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Shuffle of min’s random variable approximations of bivariate copulas’realization
Copula Shuffle of Min approximation Narrow bounds of copula
2016/1/26
The comonotonicity and countermonotonicity provide intuitive upper and lower depen-dence relationship between random variables. This paper constructs the shuffle of min’s ran-domvariableapproximations...
Shuffle of min’s random variable approximations of bivariate copulas’realization
random variable approximations bivariate copulas realization
2016/1/20
The comonotonicity and countermonotonicity provide intuitive upper and lower depen-dence relationship between random variables. This paper constructs the shuffle of min’s ran-domvariableapproximations...
Spatial Panels: Random Components vs. Fixed Effects
Random components Fixed e¤ects Maximum likelihood estimation Pooling
2016/1/19
This paper investigates spatial panel data models with a space-time …lter in disturbances. We consider their estimation by both …xed e¤ects and random e¤ects speci…cations. With a between equation pro...
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...
Random matrix approach to the dynamics of stock inventory variations
Random matrix approach dynamics stock inventory variations
2012/3/2
We study the cross-correlation matrix $C_{ij}$ of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of inventory variation...
Adaptive estimation in the nonparametric random coefficients binary choice model by needlet thresholding
Discrete choice models random coefficients inverse problems
2011/7/6
In this article we consider the estimation of the joint distribution of the random coefficients and error term in the nonparametric random coefficients binary choice model. In this model from economic...
A self-similar process arising from a random walk with random environment in random scenery
birth–death process random environment random scenery random walk self-similar process
2011/3/24
In this article, we merge celebrated results of Kesten and Spitzer [Z. Wahrsch. Verw. Gebiete 50 (1979) 5-25] and Kawazu and Kesten [J. Stat. Phys. 37 (1984) 561-575]. A random walk performs a motion ...
Some results on random design regression with long memory errors and predictors
memory errors predictors random design
2011/3/24
This paper studies nonparametric regression with long memory (LRD) errors and predictors. First, we formulate general conditions which guarantee the standard rate of convergence for a nonparametric ke...
Graver basis for an undirected graph and its application to testing the beta model of random graphs
Markov basis Markov chain Monte Carlo Rasch model toric ideal
2011/3/21
In this paper we give an explicit and algorithmic description of Graver basis for the toric ideal associated with a simple undirected graph and apply the basis for testing the beta model of random gra...
A Condition for Weak Disorder for Directed Polymers in Random Environment
Directed polymer in random environment weak disorder size-biasing
2009/4/28
We give a sufficient criterion for the weak disorder regime of directed polymers in random environment, which extends a well-known second moment criterion. We use a stochastic representation of the si...