نتایج جستجو برای: k type hyper exponential distribution

تعداد نتایج: 2257219  

Journal: :Physical review. E, Statistical, nonlinear, and soft matter physics 2007
Zoltán Eisler Josep Perelló Jaume Masoliver

Volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, volatility is unobservable and only the price is known. Diffusion theory has many common points with the research on volatility, the key of the analogy being that volatility is a time-dependent...

Journal: :IEEE Trans. Information Theory 1971
W. F. McGee

Sets of unit vectors in N-dimensional Eucl idean vectorspace whose constituent vectors are separated one from another by atleast a fixed distance d, prescr ibed once for all and independent of N,are of interest in theory and practice; they have fondly been called“porcupine codes.” Although an elegant constructive proof of Gilbertshows that the number of vectors in a porcupin...

ژورنال: اندیشه آماری 2013

in this paper, we discuss generating a random sample from gamma distribution using generalized exponential distribution.

2016
Hala A. Fergany

This paper proposed a new general probabilistic multi-item, single-source inventory model with varying mixture shortage cost under two restrictions. One of them is on the expected varying backorder cost and the other is on the expected varying lost sales cost. This model is formulated to analyze how the firm can deduce the optimal order quantity and the optimal reorder point for each item to re...

Journal: :Physical review letters 2004
Alex Roxin Hermann Riecke Sara A Solla

We study the dynamics of excitable integrate-and-fire neurons in a small-world network. At low densities p of directed random connections, a localized transient stimulus results either in self-sustained persistent activity or in a brief transient followed by failure. Averages over the quenched ensemble reveal that the probability of failure changes from 0 to 1 over a narrow range in p; this fai...

Journal: :JCP 2011
Changjun Zhu Zhenchun Hao

In view of the abnormal phenomenon that a flood peak increased in August 2004 and July 2005 along the lower Yellow River, the experiments of this abnormal phenomenon is studied. It is found that the flood increase was due to the decrease the channel roughness in the propagation of high concentrated flood carrying the extra fine sediment which was discharged from xiaolangdi reservoir. Experiment...

Although the random sum distribution has been well-studied in probability theory, inference for the mean of such distribution is very limited in the literature. In this paper, two approaches are proposed to obtain inference for the mean of the Poisson-Exponential distribution. Both proposed approaches require the log-likelihood function of the Poisson-Exponential distribution, but the exact for...

2009
Marc Jeannin Martijn Pistorius

In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Lévy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Lévy model with hyper-exponential jumps. Inversion of these single Laplace transform yields rapid, accurate results. The...

Journal: :Physical review. E, Statistical, nonlinear, and soft matter physics 2010
Oleksii Yu Sliusarenko Vsevolod Yu Gonchar Aleksei V Chechkin Igor M Sokolov Ralf Metzler

We investigate the escape from a potential well of a test particle driven by fractional Gaussian noise with Hurst exponent 0<H<1. From a numerical analysis we demonstrate the exponential distribution of escape times from the well and analyze in detail the dependence of the mean escape time on the Hurst exponent H and the particle diffusivity D. We observe different behavior for the subdiffusive...

Journal: :Chaos 2007
Hermann Riecke Alex Roxin Santiago Madruga Sara A Solla

We study the dynamical states of a small-world network of recurrently coupled excitable neurons, through both numerical and analytical methods. The dynamics of this system depend mostly on both the number of long-range connections or "shortcuts", and the delay associated with neuronal interactions. We find that persistent activity emerges at low density of shortcuts, and that the system undergo...

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