Results 11 to 20 of about 38,563 (254)
Log-Normal Superstatistics for Brownian Particles in a Heterogeneous Environment
Physics, 2020 Superstatistical approaches have played a crucial role in the investigations of mixtures of Gaussian processes. Such approaches look to describe non-Gaussian diffusion emergence in single-particle tracking experiments realized in soft and biological ...
Maike Antonio Faustino dos Santos +1 more
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CARMA Approximations and Estimation
Frontiers in Applied Mathematics and Statistics, 2020 CARMA(p, q) processes are compactly defined through a stochastic differential equation (SDE) involving q + 1 derivatives of the Lévy process driving the noise, despite this latter having in general no differentiable paths.
Silvia Lavagnini
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The land–sea coastal border: a quantitative definition by considering the wind and wave conditions in a wave-dominated, micro-tidal environment [PDF]
Ocean Science, 2019 A quantitative definition for the land–sea (coastal) transitional area is proposed here for wave-driven areas, based on the variability and isotropy of met-ocean processes.
A. Sánchez-Arcilla +5 more
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IET Image Processing, 2022 Assessment and evaluation are the essential processes of industrially manufactured products for the determination of the quality and quantity of products.
John N. Mlyahilu +4 more
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Controlling the Flexibility of Non-Gaussian Processes Through Shrinkage Priors [PDF]
Bayesian Analysis, 2022 The normal inverse Gaussian (NIG) and generalized asymmetric Laplace (GAL) distributions can be seen as skewed and semi-heavy-tailed extensions of the Gaussian distribution.
Rafael Cabral, D. Bolin, H. Rue
semanticscholar +1 more source
On simulations from the two-parameter Poisson-Dirichlet process and the normalized inverse-Gaussian process [PDF]
Sankhya A, 2013 In this paper, we develop simple, yet efficient, procedures for sampling approximations of the two-Parameter Poisson-Dirichlet Process and the normalized inverse-Gaussian process. We compare the efficiency of the new approximations to the corresponding stick-breaking approximations, in which we demonstrate a substantial improvement.
Al Labadi, Luai, Zarepour, Mahmoud
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Increments of Normal Inverse Gaussian Process as Logarithmic Returns of Stock Price [PDF]
Information Technology and Management Science, 2018 Normal inverse Gaussian (NIG) distribution is quite a new distribution introduced in 1997. This is distribution, which describes evolution of NIG process. It appears that in many cases NIG distribution describes log-returns of stock prices with a high accuracy.
Oskars Rubenis, Andrejs Matvejevs
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Normal Tempered Stable Processes and the Pricing of Energy Derivatives [PDF]
SIAM Journal on Financial Mathematics, 2021 In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with a normal tempered stable driven Ornstein-Uhlenbeck process.
P. Sabino
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Stochastic integral equations without probability [PDF]
, 2000 A pathwise approach to stochastic integral equations is advocated. Linear extended Riemann-Stieltjes integral equations driven by certain stochastic processes are solved.
Mikosch, T +3 more
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Stochastic Modeling of Wind Derivatives in Energy Markets
Risks, 2018 We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes.
Fred Espen Benth +2 more
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