Results 21 to 30 of about 145 (95)
Evaluation of Test Statistics for Detection of Outliers and Shifts [PDF]
, 2020 Existence of outliers and structural breaks having mutually unknown nature, in time series data, offer challenges to data analysts in model identification, estimation and validation.
Urooj, Amena +3 more
core +1 more source
Volatility filtering in estimation of kurtosis (and variance)
Dependence Modeling, 2019 The kurtosis of the distribution of financial returns characterized by high volatility persistence and thick tails is notoriously difficult to estimate precisely.
Anatolyev Stanislav
doaj +1 more source
ELECTRIC ENERGY PRICE FORECASTING: DESCRIPTIVE ANALYSIS AND FEATURES SELECTION
, 2018 The present paper is focused on the analysis of electricity market, after its recent liberalization. In particular we provide a detailed analysis of the latter exploiting descriptive analysis and the feature selection approach for a multivariate time ...
M. T. Grifa
semanticscholar +1 more source
Prediction of time series by statistical learning: general losses and fast rates
Dependence Modeling, 2013 We establish rates of convergences in statistical learning for time series forecasting. Using the PAC-Bayesian approach, slow rates of convergence √ d/n for the Gibbs estimator under the absolute loss were given in a previous work [7], where n is the ...
Alquier Pierre +2 more
doaj +1 more source
Transaction cost politics in over the counter markets
, 2018 In this paper, we extend the model presented by Duffie et al. [5], assuming that the agents pay the transaction costs, when trading assets in over the counter market.
Federico Flore, M. Cenci
semanticscholar +1 more source
How to Explain the Results of the Richard Thaler's 1997 Financial Times Contest
, 2018 In 1997, by using a letter published in Financial Times, Richard H. Thaler, the 2017 Nobel Prize winner in Economics, performed the following experiment: he asked readers to submit numbers from 0 to 100, so that the person whose number is the closest to ...
O. Kosheleva, V. Kreinovich
semanticscholar +1 more source
ON THE TAIL BEHAVIOR OF FUNCTIONS OF RANDOM VARIABLES
, 2016 It is shown that the tail behavior of the function of nonnegative random variables can be characterized using deterministic functions satisfying certain properties.
Amit N. Kumar, Neelesh Shankar Upadhye
semanticscholar +1 more source
, 2015 Recently papers investigating problems on detection of the moment of occurrence of an attack on various systems were published. In particular, they consider ”Dos-attacks” or attacks like of ”denial of service” in a computing system and subsequent changes
V. Bure, V. Karelin, L. N. Polyakova
semanticscholar +1 more source
A benchmark approach to portfolio optimization under partial information [PDF]
, 2007 Portfolio optimization, Partial information, Filtering, Growth optimal portfolio, Expected utility maximization, Utility indifference pricing, Real world pricing formula, G10, G13, Primary 90A12, Secondary 60G30, 62P20,
Runggaldier, WJ +3 more
core +1 more source
Zero-intelligence realized variance estimation
, 2010 Limit order book, Market microstructure noise, Micro-price, Realized variance, Sampling schemes, 62E20, 62P20, C10, C80,
Gatheral, J. +3 more
core +1 more source