This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matrix is designed via a certain combination of the local averages and the Hayashi-Yoshida estimator. Our method doe...

Article history: Received 21 May 2013 Received in revised form 8 November 2013 Accepted 24 November 2013 Available online 6 December 2013

State-of-the-art score normalization methods use generative models that rely on sometimes unrealistic assumptions. We propose a novel parameter estimation method for score normalization based on logistic regression, using the expected parameters from past queries. Experiments on the Gov2 and CluewebA collection indicate that our method is consistently more precise in predicting the number of re...

This paper treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market in one phase and then applying the resulting model to a stochastic optimal portfolio application in a second phase. The new developments are the use of uniform jump-amplitude distributions and time-varying ...

When estimating the Greeks, such as the ∆, the general problem involves a random variable Y = Y (α) (such as a discounted payoff) that depends on a parameter α of interest (such as initial price S0, or volitility σ, etc.). In addition to estimating the expected value K(α) def = E(Y (α)) (this might be, for example, the price of an option), we wish to estimate the sensitivity of E(Y ) with respe...

In this paper, we have provided a model to minimize the unnecessary handovers from a cellular network to a WLAN. Exploiting traveling distance prediction method, the proposed handover necessity estimation mechanism uses distance threshold parameters to avoid unnecessary handovers. Our analysis and simulation results suggest that the proposed mechanism can keep the probabilities of handover fail...

Statistical process adjustment (SPA) is utilised prevalently in novel manufacturing scenarios. When quality characteristics rather than internal process variables are inspected for the purpose of quality control, data with different resolutions may be collected. This paper proposes a Bayesian framework for parameter estimation when only categorical observations are available. The proposed metho...

This paper investigates vision-based cooperative estimation of a 3D target object pose for visual sensor networks. In our previous works, we presented an estimation mechanism called networked visual motion observer achieving averaging of local pose estimates in real time. This paper extends the mechanism so that it works even in the presence of cameras not viewing the target due to the limited ...

Recognizing entailment at the lexical level is an important and commonly-addressed component in textual inference. Yet, this task has been mostly approached by simplified heuristic methods. This paper proposes an initial probabilistic modeling framework for lexical entailment, with suitable EM-based parameter estimation. Our model considers prominent entailment factors, including differences in...

No wonder you activities are, reading will be always needed. It is not only to fulfil the duties that you need to finish in deadline time. Reading will encourage your mind and thoughts. Of course, reading will greatly develop your experiences about everything. Reading inverse problem theory and methods for model parameter estimation is also a way as one of the collective books that gives many a...