Search
Search Results
-
Approximations for the Boundary Crossing Probabilities of Moving Sums of Random Variables
In this paper we study approximations for the boundary crossing probabilities of moving sums of i.i.d. normal random variables. We approximate a...
-
Robust Scan Statistics for Detecting a Local Change in Population Mean for Normal Data
In this article we investigate the performance of robust scan statistics based on moving medians, as test statistics for detecting a local change in...
-
A method for high-dimensional smoothing
We consider the problem of the computation of smoothed additive functional, which are some integrals with respect to the joint smoothing...
-
Maximum loss and maximum gain of spectrally negative Lévy processes
The joint distribution of the maximum loss and the maximum gain is obtained for a spectrally negative Lévy process until the passage time of a given...
-
Credit Risk in an Economy with New Firms Arrivals
We propose a dynamic model to analyze the credit quality of firms. In the market in which they operate, the firms are divided into a finite number of...
-
On robustness of discrete time optimal filters
A new result on stability of an optimal nonlinear filter for a Markov chain with respect to small perturbations on every step is established. An...
-
Multiple Window Scan Statistics for Two Dimensional Poisson Processes
In this article, approximations for the distribution of multiple window scan statistics for Poisson Processes on a two dimensional rectangular region...
-
On robustifying some second order blind source separation methods for nonstationary time series
Blind source separation (BSS) is an important analysis tool in various signal processing applications like image, speech or medical signal analysis....
-
Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
We will study the least square estimator θ̂ T,S for the drift parameter θ of the fractional Ornstein-Uhlenbeck sheet which is defined as the solution...
-
Exact Bayesian Prediction in a Class of Markov-switching Models
Jump-Markov state-space systems (JMSS) are widely used in statistical signal processing. However as is well known Bayesian restoration in JMSS is an...
-
Multiplicative Kalman filtering
We study a non-linear Hidden Markov Model, where the process of interest is the absolute value of a discretely observed Ornstein–Uhlenbeck diffusion,...
-
Approximations for a Three Dimensional Scan Statistic
Let X ijk ,1 ≤ i ≤ N 1 ,1 ≤ j ≤ N 2 , 1 ≤ k ≤ N 3 be a sequence of independent and identically distributed 0 − 1 Bernoulli trials. X ...
-
Wavelet-Based Noise Reduction by Joint Statistical Modeling of cDNA Microarray Images
Complementary DNA (cDNA) microarray experiments involve a large number of error-prone steps, which result in a high level of noise in the resulting...
-
Least-squares Polynomial Estimation from Observations Featuring Correlated Random Delays
The least-squares polynomial filtering and fixed-point smoothing problems of discrete-time signals from randomly delayed observations is addressed,...
-
Multiple Priors and Asset Pricing
The asset pricing implications of a statistical model consistent with multiple priors, or beliefs about return distributions, are developed. It is...
-
Option Pricing for Log-Symmetric Distributions of Returns
We derive an option pricing formula on assets with returns distributed according to a log-symmetric distribution. Our approach is consistent with the...
-
Analytic Nonstationary Processes
In 1952, Cramér introduced a class of nonstationary processes. This broad class of processes contains the important harmonizable and stationary...
-
Probing Option Prices for Information
We present a methodology for extracting information from option prices when the market is viewed as knowledgeable. By expanding the information...
-
Multiple Window and Cluster Size Scan Procedures
Researchers apply scan statistics to test for unusually large clusters of events within a time window of specified length w, or alternatively an...
-
On a New Fluctuation–Dissipation Theorem for Degenerate Stationary Flows
The theory of KM 2 O-Langevin equations for stochastic processes (or more generally, flows in inner product spaces) have been developed in view of...