Results 21 to 30 of about 40,778 (262)
Sensors, 2022 The effects of random array deformations on Direction-of-Arrival (DOA) estimation with root-Multiple Signal Classification for uniform circular arrays (UCA root-MUSIC) are characterized by a conformally mapped generalized Polynomial Chaos (gPC) algorithm.
Seppe Van Brandt +3 more
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Skew Generalized Secant Hyperbolic Distributions: Unconditional and Conditional Fit to Asset Returns
Austrian Journal of Statistics, 2016 A generalization of the hyperbolic secant distribution which allows for both skewness and leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of
Matthias Fischer
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Analysis of the Romanian Capital Market Using the Fractal Dimension
Fractal and Fractional, 2022 The surrounding reality can be analyzed due to the interaction of complex nonlinear dynamic systems. The article’s main objective is to develop and analyze the models that best describe the efficient behavior of the Romanian capital market that generated
Valentin Radu +5 more
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Results in Physics, 2021 This projected work applies the generalized exponential rational function method to extract the complex, trigonometric, hyperbolic, dark bright soliton solutions of the cubic nonlinear Schrödinger’s equation.
Yi-Xia Li +4 more
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Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data [PDF]
Yugoslav Journal of Operations Research, 2018 The statistical methods for the financial returns play a key role in measuring the goodness-of-fit of a given distribution to real data. As is well known, the normal inverse Gaussian (NIG) and generalized hyperbolic skew-t (GHST) distributions have been ...
Panahi Hanieh
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A Monte Carlo Approach to Bitcoin Price Prediction with Fractional Ornstein–Uhlenbeck Lévy Process
Forecasting, 2022 Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price ...
Jules Clément Mba +2 more
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On the Basel Liquidity Formula for Elliptical Distributions
Risks, 2018 A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L (profit-and-loss) are ...
Janine Balter, Alexander J. McNeil
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Modeling Insurance Claim Distribution via Mixture Distribution and Copula [PDF]
تحقیقات مالی, 2017 This paper analyses whether joint probability distribution function of losses due to different exposures covered under the same policy could be modeled in an appropriate manner via mixture distribution proposed and copula concept.
Saeed Bajalan +2 more
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Tail dependence coefficient of generalized hyperbolic distribution [PDF]
Journal of Statistical Theory and Applications, 2017 The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold. In this paper, we obtain the limit tail dependence coefficient for the generalized hyperbolic distribution.
Aleiyouka, Mohalilou +2 more
openaire +4 more sources
Statistical Analysis of the Exchange Rate of Bitcoin.
PLoS ONE, 2015 Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the log-returns of the exchange rate of Bitcoin versus the United States Dollar.
Jeffrey Chu +2 more
doaj +1 more source