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Page 351 of Mathematical Reviews Vol. , Issue 87a
[page]
1987
Mathematical Reviews
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Liese, Friedrich (DDR-FSU) 87a:60051 Hellinger integrals, error probabilities, and contiguity of Gaussian processes with independent increments and Poisson processes. ...
In the present paper the latter complex-parameter Hellinger integral is calculated for P and Q which are distribution laws of Gaussian processes with independent increments or Poisson point processes. ...
Bayesian Nonparametric Analysis of Multivariate Time Series: A Matrix Gamma Process Approach
[article]
2018
arXiv
pre-print
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This is in line with existing approaches for the univariate case, where the normalized spectral density is modeled similar to a probability density, e.g. with a Dirichlet process mixture of Beta densities ...
In this work, we present a related approach for multivariate time series, with matrix-valued mixture weights induced by a Hermitian positive definite Gamma process. ...
CRM) on X = [0, π] with independent Gamma increments to a completely random Hpd matrix-valued measure with independent matrix-Gamma increments. ...
arXiv:1811.10292v1
fatcat:tsy5754qhrfivebw27dpgogefm
Fourteenth Conference on Stochastic Processes and their Applications
1985
Stochastic Processes and their Applications
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Processes in infinite dimensions and deal with concrete stochastic differential equations from our view-point. ...
In this note we will discuss basic concepts such as random variables, stochastic processes, Wiener processes, stochastic integrals and stochastic differential equations Four/eenth Conference on Stochastic ...
The Influence Function and an Asymptotic Theory for Estimation in Markov Processes
H. Kiinsch, ETH-Zentrum, Ziirich, Switzerland ...
doi:10.1016/0304-4149(85)90039-0
fatcat:vzbbjicirzeobojxq3p3mo32sy
On the Approximation of Geometric Fractional Brownian Motion
[chapter]
2009
Optimality and Risk - Modern Trends in Mathematical Finance
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With this approximation we associate the corresponding pricing model sequence, which has no-arbitrage property and which is complete. ...
We analyze the central limit theorem of Gaigalas and Kaj from the point of view semimartingale limit theorems to have a better understanding of the arbitrage in the limit model. ...
Assume that with respect to the measure Q they are independent Poisson processes with intensity 1 µ , and with respect to the measure P they are independent renewal counting processes, and their interarrival ...
doi:10.1007/978-3-642-02608-9_14
fatcat:subedvpjqfddpmibri7d3mdb3u
Some distance bounds of branching processes and their diffusion limits
[article]
2010
arXiv
pre-print
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We compute exact values respectively bounds of "distances" - in the sense of (transforms of) power divergences and relative entropy - between two discrete-time Galton-Watson branching processes with immigration ...
Implications for asymptotic distinguishability behaviour in terms of contiguity and entire separation of the involved GWI are given, too. ...
We are very grateful to the "Studienstiftung des deutschen Volkes" for the generous grant of the first author. Furthermore, we would also like to thank Andreas Greven for some useful remarks. ...
arXiv:1005.3758v1
fatcat:r53pwoukh5apnh7fmruj2a7vze
Master Index Volumes 1-100
2002
Stochastic Processes and their Applications
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, M., Self-similar processes with independent increments associated with L! ...
., Limit theorems for the square integral of Brownian motion and its increments 41 (1992) 223 Li, W.V., Small ball probabilities for Gaussian Markov processes under the L p , J.-R., Ren, F. ...
as the limit of storage processes 52 (1994) 135 Yamada, K., Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes 80 (1999) 103 Yamada ...
doi:10.1016/s0304-4149(02)00154-0
fatcat:5zmghyapt5d5fp272vy3x63bbq
Bayesian Methods for Function Estimation
[chapter]
2005
Handbook of Statistics
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Viewed as a prior on the cumulative hazard process, the prior can be identified with an independent increment process. ...
When Z(t) is the gamma process, that is an independent increment process with Z(t) ∼ gamma(M G(t), 1), then the resulting distribution of P is Dirichlet process Dir(M, G). ...
doi:10.1016/s0169-7161(05)25013-7
fatcat:qrowze7dhrg4reoxpexrpk6eum
An Empirical Likelihood-based Local Estimation
[article]
2014
arXiv
pre-print
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Simulations illustrate that the local method improves the inference accuracy of EL. ...
Consistency, local asymptotic normality, and asymptotic optimality results hold for the new estimator. ...
Poisson and Gaussian families. ...
arXiv:1403.6782v1
fatcat:wgpo4na6kvbflnjwufit7bym54
Counting Process Systems: Identification and Stochastic Realization
1992
Journal of the Operational Research Society
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The thesis has been prepared at CWI under supervision of J.H. van Schuppen, whose continuous interest and valuable advices were particularly welcome. H. Kwakernaak, my promotor, and R.K. ...
Boel commented on earlier drafts of this monograph. Their remarks and suggestions are also highly appreciated. Mini Middelberg did an excellent job by typing the manuscript. ...
with independent increments. ...
doi:10.2307/2583582
fatcat:nly2ntyapfasvegcrxysu6pcf4
On Fitting Finite Dirichlet Mixture Using ECM and MML
[chapter]
2005
Lecture Notes in Computer Science
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We study a fluid system with single on/off source in which the active (on) and silent periods (off) follow General and Exponential distributions respectively. ...
The system is analysed for different active periods corresponding to the service time of an M/G/1 queue and the busy period of an M/G/1 queue. ...
In the latter case, the process has independent increments and self-similarity exists without long-range dependence. ...
doi:10.1007/11551188_19
fatcat:gtzi5u6emvfyxea3zbklobnvom
Some Dissimilarity Measures of Branching Processes and Optimal Decision Making in the Presence of Potential Pandemics
2020
Entropy
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power divergences and Renyi divergences–between two competing discrete-time Galton-Watson branching processes with immigration GWI for which the offspring as well as the immigration (importation) is arbitrarily ...
Poisson-distributed; especially, we allow for arbitrary type of extinction-concerning criticality and thus for non-stationarity. ...
Conflicts of Interest: The authors declare no conflict of interest. ...
doi:10.3390/e22080874
pmid:33286645
pmcid:PMC7517477
fatcat:ktgwxiiz7jbytfxcilkmmhr3dm
Multivariate estimation of Poisson parameters
2019
Journal of Multivariate Analysis
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Research Council for the five-year research project group FocuStat: Focus Driven Statistical Inference with Complex Data, at the Department of Mathematics (led by N.L.H.), both at University of Oslo. ...
The authors are grateful for partial funding from the PharmaTox Strategic Research Initiative at the Faculty of Mathematics and Natural Sciences, Norway (for E.Aa.S's PhD work), and from the Norwegian ...
A natural class of priors takes G ∼ G(aG 0 , a), say, a Gamma process with independent increments and G(t) ∼ G(aG 0 (t), a). ...
doi:10.1016/j.jmva.2019.104545
fatcat:acsoc76aync5harukvnleflpmq
Guaranteed Local Maximum Likelihood Detection of a Change Point in Nonparametric Logistic Regression
2006
Communications in Statistics - Theory and Methods
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nonhomogeneous Poisson process (NHPP) model is an important class of software reliability models and is widely used in software reliability engineering. ...
to locate a change-point in linear regression models with independent errors distributed according to the Student-t distribution. ...
sense of the mean integrated error. ...
doi:10.1080/03610920500498923
fatcat:jxva2knaxvbpbfmovc7yfwwlhu
Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition
2016
Journal of Applied Statistics
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The working group (WG) CMStatistics comprises a number of specialized teams in various research areas of computational and methodological statistics. ...
The Econometrics and Statistics (EcoSta) and Computational Statistics & Data Analysis (CSDA) are the official journals of the CMStatistics. ...
Poisson process. ...
doi:10.1080/02664763.2016.1263835
fatcat:l5eyielgxrct7hq5ljqeej5ccy
Drift estimation for jump diffusions
[article]
2017
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We are able to proof that even in the case of infinite activity jumps of the driving Lévy process the estimator is asymptotically normal and efficient under weak assumptions on the jump behavior. ...
In the second part of this thesis the problem of drift estimation for discretely observed processes is considered. ...
5 (right), compound Poisson jumps with intensity λ Error distribution ofā n for an Ornstein-Uhlenbeck process with a = 2 (left) and a = 5 (right), σ W = 1, compound Poisson jumps with λ = 3
Figure 7 ...
doi:10.18452/16590
fatcat:l67rqojjknglfpy7rlpcnpk53a
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