搜索结果: 1-5 共查到“概率论 Multivariate”相关记录5条 . 查询时间(0.14 秒)
Heavy tailed solutions of multivariate smoothing transforms
Heavy tailed solutions multivariate smoothing transforms Probability
2012/6/29
Let $N > 1$ be a fixed integer and $(C_1,..., C_N,Q)$ a random element of $GL(d, \R)^N x \R^d$. We consider solutions of multivariate smoothing transforms, i.e. random variables $R$ satisfying $$R \eq...
FunctionaL Regular Variation of Levy-driven Multivariate Mixed Moving Average Processes
cadlag sample paths functional regular variation heavy tails Levy basis mixed moving average process
2012/4/18
We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A...
Max-stable models for multivariate extremes
Copula domain of attraction max-stable distribution spectral measure tail dependence
2012/4/17
Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theo...
An extremal problem with applications to testing multivariate independence
boundary-value problem Green function multivariate indepen-dence asymptotic efficiency of test statistics
2011/1/18
Some problems of statistics can be reduced to extremal problems of minimiz-ing functionals of smooth functions defined on the cube [0, 1]m, m ≥ 2. In this paper, we study a class of extremal problems ...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes optionpri-cing
2010/4/27
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still b...