Nonparametric Assessment of the Calibration of Individualized Treatment Effects. [PDF]
Stat MedABSTRACT An important aspect of the performance of algorithms that predict individualized treatment effects (ITEs) is moderate calibration, that is, the average treatment effect among individuals with predicted treatment effect of z being equal to z. The assessment of moderate calibration is a challenging task on two fronts: counterfactual responses ...
Sadatsafavi M +3 more
europepmc +2 more sources
Maximum Likelihood Estimation for Mixed Fractional Vasicek Processes
Fractal and Fractional, 2022 In this paper, we consider the problem of estimating the drift parameters in the mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model.
Chun-Hao Cai +3 more
doaj +1 more source
Projective system approach to the martingale characterization of the absence of arbitrage [PDF]
, 2001 The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective
Balbás, Alejandro +2 more
core +2 more sources
Martingale transforms with unbounded multipliers [PDF]
Proceedings of the American Mathematical Society, 1992 The boundedness of martingale transforms with the "multiplier" sequence in various classes is studied.
Chao, J.-A., Long, R.-L.
openaire +2 more sources
Martingale-coboundary decomposition for families of dynamical systems [PDF]
, 2017 We prove statistical limit laws for sequences of Birkhoff sums of the type ∑j=0n-1vn(ring operator)Tnj where Tn is a family of nonuniformly hyperbolic transformations.The key ingredient is a new martingale-coboundary decomposition for nonuniformly ...
Z Kosloff (21882239) +2 more
core +6 more sources
Modern Stochastics: Theory and Applications, 2015 We consider the Black–Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets.
Sergii Kuchuk-Iatsenko, Yuliya Mishura
doaj +1 more source
A sufficient condition for the boundedness of operator-weighted martingale transforms and Hilbert transform [PDF]
, 2007 Let W be an operator weight taking values almost everywhere in the bounded positive invertible linear operators on a separable Hilbert space H. We show that if W and its inverse W−1 both satisfy a matrix reverse Holder property introduced in [2], then ...
Pott, S.
core +1 more source
Convergence Theorems for Generalized Functional Sequences of Discrete-Time Normal Martingales
Journal of Function Spaces, 2015 The Fock transform recently introduced by the authors in a previous paper is applied to investigate convergence of generalized functional sequences of a discrete-time normal martingale M.
Caishi Wang, Jinshu Chen
doaj +1 more source
Goodness-of-fit tests for imperfect maintenance models based on Martingale residuals, varentropy, and probability integral transform [PDF]
Journal of Mahani Mathematical ResearchIn recent years, various goodness-of-fit tests have been developed to identify the underlying distribution of failure data. In this paper, we extend the application of such tests to evaluate the adequacy of imperfect maintenance models for engineering ...
Fattaneh Nezmpour +2 more
doaj +1 more source
Characterization Theorems for Generalized Functionals of Discrete-Time Normal Martingale
Journal of Function Spaces, 2015 We aim at characterizing generalized functionals of discrete-time normal martingales. Let M=(Mn)n∈N be a discrete-time normal martingale that has the chaotic representation property.
Caishi Wang, Jinshu Chen
doaj +1 more source