Results 111 to 120 of about 161 (150)

Edgeworth Expansions of Stochastic Trading Time

SSRN Electronic Journal, 2009
Abstract Under most local and stochastic volatility models the underlying forward is assumed to be a positive function of a time-changed Brownian motion. It relates nicely the implied volatility smile to the so-called activity rate in the market. Following Young and DeWitt-Morette (1986) [8] , we propose to apply the Duru–Kleinert process-cum-time ...
Decamps, Marc, De Schepper, Ann
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Interpretation and manipulation of Edgeworth expansions

Annals of the Institute of Statistical Mathematics, 1993
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Maximum entropy and the Edgeworth expansion

IEEE Information Theory Workshop, 2005., 2005
For sums of i.i.d. random variables the maximum entropy distribution with respect to the first moments fixed is compared with the Edgeworth expansion. It is demonstrated that the Edgeworth expansion can and shall be considered as a linear extrapolation of the maximum entropy distribution.
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Onm-dependence and Edgeworth expansions

Annals of the Institute of Statistical Mathematics, 1994
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Cramér-Edgeworth Expansions

1990
Let Q be a probability measure on (ℝ k ,B k ), B k denoting the Borel sigmafield on ℝ k . Assume that the s — th absolute moment of Q is finite, $$ {\rho_s}: = \int {{{\left\| x \right\|}^s}Q(dx) < \infty } $$ (1.1) , for some integer s ≥ 3, and that Q is normalized, $$ \int {{x^{{(i)}}}Q(dx) = 0(1 \leqslant i \leqslant k)}, \int {{x^{{(i)
Rabi Bhattacharya, Manfred Denker
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Edgeworth Expansions and the Bootstrap

2016
This chapter outlines the proof of the validity of a properly formulated version of the formal Edgeworth expansion, and derives from it the precise asymptotic rate of the coverage error of Efron’s bootstrap. A number of other applications of Edgeworth expansions are outlined.
Rabi Bhattacharya, Lizhen Lin, Victor Patrangenaru   +2 more
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EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS

Econometric Theory, 2013
Simple methods are developed for deriving Edgeworth, saddlepoint, and related expansions for the estimators of multivariate and nonlinear models. Illustrations are provided. Simulations are reported indicating the methods work well compared to standard asymptotic and bootstrapped approaches.
Kundhi, Gubhinder, Rilstone, Paul
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Bootstrp and Edgeworth Expansion

1990
Suppose that T(P) is a functional, say real valued, on some subset P of the set of all probability measures on a measurable space (χ, B), and one wishes to obtain a confidence interval for T(P) based on n i.i.d. observations X 1 ,..., X n with common distribution P.
Rabi Bhattacharya, Manfred Denker
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Confidence Regions Based on Edgeworth Expansion

Communications in Statistics - Simulation and Computation, 2009
We describe a procedure for constructing accurate confidence regions by first expanding the sampling distribution of parameter estimators in an Edgeworth series, then eliminating the beyond-normal terms by a simple polynomial transformation. We demonstrate this using the two-parameter Cauchy and Weibull distributions.
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Principles of Edgeworth Expansion

1992
In this chapter we define, develop, and discuss Edgeworth expansions as approximations to distributions of estimates θ of unknown quantities θ 0. We call θ 0 a “parameter”, for want of a better term. Briefly, if θ is constructed from a sample of size n, and if n 1/2 (θ — θ 0) is asymptotically Normally distributed with zero mean and variance σ 2, then ...
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