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Direct Regression Modelling of High-order Moments in Big Data
Big data Higher-order moment U-statistics Estimating equation Divide-and-conquer
2016/1/26
Big data problems present great challenges to statisti-cal analyses, especially from the computational side. In this paper, we consider regression estimation of high-order mo-ments in big data problem...
Saddlepoint Approximation for Moments of Random Variables
Saddlepoint Approximation Higher moments Sums of i.i.d.ran- dom variables
2016/1/19
In this paper we introduce a saddlepoint approximation method for higher-order moments like E(S − a) m+ ,a > 0, where the random variable S in these expectations could be a single random variabl...
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
adaptive estimation asymptotic equivalence asynchronous ob-servations integrated covolatility matrix quadratic covariation semiparametric eciency,microstructure noise spectral estimation
2013/4/28
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high...
Moments of the Riesz distribution
Wishart distribution Riesz distribution random matrix,expectation variance-covariance matrix.
2013/4/28
This article derives the first two moments of the two versions of the Riesz distribution in the terms of their characteristic functions.
Moments and Absolute Moments of the Normal Distribution
Moments Absolute Moments Normal Distribution
2012/11/22
We present formulas for the (raw and central) moments and absolute moments of the normal distribution. We note that these results are not new, yet many textbooks miss out on at least some of them. Hen...
Correction on Moments of minors of Wishart matrices
Compound matrix graphical models multivariate analysis random determinant random matrix tetrad.
2012/9/17
Theorem 5.7 in [1] gives a formula for the variance of a minor (i.e., a sub-determinant) of a Wishart random matrix. The formula has to be corrected as follows.
Tchebycheff systems and extremal problems for generalized moments: a brief survey
Tchebycheff systems Markov systems extremal problems
2011/7/19
A brief presentation of basics of the theory of Tchebycheff and Markov systems of functions and its applications to extremal problems for integrals of such functions is given.
Covariance Estimation for Distributions with 2+εMoments
Covariance Estimation Distributions 2+εMoments
2011/7/7
We study the minimal sample size N=N(n) that suffices to estimate the covariance matrix of an n-dimensional distribution by the sample covariance matrix in the operator norm, and with an arbitrary fix...
Copula representation of bivariate L-moments : A new estimation method for multiparameter 2-dimentional copula models
Copulas Dependence Multivariate L-moments Parametric estimation
2011/7/5
Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting.
Moments of Sums of Independent and Identically Distributed Random Variables
iid random variables sums of iid random variables
2011/6/20
Let X1,X2, . . . ,Xn be independent and identically distributed random
variables. We present an analytic method for computing the
moments of Sn =
Pn
i=1 Xi. The method is illustrated with a simple...
A semiparametric estimation of copula models based on the method of moments
Moments Copulas Dependence Parametric estimation Archimedean copulas
2011/6/20
Using the classical estimation method of moments, we propose a new semiparametric estima-
tion procedure for multi-parameter copula models. Consistency and asymptotic normality of
the obtained estim...
Bounds on the Maximum Bayes Error Given Moments
the Maximum Bayes Error class-conditional Curto Fialkow’s solutions
2011/6/17
We show how to compute lower bounds for the maximum possible Bayes error if the class-conditional distributions
must satisfy moment constraints. Our approach makes use of Curto and Fialkow’s solution...
Stochastic Bandit Based on Empirical Moments
multiarmed bandit Stochastic Bandit Empirical asymptotic Burnetas Katehakis
2011/6/17
In the multiarmed bandit problem a gambler chooses an arm
of a slot machine to pull considering a tradeoff between exploration and
exploitation. We study the stochastic bandit problem where each arm...
Hidden Markov Mixture Autoregressive Models: Stability and Moments
Hidden Markov Model Mixture Autoregressive Model Stability Dynamic Programming Forecasting
2011/6/16
This paper introduces a new parsimonious structure for mixture
of autoregressive models. The weighting coefficients are determined
through latent random variables, following a hidden Markov model.
...
Exact lower bounds on the exponential moments of Winsorized and truncated random variables
exponential moments exact lower bounds Win-sorization truncation large deviations nonuniform Berry-Esseen bounds
2010/3/9
Exact lower bounds on the exponential moments of min(y,X)
and X I {X < y} are provided given the first two moments of a random
variable X. These bounds are useful in work on large deviations probabi...