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Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions
Conditional characteristic function Diffusion processes Empirical likelihood Kernel smoothing L′ evy driven processes
2016/1/19
Markov processes are used in a wide range of disciplines including finance.The transition densities of these processes are often unknown. However, the conditionalcharacteristic functions are more like...
Multiply c-decomposable probability measures on R and their characteristic functions
Infinitely divisible measure decomposable probability measure selfdecomposable measure
2009/9/21
We obtain the characteristic functions of distributions
in LC,., i.e. a-times c-decomposable distributions in the class of
infinitely divisible distributions, where 0 < a < m, 0 < c < 1. The
charac...
Finite dimensional determinants as characteristic functions of quadratic Wiener functionals
quadratic Wiener functional entire function generalized determinant
2009/4/28
We show a method and the structure to calculate the characteristic functions of quadratic Wiener functionals by using classical Weierstrass-Hadamard's theory on entire functions. We also examine the i...