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Ornstein-Uhlenbeck type processes with heavy distribution tails
Ornstein-Uhlenbeck process heavy tails regular variation rank cor-relation Gauss copula log returns modelling
2011/3/25
We consider a transformed Ornstein-Uhlenbeck process model that can be a good candidate for modelling real-life processes characterized by a combination of time-reverting behaviour with heavy distribu...
When Does a Randomly Weighted Self-normalized Sum Converge in Distribution?
Domain of attraction selfCnormalize sums regular variation
2009/4/24
We determine exactly when a certain randomly weighted, self--normalized sum converges in distribution, partially verifying a 1965 conjecture of Leo Breiman. We, then, apply our results to characterize...