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On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility,Kernel estimator Pricing errors
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2016/1/25
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Testing the statistical significance of an ultra-high-dimensional naïve Bayes classfier
Binary Predictor Hypothesis Testing Na?ve Bayes Supervised Learning
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2016/1/25
The na?ve Bayes approach is one of the most popular methods used for classi?cation. Nevertheless, how to test its statistical signi?cance under an ultra-high-dimensional (UHD) setup is not well unders...
Multivariate Regression Shrinkage and Selection by Canonical Correlation Analysis
Adaptive Lasso Canonical Correlation Analysis Multivariate Regression
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2016/1/25
The problem of regression shrinkage and selection for multivariate regression is considered. The goal is to consistently identify those variables relevant for regression. This is done not only for pre...
Weak extinction versus global exponential growth of total mass for superdi usions corresponding to the operator Lu + βu − ku2
superdiffusion superprocess measure-valued process gauge theorem Kato class growth bound
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2016/1/25
Consider a superdiffusion X on R d corresponding to the semilinear operator A(u) = Lu + βu − ku 2 , where L is a second order elliptic operator, β(·) is in the Kato class and bounded from above,...
Small Value Probabilities for Supercritical Branching Processes with Immigration
Supercritical Galton-Watson branching process small value probability immigration
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2016/1/25
We consider a supercritical Galton-Watson branching process with immigration. It is well known that under suitable conditions on the offspring and immigration distributions, there is a finite,strictly...
On Pattern Recovery of The Fused Lasso
Confidence interval jackknife empirical likelihood risk measure
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2016/1/25
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
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2016/1/25
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
Balanced Incomplete Latin Square Designs
Balanced incomplete Latin square information matrix optimality orthogonal Latin square
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2016/1/25
Latin squares have been widely used to design an experiment where the blocking factors and treatment factors are of the same levels. For some experiments, the size of blocks may be less than the numbe...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
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2016/1/25
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
Estimation in semiparametric models with missing data
Copulas imputation kernel smoothing missing at random nuisance function partially linear model
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2016/1/25
We propose a novel varying coefficient model, called princi-pal varying coefficient model (PVCM), by characterizing the varying coeffi-cients through linear combinations of a few principal functions. ...
Preconditioning is a technique from numerical linear algebra that can accelerate algorithms to solve systems of equations. In this pa-per, we demonstrate how preconditioning can circumvent a stringent...
Preconditioning to Comply with the Irrepresentable Conditio
Preconditioning Lasso Sign consistency
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2016/1/25
Preconditioning is a technique from numerical linear algebra that can accelerate algorithms to solve systems of equations. In this pa-per, we demonstrate how preconditioning can circumvent a stringent...
Reversible MCMC on Markov equivalence classes of sparse directed acyclic graphs
Sparse graphical model Reversible Markov chain Markov equivalence class
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2016/1/25
Graphical models are popular statistical tools which are used to represent dependent or causal complex systems. Statistically equivalent causal or directed graphical models are said to belong to a Mar...
Multitype Branching Brownian Motion and Traveling Waves
Multitype branching Brownian motion Spine approach Ad- ditive martingale Traveling wave solution
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2016/1/25
This article studies the parabolic system of equations which is closely related to multitype branching Brownian motion. Particular attention is paid to the monotone traveling wave solutions of this sy...
Online Crowdsourcing Subjective Image Quality Assessment
Subjective Image Quality Assessment Online Crowdsourc- ing Paired Comparison
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2016/1/25
Recently, HodgeRank on random graphs has been proposed as an effective framework for multimedia quality assessment problem based on paired comparison method. With the ran-dom design on large graphs, i...