Results 71 to 80 of about 908 (194)

Saddlepoint p-Values for Linear Rank Tests of Left-Truncated Data with Right Censoring and Cross-Sectional Data

Journal of Statistical Theory and Applications (JSTA)
Left-truncated data arise when events of interest are only recorded if they occur after a pre-specified time point. Events occurring before this point are excluded from the dataset, resulting in left truncation.
Kholoud S. Kamal, Abd El-Raheem M. Abd El-Raheem   +1 more
doaj   +1 more source

Compound Sums and their Applications in Finance

Journal of Mathematical and Fundamental Sciences, 2019
Compound sums arise frequently in insurance (total claim size in a portfolio) and in accountancy (total error amount in audit populations). As the normal approximation for compound sums usually performs very badly, one may look for better methods for ...
R. Helmersr, B. Tarigan
doaj  

SADDLEPOINT APPROXIMATIONS FOR NONCENTRAL QUADRATIC FORMS [PDF]

Econometric Theory, 1998
Many estimators and tests are of the form of a ratio of quadratic forms in normal variables. Excepting a few very special cases little is known about the density or distribution of these ratios, particularly if we allow for noncentrality in the quadratic forms.
openaire   +2 more sources

Parameter estimation of a bivariate diffusion process : the Heston model

, 2011
Includes abstract.Includes bibliographical references (leaves 27-29).The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is ...
Nomoyi, Siyabulela
core  

A Saddlepoint Approximation Method for Uncertainty Analysis

, 2004
The availability of computationally efficient and accurate methods for probabilistic computation is crucial to the success of applications of probabilistic design using complex engineering simulation models.
Sudjianto, Agus, Du, Xiaoping
core   +1 more source

Threshold-Dependent Dominance in Tail Risk Approximation

Econometrics
Regulatory risk measurement under Basel III’s Fundamental Review of the Trading Book places Expected Shortfall (ES) at the center of market risk capital, yet the fourth-order Edgeworth expansion, still widely used for Value-at-Risk (VaR) and ES ...
Terence D. Agbeyegbe
doaj   +1 more source

Advanced Approach for Estimating Failure Rate Using Saddlepoint Approximation

, 2021
In the present study paper, a failure (hazard) rate function approximates the probability distribution for the linear combination of a random variable considered a highly complex model.
Alya Al Mutairi
core   +1 more source

Surface Property and Braking Reliability Analyses of YSZ Thermal Barrier-Coated Brake Disc of Kilometer-Deep Well Hoist

Lubricants
A significant amount of heat is generated during the braking process of a kilometer-deep well hoist, which causes a large temperature rise and then thermal deformation and cracks in the brake disc.
Wanzi Yan, Hao Lu, Yu Tang, Zhencai Zhu, Fengbin Ren   +4 more
doaj   +1 more source

Time-Dependent Reliability Analysis Based on Quantile Function and Fourth-Order Moment Saddle-Point Approximation Under Small Sample Conditions

Machines
Time-dependent reliability analysis (TRA) is essential for the life-cycle risk assessment of engineering systems. However, existing TRA methods often require extensive statistical data or computationally expensive surrogate models, which limit their ...
Zhaozhan Li, Zhaowang Li, Jufang Jia, Xiangdong He   +3 more
doaj   +1 more source

Asymptotic accuracy of the saddlepoint approximation for maximum likelihood estimation

, 2020
The saddlepoint approximation gives an approximation to the density of a random variable in terms of its moment generating function. When the underlying random variable is itself the sum of $n$ unobserved i.i.d.
Goodman, Jesse
core