Results 201 to 210 of about 37,570 (330)

STOCHASTIC INTEGRATION FOR TEMPERED FRACTIONAL BROWNIAN MOTION. [PDF]

Stoch Process Their Appl, 2014
Meerschaert MM, Sabzikar F.
europepmc   +1 more source

Notes on the two-dimensional fractional Brownian motion [PDF]

, 2006
Fabrice Baudoin, David Nualart
openalex   +1 more source

Value without Employment

The Journal of Finance, EarlyView.
ABSTRACT Young firms' contribution to aggregate employment has been underwhelming. We show that a similar trend is not apparent, however, in their contribution to aggregate sales or stock market capitalization, implying that these firms have exhibited a high average‐to‐marginal revenue product of labor.
SIMCHA BARKAI, STAVROS PANAGEAS
wiley   +1 more source

Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics. [PDF]

Extremes (Boston)
Dȩbicki K, Ji L, Novikov S.
europepmc   +1 more source

Fractional Brownian motion and multivariate-t models for longitudinal biomedical data, with application to CD4 counts in HIV-positive patients. [PDF]

Stat Med, 2016
Stirrup OT, Babiker AG, Carpenter JR, Copas AJ.   +3 more
europepmc   +1 more source

Monitoring panels of sparse functional data

Journal of Time Series Analysis, EarlyView.
Panels of random functions are common in applications of functional data analysis. They often occur when sequences of functions are observed at a number of different locations. We propose a methodology to monitor for structural breaks in such panels and to identify the changing components with statistical certainty.
Tim Kutta, Agnieszka Jach, Piotr Kokoszka   +2 more
wiley   +1 more source

Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion. [PDF]

Int Sch Res Notices, 2014
Sun JJ, Zhou S, Zhang Y, Han M, Wang F.
europepmc   +1 more source

Regularity of renormalized self-intersection local time for fractional Brownian motion [PDF]

, 2007
Yaozhong Hu, David Nualart
openalex   +1 more source

Change Point Analysis for Functional Data Using Empirical Characteristic Functionals

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth, Gregory Rice, Jeremy VanderDoes   +2 more
wiley   +1 more source

Bayesian two-stage modeling of longitudinal and time-to-event data with an integrated fractional Brownian motion covariance structure. [PDF]

Biometrics
Palipana A, Song S, Gupta N, Szczesniak R.   +3 more
europepmc   +1 more source