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On the Values of Optimal Stopping Problems for Generalized Averages of Discrete Random Variables
Optimal Stopping Problems Generalized Averages Discrete Random Variables
2009/9/17
On the Values of Optimal Stopping Problems for Generalized Averages of Discrete Random Variables。
Testing for Differences Among Discrete Distributions: An Application of Model-Based Clustering
Differences Discrete Distributions Model-Based Clustering
2009/9/17
Testing for Differences Among Discrete Distributions: An Application of Model-Based Clustering。
On the geometry of discrete exponential families with application to exponential random graph models
Exponential families normal cone maximum likelihood estimates exponential random graphs
2009/9/16
There has been an explosion of interest in statistical models for analyzing network data, and considerable interest in the class of exponential random graph (ERG) models, especially in connection with...
A Bernstein-Von Mises Theorem for discrete probability distributions
Bernstein-Von Mises Theorem Entropy estimation non-parametric Bayesian statistics Discrete models Concentration inequalities
2009/9/16
We investigate the asymptotic normality of the posterior distribution in the discrete setting, when model dimension increases with sample size. We consider a probability mass function $theta_0$ on $ma...
Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse.
Markov chain state space transition kernel
2009/3/23
We consider a ψ-irreducible, discrete-time Markov chain on a general state space with transition kernel P. Under suitable conditions on the chain, kernels can be treated as bounded linear operators...
Martingale selection problem and asset pricing in finite discrete time
Martingale selection problem asset pricing finite discrete time
2009/3/23
Given a set-valued stochastic process (Vt)t=0,...,T, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors ξt in Vt, admitting an equivalent marting...
Discrete time nonlinear filters with informative observations are stable
Discrete time nonlinear filters informative observation
2009/3/23
The nonlinear filter associated with the discrete time signal-observation model $(X_k,Y_k)$ is known to forget its initial condition as $ktoinfty$ regardless of the observation structure when the sign...
Filtering and parameter estimation for a jump stochastic process with discrete observations
Filtering parameter estimation discrete observations
2009/3/19
A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian settin...
Random walk on a discrete torus and random interlacements
Random walk discrete torus random interlacements
2009/3/19
We investigate the relation between the local picture left by the trajectory of a simple random walk on the torus (Z/NZ)d, d ≥ 3, until u Nd time steps, u > 0, and the model of random interlacements r...
Estimation for Dynamical Systems with Small Noise from Discrete Observations
discrete time observation dynamical systems with small noise M-estimator parametric inference quadratic martingale estimating function
2009/3/10
We consider an efficient estimation of an unknown parameter appearing in both the drift and the diffusion coefficient for a d-dimensional dynamical system with small noise. Asymptotic properties of an...
Discrete Duration Model Having Autoregressive Random Effects with Application to Japanese Diffusion Index
autoregressive random effects discrete proportional hazards model Markov chain Monte Carlo method sequential probit model state space model
2009/3/10
This article describes a semiparametric estimation method for a discrete duration model with autoregressive random effects using Markov chain Monte Carlo techniques, and analyzes the duration of ten m...
Game-Theoretic Derivation of Discrete Distributions and Discrete Pricing Formulas
binomial distribution Cox-Ross-Rubinstein formula hypergeometric distribution lower price Polya's distribution probability protocol replicating strategy upper price
2009/3/5
In this expository paper, we illustrate the generality of the game-theoretic probability protocols of Shafer and Vovk (2001) in finite-horizon discrete games. By restricting ourselves to finite-horizo...
EXTENSIONS OF KATZ–PANJER FAMILIES OF DISCRETE DISTRIBUTIONS
Poisson stopped sums （compound Poisson） geometric stopped sums （compound geometric） Panjer’s algorithm
2009/2/26
by Katz and by Panjer (k = 0), by Sundt and Jewell and by Willmot (k = 1) and, for general k ∈ N, by Hess, Lewald and Schmidt.We investigate the case U ⌢Uniform(γ, 1) with γ ∈ (−1, 1) in d...
COMBINING METHODS IN SUPERVISED CLASSIFICATION：A COMPARATIVE STUDY ON DISCRETE AND CONTINUOUS PROBLEMS
Gaussian classification eigenvalue decomposition multinomial classification conditional independence model convex combining hierarchical combining
2009/2/25
Often in discriminant analysis several models are estimated but based on some validation
criterion, a single model is selected. In the purpose of taking profit from several
potential models, classif...
SPECIAL CHARACTERIZATIONS OF STANDARD DISCRETE MODELS
Characterization of discrete distribution conjugate densities singular representations
2009/2/25
This article presents important properties of standard discrete distributions and its
conjugate densities. The Bernoulli and Poisson processes are described as generators
of such discrete models. A ...