_________________________________________________________________ In this paper, we provide a method for constructing confidence intervals for the variance that exhibit guaranteed coverage probability for any sample size, uniformly over a wide class of probability distributions. In contrast, standard methods achieve guaranteed coverage only in the limit for a fixed distribution or for any sampl...

[5] Caliebe, A. Symmetric Fixed Points of a Smoothing Transformation. Adv. Appl. Probab. 35 (2003), 377–394. [6] Caliebe, A. Representation of fixed points of a smoothing transformation. Mathematics and computer science. III (2004), 311–324, Trends Math., Birkhäuser, Basel. [7] Caliebe, A. and Rösler, U. Fixed points with finite variance of a smoothing transformation. Stochastic Process. Appl. ...

We show that Black Capital Asset Pricing Model (Black CAPM) is extremely sensitive to the choice of the market portfolio and becomes unstable as market portfolios approach the Global Minimum-Variance portfolio. When market portfolios approach the minimum-variance portfolio, the expected return on the zero beta asset approaches negative infinity and its variance increases rapidly. Moreover, expe...

This paper describes a design for a recursive least-squares Wiener fixed-interval smoother using the covariance information in linear discrete-time stochastic systems. The estimators require information from the observation matrix, the system matrix for the state variable, related to the signal, the variance of the state variable, the cross-variance function of the state variable with the obser...

The sommer package has been developed to provide R users with a powerful mixed model solver for different genetic and non-genetic analysis in diploid and polyploid organisms. This package allows the user to estimate variance components for a mixed model with the advantage of specifying the variance-covariance structure of the random effects and obtain other parameters such as BLUPs, BLUEs, resi...

We introduce equity forward variance term-structure models and derive the respective HJM-type arbitrage conditions. We then discuss finitedimensional Markovian representations of the infinite-dimensional fixed time-to-maturity forward variance swap curve and analyse examples of such variance curve functionals. The results are then applied to show that the speed of mean-reversion in standard sto...