Pearson’s correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman’s rho as an alternative dependence measure. Our approach is purely nonparametric and we avoid any kind of model misspecification. We derive hypothesis tests for ...

of the Dissertation Two Approaches to Accelerated Monte Carlo Simulation of Coulomb Collisions

13 task by allowing intervals to be given as values of the input parameters, and generating the plausible behaviors. A similar application in engineering relates to necessary tolerances of various model parameters. Simply simulating many times with dierent combinations of plausible model parameter values, as in Monte Carlo simulation, is likely to be tedious, perhaps impractical, and could also...

Trust in the service provided by any health facility is of vital importance to its sustainability, whether it is a community clinic in a rural area of a developing country or an international telemedicine service. Community health centres can be used as a means of delivering highly accessible, low-cost health service in the developing world. A major strategic issue for planners of such centres ...

Monte Carlo simulation has been used extensively for addressing probabilistic uncertainty in range estimating for construction projects. However, subjective and linguistically expressed information results in added non-probabilistic uncertainty in construction management. Fuzzy logic has been used successfully for representing such uncertainties in construction projects. In practice, an approac...

AlmtraEt--Dispersed phase systems may lx analyzed via population balances or by Monte Carlo simulation methods. This paper establishes the precise mathematical connection between the two procedures. The population balance equation is obtained by averaging the master density equation, while simulation procedures efficiently evaluate the solution to the master density equation by elimination of l...

This paper outlines statistical arguments used in an attempt to determine if cheating occurred on a multiple-choice exam. The arguments include the testimony in a court case involving accusations of cheating on a 100-question professional multiple-choice examination with four choices for each question. In response to the fact that the prosecution employed a witness who was an expert in statisti...

This paper establishes analytically what the asymptotic behavior of the DickeyFuller coefficient tests and the Dickey-Fuller t-statistic tests will be when the true data-generating process is a trigonometric function of an integrated process. Using some recently established limit theorems, it is shown that for such a data generating process, the asymptotic behavior of these unit root tests is r...

Process capability analysis has been developed for assessing quality performance. In the paper, process capability analysis is utilized to measure business performance. In practice, lifetime performance index CL is used as a means of measuring business performance, where L is the lower specification limit. In the technology of data transformation, this study constructs a maximum likelihood esti...

In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later we study the case of Asian options where close formulas are not available, and we also open the view for including more ex...