Results 11 to 20 of about 561,804 (322)
Shapley Value Confidence Intervals for Attributing Variance Explained
Frontiers in Applied Mathematics and Statistics, 2020 The coefficient of determination, the R2, is often used to measure the variance explained by an affine combination of multiple explanatory covariates. An attribution of this explanatory contribution to each of the individual covariates is often sought in
Daniel Fryer, Inga Strümke, Hien Nguyen
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Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion
Algorithms, 2018 In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractional Brownian motion: d X t = ( μ + θ X t ) d t + d S t H , t ≥ 0 with X 0 = 0 , where S H is a sub-fractional Brownian ...
Shengfeng Li, Yi Dong
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Cumulant-Based Goodness-of-Fit Tests for the Tweedie, Bar-Lev and Enis Class of Distributions
Mathematics, 2023 The class of natural exponential families (NEFs) of distributions having power variance functions (NEF-PVFs) is huge (uncountable), with enormous applications in various fields.
Shaul K. Bar-Lev +4 more
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AIMS Mathematics, 2021 Let $ B^{a, b}: = \{B_t^{a, b}, t\geq0\} $ be a weighted fractional Brownian motion of parameters $ a > -1 $, $ |b| < 1 $, $ |b| < a+1 $. We consider a least square-type method to estimate the drift parameter $ \theta > 0 $ of the weighted ...
Abdulaziz Alsenafi +2 more
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Asymptotic analysis of Bragg fibers [PDF]
, 2000 Using an asymptotic analysis, we obtain an eigenvalue equation for the general mode dispersion in Bragg fibers. The asymptotic analysis is applied to calculate the dispersion relation and the field distribution of TE modes in a Bragg fiber.
Lee, Reginald K., Xu, Yong, Yariv, Amnon
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Inference for the Linear IV Model Ridge Estimator Using Training and Test Samples
Stats, 2021 The asymptotic distribution is presented for the linear instrumental variables model estimated with a ridge penalty and a prior where the tuning parameter is selected with a holdout sample. The structural parameters and the tuning parameter are estimated
Fallaw Sowell, Nandana Sengupta
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Frontiers in Physics, 2022 In this study, as a continuation to the studies of the self-interaction diffusion driven by subfractional Brownian motion SH, we analyze the asymptotic behavior of the linear self-attracting diffusion:dXtH=dStH−θ∫0t(XtH−XsH)dsdt+νdt,X0H=0,where θ > 0 ...
Rui Guo, Han Gao, Yang Jin, Litan Yan
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Limit Laws in Transaction-Level Asset Price Models [PDF]
, 2013 We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in ...
Alexander Aue +11 more
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An adaptive lack of fit test for big data
Statistical Theory and Related Fields, 2017 New technological advancements combined with powerful computer hardware and high-speed network make big data available. The massive sample size of big data introduces unique computational challenges on scalability and storage of statistical methods.
Yanyan Zhao +2 more
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Asymptotic Distribution of Quadratic Forms [PDF]
The Annals of Probability, 1999 The authors consider quadratic forms \(Q_n= \sum_{1\leq j\neq k\leq n}a_{jk} x_jx_k\), where \(x_j\) are i.i.d. random variables. They obtain optimal bounds for the Kolmogorov distance between the distribution of \(Q_n\) and the distribution \(G_n\) of the same quadratic forms with \(x_j\) replaced by corresponding orthonormal Gaussian random variables
Götze, F., Tikhomirov, A. N.
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