, the Hu-Meyer formula is explicitly obtained based on the multiple Stratonovich integral, and the ...
Baobin Wang, Ting Hu
semanticscholar   +2 more sources

Dependence modeling in general insurance using local Gaussian correlations and hidden Markov models

Dependence Modeling
This article introduces a hybrid framework that combines local Gaussian correlation (LGC) with hidden Markov models (HMMs) to model dynamic and nonlinear dependencies in general insurance claims, thereby addressing the limitations of static copula ...
Afazali Zabibu, Gundersen Kristian, Kasozi Juma, Omala Saint Kizito, Støve Bård   +4 more
doaj   +1 more source

Random determinants, mixed volumes of ellipsoids, and zeros of Gaussian random fields [PDF]

, 2012
Consider a $d\times d$ matrix $M$ whose rows are independent centered non-degenerate Gaussian vectors $\xi_1,...,\xi_d$ with covariance matrices $\Sigma_1,...,\Sigma_d$. Denote by $\mathcal{E}_i$ the location-dispersion ellipsoid of $\xi_i:\mathcal{E}_i={
Kabluchko, Zakhar, Zaporozhets, Dmitry
core  

Intervention in Ornstein-Uhlenbeck SDEs [PDF]

, 2013
We introduce a notion of intervention for stochastic differential equations and a corresponding causal interpretation. For the case of the Ornstein-Uhlenbeck SDE, we show that the SDE resulting from a simple type of intervention again is an Ornstein ...
Sokol, Alexander
core  

Nonstandard limit theorem for infinite variance functionals

, 2008
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtain nonstandard limit theorems. When the long-range dependence is strong enough, the limit is a Hermite process, while for weaker long-range dependence, the ...
Heyde, Chris, Sly, Allan
core   +1 more source

Higher-order expansions of powered extremes of normal samples

, 2016
In this paper, higher-order expansions for distributions and densities of powered extremes of standard normal random sequences are established under an optimal choice of normalized constants.
Ling, Chengxiu, Zhou, Wei
core   +1 more source

On the asymptotic robustness of the likelihood ratio test in quantitative trait locus detection

, 2014
We consider the likelihood ratio test (LRT) process related to the test of the absence of QTL (i.e. a gene with quantitative effect on a trait) on a chromosome. We consider two different recombination models.
Charles-Elie Rabier
semanticscholar   +1 more source

Asymptotic for the quantization error for a Wiener process with Gaussian starting point [PDF]

, 2014
The asymptotics for quantization error for a Wiener process with Gaussian starting point (GSP-Wiener process) is investigated. Using the classical methodology and some analytical approach a first result is obtained.
Salomón, Luis A.
core