Zobrazeno 1 - 10
of 14
pro vyhledávání: '"101019 Stochastik"'
Autor:
Kevin Kurt, Ruediger Frey
Publikováno v:
Stochastic Processes and their Applications. 153:391-422
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a function of an exogenous Markov process. MMAPs allow for richer models i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::94466b846c5bcce7b36405200fb34e58
https://doi.org/10.1016/j.spa.2022.08.009
https://doi.org/10.1016/j.spa.2022.08.009
Publikováno v:
Finance and Stochastics. 25(1):133-165
Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::1779aa5dfd50d1400d30c18b0bfaa782
https://research.wu.ac.at/de/publications/9d205128-c903-410a-9343-4f966d837377
https://research.wu.ac.at/de/publications/9d205128-c903-410a-9343-4f966d837377
Publikováno v:
Journal of Statistical Software, Vol 94, Iss 1, Pp 1-64 (2020)
Journal of Statistical Software; Vol 94 (2020); 1-64
Journal of Statistical Software; Vol 94 (2020); 1-64
Optimization plays an important role in many methods routinely used in statistics, machine learning and data science. Often, implementations of these methods rely on highly specialized optimization algorithms, designed to be only applicable within a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::135f6d822b93043f4ac53ddcb3e256a7
https://www.jstatsoft.org/index.php/jss/article/view/3289
https://www.jstatsoft.org/index.php/jss/article/view/3289
Publikováno v:
Journal of Credit Risk. 16(4):1-28
We propose a novel framework for credit risk modeling, where default or failure information and rating or expert information are jointly incorporated in the model. These sources of information are modeled as response variables in a multivariate ordin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e094f41a9e4748037eccf3b366a7ccd2
https://doi.org/10.21314/JCR.2020.264
https://doi.org/10.21314/JCR.2020.264
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a function of an exogenous Markov process. MMAPs allow for richer models i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::71e5d3f5dba3820e202c073c3ef4f396
https://research.wu.ac.at/de/publications/94d2650b-f13d-4d8a-bee9-70a3afe8e699
https://research.wu.ac.at/de/publications/94d2650b-f13d-4d8a-bee9-70a3afe8e699
Autor:
Vana Gür, Laura, Hornik, Kurt
Publikováno v:
Statistical Modelling.
In this article, we propose a longitudinal multivariate model for binary and ordinal outcomes to describe the dynamic relationship among firm defaults and credit ratings from various raters. The latent probability of default is modelled as a dynamic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e48173d222ff1fdabf59c3847157b313
https://doi.org/10.1177/1471082X211057610
https://doi.org/10.1177/1471082X211057610
Relative risks are estimated to assess associations and effects due to their ease of interpretability, e.g., in epidemiological studies. Fitting log-binomial regression models allows to use the estimated regression coefficients to directly infer the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d55b2d3a4b0da2b7d5938cd405bab311
http://www.hsl.rl.ac.uk/ipopt/
http://www.hsl.rl.ac.uk/ipopt/
Autor:
Paul Murrell, Jason C. Fisher, Claus O. Wilke, Ross Ihaka, Kurt Hornik, Claire D. McWhite, Reto Stauffer, Achim Zeileis
Publikováno v:
Journal of Statistical Software, Vol 96, Iss 1, Pp 1-49 (2020)
Journal of Statistical Software; Vol 96 (2020); 1-49
Journal of Statistical Software; Vol 96 (2020); 1-49
The R package colorspace provides a flexible toolbox for selecting individual colors or color palettes, manipulating these colors, and employing them in statistical graphics and data visualizations. In particular, the package provides a broad range o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28248d28451e7db9c2ab16bcb1cca6e2
http://www.foastat.org
http://www.foastat.org
Publikováno v:
Remote Sensing. 12(8)
We studied the applicability of point clouds derived from tri-stereo satellite imagery for semantic segmentation for generalized sparse convolutional neural networks by the example of an Austrian study area. We examined, in particular, if the distort
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::7b05cb7bdc2fb0333447b20a2f1b8147
https://doi.org/10.3390/rs12081289
https://doi.org/10.3390/rs12081289
Autor:
Sercan Gür, Klaus Pötzelberger
Publikováno v:
Monte Carlo Methods and Applications.
The paper analyzes the sensitivity of boundary crossing probabilities of the Brownian motion to perturbations of the boundary. The first- and second-order sensitivities, i.e. the directional derivatives of the probability, are derived. Except in case
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::588b11b3688431d77313f134c3127075
https://research.wu.ac.at/de/publications/cc1450d4-7e5e-485e-90b6-081a6630e9ae
https://research.wu.ac.at/de/publications/cc1450d4-7e5e-485e-90b6-081a6630e9ae