Results 61 to 70 of about 483 (131)

An Improved Approximation to the Distributions in GMM Estimation [PDF]

The empirical saddlepoint distribution provides an approximation to the sampling distributions for the GMM parameter estimates and the statistics that test the overidentifying restrictions.
Fallaw Sowell
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Saddlepoint Approximations for Noncoherent Single-Antenna Rayleigh Block-Fading Channels [PDF]

, 2019
This paper presents saddlepoint approximations of state-of-the-art converse and achievability bounds for noncoherent, single-antenna, Rayleigh block-fading channels.
6stman, Johan, Tobias Koch, Giuseppe Durisi, Durisi, Giuseppe,, Östman, Johan, Lancho Serrano, Alejandro, Vazquez-Vilar, Gonzalo, Koch, Tobias Mirco, Gonzalo Vazquez-Vilar, Vazquez-Vilar, Gonzalo,, Durisi, Giuseppe, Alejandro Lancho, Johan Ostman, Koch, Tobias, Östman, Johan,, Lancho Serrano, Alejandro,, Vázquez Vilar, Gonzalo, Koch, Tobias,   +17 more
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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
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Outlier discordancy tests based on saddlepoint approximations [PDF]

, 2019
2019 Fall.Includes bibliographical references.When testing for the discordancy of a single observed value, a test based on large values of the maximum absolute studentized residual (MASR) or maximum squared studentized residual (MSSR) is known to be ...
Scharf, Louis, advisor, Sleeper, Andrew D., author, Boes, Duane, committee member, Breidt, Jay, committee member, Jayasumana, Anura, committee member   +4 more
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Saddlepoint approximations as smoothers

, 2017
This note investigates the sense in which saddlepoint approximations act as smoothers of discrete distributions. The discrete problem is embedded in a continuous model that closely matches it on the discrete sample space, with saddlepoint approximation ...
Davison, A. C., Wang, Suojin
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Saddlepoint approximations for the normalizing constant of Fisher–Bingham distributions on products of spheres and Stiefel manifolds [PDF]

, 2013
In an earlier paper Kume & Wood (2005) showed how the normalizing constant of the Fisher– Bingham distribution on a sphere can be approximated with high accuracy using a univariate saddlepoint density approximation.
A Kume, Andrew T A Wood, Kume, Alfred, Wood, Andrew T.A., Kume, A., Preston, S.P., S P Preston, Preston, S. P.   +7 more
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Efficient Bingham filtering based on saddlepoint approximations

2014 International Conference on Multisensor Fusion and Information Integration for Intelligent Systems (MFI), 2014
© 2014 IEEE. In this paper, we address the problem of developing computationally efficient recursive estimators on the periodic domain of orientations using the Bingham distribution. The Bingham distribution is defined directly on the unit hypersphere. As such, it is able to describe both large and small uncertainties in a unified framework.
Igor Gilitschenski, Gerhard Kurz, Simon J. Julier, Uwe D. Hanebeck   +3 more
openaire   +3 more sources

TAUBERIAN PROPERTY IN SADDLEPOINT APPROXIMATIONS

, 2006
A Tauberian theorem which is related to the saddlepoint in the saddlepoint approximations of $ M $-estimates is investigated. It is shown that the asymptotic behavior of the saddlepoint at infinity plays a substantial role in this context. We also show a
Takeuchi, Hiroyuki, 竹内, 宏行
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General Saddlepoint Approximations with Applications to L Statistics

, 1986
Saddlepoint approximations are extended to general statistics. The technique is applied to derive approximations to the density of linear combinations of order statistics, including trimmed means.
Ronchetti, Elvezio, Easton, George S.
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The Empirical Saddlepoint Approximation for GMM Estimators

The empirical saddlepoint distribution provides an approximation to the sampling distributions for the GMM parameter estimates and the statistics that test the overidentifying restrictions.
Sowell, Fallaw
core