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Estimation for Dynamical Systems with Small Noise from Discrete Observations
discrete time observation dynamical systems with small noise M-estimator parametric inference quadratic martingale estimating function
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2009/3/10
We consider an efficient estimation of an unknown parameter appearing in both the drift and the diffusion coefficient for a d-dimensional dynamical system with small noise. Asymptotic properties of an...
Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index
autoregressive random effects discrete proportional hazards model Markov chain Monte Carlo method sequential probit model state space model
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2009/3/10
This article describes a semiparametric estimation method for a discrete duration model with autoregressive random effects using Markov chain Monte Carlo techniques, and analyzes the duration of ten m...
Game-Theoretic Derivation of Discrete Distributions and Discrete Pricing Formulas
binomial distribution Cox-Ross-Rubinstein formula hypergeometric distribution lower price Polya's distribution probability protocol replicating strategy upper price
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2009/3/5
In this expository paper, we illustrate the generality of the game-theoretic probability protocols of Shafer and Vovk (2001) in finite-horizon discrete games. By restricting ourselves to finite-horizo...
EXTENSIONS OF KATZ–PANJER FAMILIES OF DISCRETE DISTRIBUTIONS
Poisson stopped sums （compound Poisson） geometric stopped sums （compound geometric） Panjer’s algorithm
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2009/2/26
by Katz and by Panjer (k = 0), by Sundt and Jewell and by Willmot (k = 1) and, for general k ∈ N, by Hess, Lewald and Schmidt.We investigate the case U ⌢Uniform(γ, 1) with γ ∈ (−1, 1) in d...
COMBINING METHODS IN SUPERVISED CLASSIFICATION：A COMPARATIVE STUDY ON DISCRETE AND CONTINUOUS PROBLEMS
Gaussian classification eigenvalue decomposition multinomial classification conditional independence model convex combining hierarchical combining
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2009/2/25
Often in discriminant analysis several models are estimated but based on some validation
criterion, a single model is selected. In the purpose of taking profit from several
potential models, classif...
SPECIAL CHARACTERIZATIONS OF STANDARD DISCRETE MODELS
Characterization of discrete distribution conjugate densities singular representations
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2009/2/25
This article presents important properties of standard discrete distributions and its
conjugate densities. The Bernoulli and Poisson processes are described as generators
of such discrete models. A ...
Some discrete exponential dispersion models：Poisson-Tweedie and Hinde-Demetrio classes
Negative binomial distribution overdispersion Poisson mixture Tweedie family unit variance function
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2009/2/23
In this paper we investigate two classes of exponential dispersion models (EDMs) for overdispersed count data with respect to the Poisson distribution. The first is a class of Poisson mixture with pos...
Estimation of the spectral density of a homogeneous random stable discrete time field
homogeneous stable fields spectral density estimate
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2009/2/23
In earlier papers, 2π-periodic spectral data windows have been used in spectral estimation of discretetime random fields having finite second-order moments. In this paper, we show that 2π-periodic spe...
On the Geometry of Discrete Exponential Families with Application to Exponential Random Graph Models
Geometry Discrete Exponential Families Exponential Random Graph Models
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2010/3/17
There has been an explosion of interest in statistical models for analyzing network data, and considerable interest in the class of exponential random graph (ERG) models, especially in connection with...
Alternative parametrizations and reference priors for decomposable discrete graphical models
Clique Conjugate family Contingency table Cut Loglinearmodel Multinomial model Natural exponential family
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2010/4/30
For a given discrete decomposable graphical model, we identify several alternative
parametrizations, and construct the corresponding reference priors for
suitable groupings of the parameters. Specif...
Change point estimation for the telegraph process observed at discrete times
discrete observations change point problem volatility regime switch telegraph process
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2010/4/29
The telegraph process models a random motion with finite velocity and
it is usually proposed as an alternative to diffusion models. The process
describes the position of a particle moving on the rea...
Parametric estimation for planar random flights observed at discrete times
asymptotic efficiency discretely observed process planarrandom flight inference for stochastic process
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2010/4/27
We deal with a planar random flight {(X(t), Y (t)), 0 < t T } observed at n + 1 equidistant times ti = in, i = 0, 1, ..., n. The
aim of this paper is to estimate the unknown value of the parameter...