Results 11 to 20 of about 70,159 (262)
Simultaneous estimation of log-normal coefficients of variation: Shrinkage and pretest strategies
MethodsX, 2023 In this paper, we consider the problem of estimating the log-normal coefficients of variation when multiple samples from log-normal populations with unequal variances are combined.
Mahmoud Aldeni +3 more
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Estimating the Hurst index of the solution of a stochastic integral equation
Lietuvos Matematikos Rinkinys, 2009 Let X(t) be a solution of a stochastic integral equation driven by fractional Brownian motion BH and let V2n (X, 2) = \sumn-1 k=1(\delta k2X)2 be the second order quadratic variation, where \delta k2X = X (k+1/N) − 2X (k/ n) +X (k−1/n).
Kęstutis Kubilius, Dmitrij Melichov
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On estimation of the Hurst index of solutions of stochastic integral equations
Lietuvos Matematikos Rinkinys, 2008 Let X be a solution of a stochasti Let X be a solution of a stochastic integral equation driven by a fractional Brownian motion BH and let Vn(X, 2) = \sumn k=1(\DeltakX)2, where \DeltakX = X( k+1/n ) - X(k/n ).
Kęstutis Kubilius, Dmitrij Melichov
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Comptes Rendus. Mathématique, 2020 We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator $g$ may be non-Lipschitz continuous in the state variable $y$ and non-convex (non ...
Fan, Shengjun, Hu, Ying, Tang, Shanjian
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Animals, 2021 This meta-analysis aims to understand the changes in pig body weight (BW) variation from birth to market and develop prediction equations for coefficient of variation (CV) and standard deviation (SD) as a function of BW. Standard deviation is the measure
Andres F. Tolosa +7 more
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Out of sample forecasts of quadratic variation [PDF]
Journal of Econometrics, 2008 We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the volatility process and assumptions on the noise.
Ait-Sahalia, Yacine, Mancini, Loriano
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Modern Stochastics: Theory and Applications, 2015 We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional part satisfies $H\in (3/4,1)$,
Ehsan Azmoodeh +2 more
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The quadratic variation for mixed-fractional Brownian motion
Journal of Inequalities and Applications, 2016 Let W = λ B + ν B H ${W}=\lambda B+\nu B^{H}$ be a mixed-fractional Brownian motion with Hurst index 0 < H < 1 2 $0 ...
Han Gao, Kun He, Litan Yan
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Discrete calculus of variations for quadratic lagrangians
CoRR, 2011 We develop in this paper a new framework for discrete calculus of variations when the actions have densities involving an arbitrary discretization operator. We deduce the discrete Euler-Lagrange equations for piecewise continuous critical points of sampled actions.
Ryckelynck, Philippe, Smoch, Laurent
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A quadratic trigonometric B-Spline as an alternate to cubic B-spline
Alexandria Engineering Journal, 2022 The idea of the quadratic trigonometric spline (QTS) for the curve modeling approach inspired this paper using a quadratic trigonometric function presented in it.
Shamaila Samreen +2 more
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