Brown and Levy Steady-State Motions

Συγγραφείς: Iddo Eliazar

Πηγή: Entropy ; Volume 27 ; Issue 6 ; Pages: 643

Θεματικοί όροι: ornstein-uhlenbeck processes, levy-driven processes, markov processes and Langevin dynamics, noah effect and heavy tails, joseph effect and long-range dependence, memory and correlation

Περιγραφή αρχείου: application/pdf

Relation: Statistical Physics; https://dx.doi.org/10.3390/e27060643

Διαθεσιμότητα: https://doi.org/10.3390/e27060643

Parameter estimation and model testing for Markov processes via conditional characteristic functions

Συγγραφείς: Chen, Songxi, Peng, Liang, Yu, Cindy

Πηγή: Bernoulli 19, no. 1 (2013), 228-251

Θεματικοί όροι: jel:C9, G0 - General, C8 - Data Collection and Data Estimation Methodology, C1 - Econometric and Statistical Methods and Methodology: General, kernel smoothing, C5 - Econometric Modeling, Markov processes: hypothesis testing, C2 - Single Equation Models, empirical likelihood, Mathematics - Statistics Theory, C6 - Mathematical Methods, Statistics Theory (math.ST), Lévy-driven processes, 01 natural sciences, Computer Programs, Multiple Variables, C4 - Econometric and Statistical Methods: Special Topics, Characteristic functions, other transforms, jel:G0, C7 - Game Theory and Bargaining Theory, jel:C0, FOS: Mathematics, jel:C1, C9 - Design of Experiments, jel:C2, jel:C3, Programming Models, jel:C4, 0101 mathematics, jel:C5, jel:C6, C3 - Multiple or Simultaneous Equation Models, jel:C7, jel:C8, conditional characteristic function, Markov processes: estimation, hidden Markov models, Mathematical and Simulation Modeling, Computational problems in statistics, diffusion processes, Conditional characteristic function, Diffusion processes, Empirical likelihood, Kernel smoothing, L´evy driven processes, 16. Peace & justice, Single Variables, C0 - General, Nonparametric estimation

Περιγραφή αρχείου: application/xml; application/pdf

Σύνδεσμος πρόσβασης: http://arxiv.org/abs/1302.0122
https://mpra.ub.uni-muenchen.de/46273/1/MPRA_paper_46273.pdf
http://projecteuclid.org/euclid.bj/1358531748

Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions

Συγγραφείς: Song Xi Chen A, Liang Peng C, Cindy L. Yu A

Συνεισφορές: The Pennsylvania State University CiteSeerX Archives

Πηγή: http://www.math.gatech.edu/~peng/publication/CCF.pdf.

Θεματικοί όροι: Conditional characteristic function, Diffusion processes, Empirical likelihood, Kernel smoothing, Lévy driven processes 1

Περιγραφή αρχείου: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.155.445; http://www.math.gatech.edu/~peng/publication/CCF.pdf

Διαθεσιμότητα: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.155.445
http://www.math.gatech.edu/~peng/publication/CCF.pdf