نتایج جستجو برای: skew spectral moment
تعداد نتایج: 232078 فیلتر نتایج به سال:
Using a new measure for predictability combining economic and statistical criteria I find that in the S&P 500 market neither stochastic volatility, nor valuationbased information are advantageous over a homoscedastic return model. The testing framework is based on a benchmark trading strategy with optimal Sharpe ratio. The strategy’s expected excess returns naturally accommodate compensation fo...
One class of random walks with infinite memory, so-called elephant random walks, are simple models describing anomalous diffusion. We present a surprising connection between these models and bond percolation on random recursive trees. We use a coupling between the two models to translate results from elephant random walks to the percolation process. We calculate, besides other quantities, exact...
In this paper we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of [5] and of [8] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only with a lognormal random variable but al...
The formula for the spectral moments is expanded in a series consisting of autocorrelation terms. By using the autocorrelation extrapolation inherent in the maximum entropy method (MEM) for spectral analysis, it is found that good estimates of the moments can be found from a very low order autoregressive model. The motivation for this investigation came from results obtained during spectral ana...
This paper investigates the spectral aspects of Mandarin Chinese sibilant [s̪, ʂ, ɕ] in three vowel context /a, i, u/. Three male and three female speakers of Mandarin Chinese were recorded. To ensure good spectral estimates, frication noise was analyzed using multitaper analysis. For comparison, one female speaker of Polish was analyzed in the same way. A strict ordering was found among Mandari...
We consider a quantum particle in an infinite square potential well of Rn, n = 2, 3, subjected to a control which is a uniform (in space) electric field. Under the dipolar moment approximation, the wave function solves a PDE of Schrödinger type. We study the spectral controllability in finite time of the linearized system around the ground state. We characterize one necessary condition for spec...
in this paper, we propose and study exp-kumaraswamy distribution. some of its properties are derived, including the density function, hazard rate function, quantile function, moments, skewness and kurtosis. adata set isused to illustrate an application of the proposed distribution. also, we obtain a new distribution by transformation onexp-kumaraswamy distribution. new distribution is an...
Classical orthogonal polynomials and matrix polynomials being orthogonal with respect to some Hermitean positive deenite matrix of measures share several properties , e.g., three term recurrencies, Christooel{Darboux formulas; there are connections to the triangular decomposition of the (inverse) moment matrix and to eigenvalue{problems for the banded matrix of recurrence coeecients. Also, a co...
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