Results 191 to 200 of about 37,570 (330)

Hurst exponents, Markov processes, and fractional Brownian motion [PDF]

, 2006
Joseph L. McCauley, Gemunu H. Gunaratne, Kevin E. Bassler   +2 more
openalex   +1 more source

Robust Distance Covariance

International Statistical Review, EarlyView.
Summary Distance covariance is a popular measure of dependence between random variables. It has some robustness properties, but not all. We prove that the influence function of the usual distance covariance is bounded, but that its breakdown value is zero.
Sarah Leyder, Jakob Raymaekers, Peter J. Rousseeuw   +2 more
wiley   +1 more source

Fractional Brownian motion analysis for epidemic spreading of diseases

, 2021
Lima L.
europepmc   +1 more source

Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications. [PDF]

Entropy (Basel), 2018
Ding XL, Nieto JJ.
europepmc   +1 more source

A characterization of the set-indexed fractional Brownian motion by increasing paths [PDF]

, 2006
Érick Herbin, Ely Merzbach
openalex   +1 more source

Firm Disclosures, Uncertain Profits, and (Indirectly) Priced Idiosyncratic Volatility

Journal of Business Finance &Accounting, EarlyView.
ABSTRACT We show that the negative relation between idiosyncratic volatility (IVOL) and expected returns exists only among firms with low profitability and high uncertainty about profitability. We propose an incomplete information model in which agents cannot disentangle systematic from idiosyncratic shocks.
Xuhui (Nick) Pan, Bharat Raj Parajuli, Petra Sinagl   +2 more
wiley   +1 more source

Isotropic Q-fractional Brownian motion on the sphere: regularity and fast simulation. [PDF]

Philos Trans A Math Phys Eng Sci
Lang A, Müller B.
europepmc   +1 more source

Visual information and expert's idea in Hurst index estimation of the fractional Brownian motion using a diffusion type approximation. [PDF]

Sci Rep, 2017
Taheriyoun AR, Moghimbeygi M.
europepmc   +1 more source

Fractional Brownian motion and the halo mass function [PDF]

, 2006
Jun Pan
openalex   +1 more source

Portfolio Optimization for Pension Purposes: Literature Review

Journal of Economic Surveys, EarlyView.
ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira, Igor Leão dos Santos, Pedro Henrique Gonzalez   +2 more
wiley   +1 more source