Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Thiago do Rêgo Sousa"'
Autor:
Robert Stelzer, Thiago do Rêgo Sousa
Publikováno v:
Scandinavian Journal of Statistics. 49:681-717
For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for its paramete
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2566a75c95564064d16590bfe8ba3a7d
https://doi.org/10.1111/sjos.12531
https://doi.org/10.1111/sjos.12531
Publikováno v:
Scandinavian Journal of Statistics. 46:765-801
We advocate the use of an Indirect Inference method to estimate the parameter of a COGARCH(1,1) process for equally spaced observations. This requires that the true model can be simulated and a reasonable estimation method for an approximate auxiliar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07c6d931ada75e321191db0fe7efc392
https://doi.org/10.1111/sjos.12371
https://doi.org/10.1111/sjos.12371
Autor:
Angélica Amorim Amato, Maria Rita Carvalho Garbi Novaes, Thiago do Rêgo Sousa, Marta Rodrigues de Carvalho, Ricardo Eccard da Silva
Publikováno v:
European Journal of Clinical Pharmacology. 74:1001-1010
Participants’ rights and safety must be guaranteed not only while a clinical trial is being conducted but also when a clinical trial finishes. The criteria for post-trial access to experimental drugs, however, are unclear in various countries. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::49e46ca98c31a2852b0f5474c3a0fe21
https://doi.org/10.1007/s00228-018-2474-9
https://doi.org/10.1007/s00228-018-2474-9
Publikováno v:
Selecciones Matemáticas. 3:25-31
Stable distributions are extensively used to analyze earnings of financial assets, such as exchange rates and stock prices assets. In this paper we propose a simple and strongly consistent estimator for the scale parameter of a symmetric stable Levy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5568e9ebec742c59d40a5f1115848e80
https://doi.org/10.17268/sel.mat.2016.01.04
https://doi.org/10.17268/sel.mat.2016.01.04
Publikováno v:
SSRN Electronic Journal.
We advocate the use of an Indirect Inference method to estimate the parameter of a COGARCH(1,1) process for equally spaced observations. This requires that the true model can be simulated and a reasonable estimation method for an approximate auxiliar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6523546fa30c8c198767b7548d02e2ec
https://doi.org/10.2139/ssrn.3112107
https://doi.org/10.2139/ssrn.3112107
Publikováno v:
Journal of Computational and Applied Mathematics. 242:1-11
In this work, first we obtain a representation of the convolution between two asymmetric stable random variables of different parameters in terms of the Fox H-function. In the symmetric case we obtain, in terms of the Meijer G-function, a computable
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1678911b943993dfc885cc558d1b902f
https://doi.org/10.1016/j.cam.2012.10.013
https://doi.org/10.1016/j.cam.2012.10.013
Publikováno v:
Communications in Nonlinear Science and Numerical Simulation. 17:5088-5096
In this paper a generalized-t distribution is introduced and used as an alternative to the symmetric stable distribution. To do so, the χ 2 -divergence is presented and minimized to approximate the symmetric stable distribution, as accurately as pos
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::016c1d86c9cf4d13fae3c3b8d13a02e9
https://doi.org/10.1016/j.cnsns.2012.05.013
https://doi.org/10.1016/j.cnsns.2012.05.013