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A cardiovascular disease prediction method based on cross-combination strategy and dynamic weighted stacking ensemble. [PDF]
Sci RepQi X, Gao J, Qi H, Shi Y, Zheng J.
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Reliability analysis in stress-strength model under record values with practical verification. [PDF]
Sci RepHassan AS +5 more
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Supplemental material for A novel gene-set association test based on variance-gamma distribution
, 2018 Supplemental material for A novel gene-set association test based on variance-gamma distribution by Zhongxue Chen, Qingzhong Liu and Kai Wang in Statistical Methods in Medical ...
Chen, Zhongxue +2 more
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Compound variance gamma distribution for randomly scattered sound and noise at multiple sensors
The Journal of the Acoustical Society of America, 2023Gamma distributions for signal intensity (or, equivalently, Nakagami distributions for signal amplitude) are often used in acoustics and electromagnetics to describe the single-point statistics of randomly scattered signals and noise in urban and other complex environments.
D. Keith Wilson +2 more
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Statistics & Probability Letters, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Thomas Fung, Eugene Seneta
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Thomas Fung, Eugene Seneta
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The Quarterly Review of Economics and Finance, 2021
Abstract Advanced stochastic approaches are often suggested as a solution to real-world derivative pricing inconsistencies like the non-linearity of the implied volatility smile. Using a novel high-frequency data set with over one million option trades and corresponding order books from the German market, we compare the normal distribution approach ...
Ulze, Markus +2 more
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Abstract Advanced stochastic approaches are often suggested as a solution to real-world derivative pricing inconsistencies like the non-linearity of the implied volatility smile. Using a novel high-frequency data set with over one million option trades and corresponding order books from the German market, we compare the normal distribution approach ...
Ulze, Markus +2 more
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SSRN Electronic Journal, 2020
SummaryThe simultaneous analysis of several financial time series is salient in portfolio setting and risk management. This paper proposes a novel alternating expectation conditional maximisation (AECM) algorithm to estimate the vector autoregressive moving average (VARMA) model with variance gamma (VG) error distribution in the multivariate skewed ...
Nitithumbundit, Thanakorn +1 more
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SummaryThe simultaneous analysis of several financial time series is salient in portfolio setting and risk management. This paper proposes a novel alternating expectation conditional maximisation (AECM) algorithm to estimate the vector autoregressive moving average (VARMA) model with variance gamma (VG) error distribution in the multivariate skewed ...
Nitithumbundit, Thanakorn +1 more
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A Soft Voice Activity Detection Using GARCH Filter and Variance Gamma Distribution
IEEE Transactions on Audio, Speech and Language Processing, 2007This paper presents a robust algorithm for a voice activity detector (VAD) based on generalized autoregressive conditional heteroscedasticity (GARCH) filter, variance gamma distribution (VGD), and adaptive threshold function. GARCH models are new statistical methods that are used especially in economic time series.
Rasool Tahmasbi, Sadegh Rezaei
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On lower partial moments for the investment portfolio with variance-gamma distributed returns
Lithuanian Mathematical Journal, 2020The author considers a portfolio of investments \(x_1,\ldots, x_n\) into \(n\) financial assets with value \(X=\sum_{j=1}^n x_jR_j\), where the returns \(R_j\) are variance-gamma distributed, i.e.,\ \(R_j=r_j+\theta_jX_j+\sigma_j\sqrt{X_j}N_j\) with \(r_j,\theta_j\in\mathbb R\), \(\sigma_j\geq0\), and gamma distributed random variables \(X_j ...
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Explaining the Correlation Smile Using Variance Gamma Distributions
The Journal of Fixed Income, 2006The purpose of this article is to show that the correlation smile in liquid CDS index tranches can be explained by the same ideas that have explained the volatility smile in equity options. First, we extend a structural model proposed by Luciano and Schoutens [2005] that models firm values by Variance Gamma processes.
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