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pro vyhledávání: '"Upadhye, Neelesh S"'
In this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution and also an error bound between a tempered stable and an alpha stable distribution via Stein method. For the s
Externí odkaz:
http://arxiv.org/abs/2408.09487
In this article, we establish a general covariance identity for infinitely divisible distributions (IDD). Using this result, we derive Cacoullos type variance bounds for the IDD. Applications to some important distributions are discussed, in addition
Externí odkaz:
http://arxiv.org/abs/2408.01237
In this paper, we consider the sums of non-negative integer valued $m$-dependent random variables, and its approximation to the power series distribution. We first discuss some relevant results for power series distribution such as Stein operator, un
Externí odkaz:
http://arxiv.org/abs/2005.00780
Autor:
Upadhye, Neelesh S, Barman, Kalyan
In this article, we first review the connection between L\'evy processes and infinitely divisible random variables, and the classification of infinitely divisible distributions. Using this connection and the L\'evy-Khinchine representation of the cha
Externí odkaz:
http://arxiv.org/abs/2004.07593
Publikováno v:
2021 Journal of Statistical Theory and Practice, 15: 40
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually done through dynamic programming. However, this as
Externí odkaz:
http://arxiv.org/abs/1911.07526
Autor:
S, Aparna B., Upadhye, Neelesh S
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold $d=0$ and $d>0$ under the as
Externí odkaz:
http://arxiv.org/abs/1908.03407
Autor:
Sathe, Aastha M., Upadhye, Neelesh. S.
In this paper, we begin our discussion with some of the well-known methods available in the literature for the estimation of the parameters of a univariate/multivariate stable distribution. Based on the available methods, a new hybrid method is propo
Externí odkaz:
http://arxiv.org/abs/1902.09796
Publikováno v:
In Journal of Computational and Applied Mathematics June 2023 425
Akademický článek
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Autor:
Upadhye, Neelesh S.1 (AUTHOR) neelesh@iitm.ac.in, Chowdhury, Raju1 (AUTHOR)
Publikováno v:
Technometrics. Nov2024, Vol. 66 Issue 4, p561-574. 14p.