scholarly journals Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

2014 ◽  
pp. 159-199 ◽  
Author(s):  
Sébastien Darses ◽  
Emmanuel Lépinette
Keyword(s):  
Limit Theorem ◽  
Transaction Costs ◽  
Mean Square Error ◽  
Mean Square ◽  
Hedging Strategy

scholarly journals Mean square error for the Leland–Lott hedging strategy: convex pay-offs

2010 ◽  
Vol 14 (4) ◽  
pp. 625-667 ◽  
Author(s):  
Emmanuel Denis ◽  
Yuri Kabanov
Keyword(s):  
Mean Square Error ◽  
Mean Square ◽  
Hedging Strategy

On a spectral density estimate obtained by averaging periodograms

1985 ◽  
Vol 22 (03) ◽  
pp. 598-610 ◽  
Author(s):  
Rainer Dahlhaus
Keyword(s):  
Limit Theorem ◽  
Spectral Density ◽  
Mean Square Error ◽  
Scale Parameter ◽  
Mean Square ◽  
Time Intervals ◽  
The Mean ◽  
Density Statistic ◽  
Spectral Density Statistic ◽  
Spectral Density Estimate

A spectral density statistic obtained by averaging periodograms over overlapping time intervals is considered where the periodograms are calculated using a data window. The asymptotic mean square error of this estimate for scale parameter windows is determined and, as an example, it is shown that the use of the Tukey–Hanning window leads partially to a smaller mean square error than a window suggested by Kolmogorov and Zhurbenko. Furthermore the Tukey–Hanning window is independent of the unknown spectral density, which is not the case for the Kolmogorov–Zhurbenko window. The mean square error of this estimate is also less than the mean square error of commonly used window estimates. Finally, a central limit theorem for the estimate is established.

On a spectral density estimate obtained by averaging periodograms

1985 ◽  
Vol 22 (3) ◽  
pp. 598-610 ◽  
Author(s):  
Rainer Dahlhaus
Keyword(s):  
Limit Theorem ◽  
Spectral Density ◽  
Mean Square Error ◽  
Scale Parameter ◽  
Mean Square ◽  
Time Intervals ◽  
The Mean ◽  
Density Statistic ◽  
Spectral Density Statistic ◽  
Spectral Density Estimate

A spectral density statistic obtained by averaging periodograms over overlapping time intervals is considered where the periodograms are calculated using a data window. The asymptotic mean square error of this estimate for scale parameter windows is determined and, as an example, it is shown that the use of the Tukey–Hanning window leads partially to a smaller mean square error than a window suggested by Kolmogorov and Zhurbenko. Furthermore the Tukey–Hanning window is independent of the unknown spectral density, which is not the case for the Kolmogorov–Zhurbenko window. The mean square error of this estimate is also less than the mean square error of commonly used window estimates. Finally, a central limit theorem for the estimate is established.

The Bordeaux Automatic Meridian Circle

1978 ◽  
Vol 48 ◽  
pp. 227-228
Author(s):  
Y. Requième
Keyword(s):  
Mean Square Error ◽  
Mean Square ◽  
Meridian Circle ◽  
The Mean ◽  
Full Automation

In spite of important delays in the initial planning, the full automation of the Bordeaux meridian circle is progressing well and will be ready for regular observations by the middle of the next year. It is expected that the mean square error for one observation will be about ±0.”10 in the two coordinates for declinations up to 87°.

Investigation of Accuracy of a Calibrated Estimator of a Ratio by Modelling

2005 ◽  
Vol 10 (4) ◽  
pp. 333-342
Author(s):  
V. Chadyšas ◽  
D. Krapavickaitė
Keyword(s):  
Mean Square Error ◽  
Taylor Series ◽  
Random Sampling ◽  
Finite Population ◽  
Taylor Series Expansion ◽  
Simple Random Sampling ◽  
Population Parameter ◽  
Mean Square ◽  
Parameter Ratio ◽  
Using Data

Estimator of finite population parameter – ratio of totals of two variables – is investigated by modelling in the case of simple random sampling. Traditional estimator of the ratio is compared with the calibrated estimator of the ratio introduced by Plikusas [1]. The Taylor series expansion of the estimators are used for the expressions of approximate biases and approximate variances [2]. Some estimator of bias is introduced in this paper. Using data of artificial population the accuracy of two estimators of the ratio is compared by modelling. Dependence of the estimates of mean square error of the estimators of the ratio on the correlation coefficient of variables which are used in the numerator and denominator, is also shown in the modelling.

Performance analysis of global local mean square error criterion of stochastic linearization for nonlinear oscillator

2019 ◽  
Author(s):  
Nguyen Cao Thang ◽  
Luu Xuan Hung
Keyword(s):  
Performance Analysis ◽  
Mean Square Error ◽  
Nonlinear Oscillators ◽  
Degree Of Freedom ◽  
Equivalent Linearization ◽  
Mean Square ◽  
Error Criterion ◽  
Stochastic Linearization ◽  
Local Mean ◽  
Mean Square Error Criterion

The paper presents a performance analysis of global-local mean square error criterion of stochastic linearization for some nonlinear oscillators. This criterion of stochastic linearization for nonlinear oscillators bases on dual conception to the local mean square error criterion (LOMSEC). The algorithm is generally built to multi degree of freedom (MDOF) nonlinear oscillators. Then, the performance analysis is carried out for two applications which comprise a rolling ship oscillation and two degree of freedom one. The improvement on accuracy of the proposed criterion has been shown in comparison with the conventional Gaussian equivalent linearization (GEL).

Detection of Biomedical Images by Using Bio-inspired Artificial Intelligent

2020 ◽  
Vol 38 (2A) ◽  
pp. 255-264
Author(s):  
Hanan A. R. Akkar ◽  
Sameem A. Salman
Keyword(s):  
Neural Network ◽  
Artificial Neural Network ◽  
Mean Square Error ◽  
Average Rate ◽  
Mean Square ◽  
Performance Measurements ◽  
Artificial Intelligent ◽  
Average Mean Square Error ◽  
Artificial Neural ◽  
Artificial Neural Network Ann

Computer vision and image processing are extremely necessary for medical pictures analysis. During this paper, a method of Bio-inspired Artificial Intelligent (AI) optimization supported by an artificial neural network (ANN) has been widely used to detect pictures of skin carcinoma. A Moth Flame Optimization (MFO) is utilized to educate the artificial neural network (ANN). A different feature is an extract to train the classifier. The comparison has been formed with the projected sample and two Artificial Intelligent optimizations, primarily based on classifier especially with, ANN-ACO (ANN training with Ant Colony Optimization (ACO)) and ANN-PSO (training ANN with Particle Swarm Optimization (PSO)). The results were assessed using a variety of overall performance measurements to measure indicators such as Average Rate of Detection (ARD), Average Mean Square error (AMSTR) obtained from training, Average Mean Square error (AMSTE) obtained for testing the trained network, the Average Effective Processing Time (AEPT) in seconds, and the Average Effective Iteration Number (AEIN). Experimental results clearly show the superiority of the proposed (ANN-MFO) model with different features.

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