scholarly journals Double Kernel Estimation of Sensitivities

2009 ◽  
Vol 46 (03) ◽  
pp. 791-811
Author(s):  
Romuald Elie
Keyword(s):  
Asymptotic Properties ◽  
Kernel Estimation ◽  
Score Function ◽  
Random Variable ◽  
Kernel Functions ◽  
Contingent Claim ◽  
Main Interest ◽  
Stringent Condition ◽  
Technical Interest ◽  
The One

In this paper we address the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance, for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the Greeks has recently been introduced in Elie, Fermanian and Touzi (2007) through a randomization of the parameter of interest combined with nonparametric estimation techniques. In this paper we study another type of estimator that turns out to be closely related to the score function, which is well known to be the optimal Greek weight. This estimator relies on the use of two distinct kernel functions and the main interest of this paper is to provide its asymptotic properties. Under a slightly more stringent condition, its rate of convergence is the same as the one of the estimator introduced in Elie, Fermanian and Touzi (2007) and outperforms the finite differences estimator. In addition to the technical interest of the proofs, this result is very encouraging in the dynamic of creating new types of estimator for the sensitivities.

scholarly journals Double Kernel Estimation of Sensitivities

2009 ◽  
Vol 46 (3) ◽  
pp. 791-811
Author(s):  
Romuald Elie
Keyword(s):  
Asymptotic Properties ◽  
Kernel Estimation ◽  
Score Function ◽  
Random Variable ◽  
Kernel Functions ◽  
Contingent Claim ◽  
Main Interest ◽  
Stringent Condition ◽  
Technical Interest ◽  
The One

In this paper we address the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance, for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the Greeks has recently been introduced in Elie, Fermanian and Touzi (2007) through a randomization of the parameter of interest combined with nonparametric estimation techniques. In this paper we study another type of estimator that turns out to be closely related to the score function, which is well known to be the optimal Greek weight. This estimator relies on the use of two distinct kernel functions and the main interest of this paper is to provide its asymptotic properties. Under a slightly more stringent condition, its rate of convergence is the same as the one of the estimator introduced in Elie, Fermanian and Touzi (2007) and outperforms the finite differences estimator. In addition to the technical interest of the proofs, this result is very encouraging in the dynamic of creating new types of estimator for the sensitivities.

scholarly journals Asymptotic Properties of Longitudinal Weighted Averages for Strongly Mixing Data

2017 ◽  
Vol 9 (2) ◽  
pp. 65
Author(s):  
Brahima Soro ◽  
Ouagnina Hili ◽  
Sophie Dabo- Niang
Keyword(s):  
Covariance Function ◽  
Asymptotic Properties ◽  
Random Variable ◽  
Weighted Averages ◽  
Strongly Mixing

We present general results of consistency and normality of a real-valued longitudinal random variable. We suppose that this random variable is some formed weighted averages of alpha-mixing data. The results can be applied to within-subject covariance function.

scholarly journals Fractional negative binomial and Pólya processes

2018 ◽  
Vol 38 (1) ◽  
pp. 77-101
Author(s):  
Palaniappan Vellai Samy ◽  
Aditya Maheshwari
Keyword(s):  
Poisson Process ◽  
Negative Binomial ◽  
Random Variable ◽  
Infinitely Divisible ◽  
One Dimensional ◽  
Fractional Poisson Process ◽  
Negative Binomial Process ◽  
The One ◽  
Definition Of ◽  
Binomial Process

In this paper, we define a fractional negative binomial process FNBP by replacing the Poisson process by a fractional Poisson process FPP in the gamma subordinated form of the negative binomial process. It is shown that the one-dimensional distributions of the FPP and the FNBP are not infinitely divisible. Also, the space fractional Pólya process SFPP is defined by replacing the rate parameter λ by a gamma random variable in the definition of the space fractional Poisson process. The properties of the FNBP and the SFPP and the connections to PDEs governing the density of the FNBP and the SFPP are also investigated.

scholarly journals On the equivalence of various definitions of mixed poisson processes

2019 ◽  
Vol 69 (2) ◽  
pp. 453-468
Author(s):  
Demetrios P. Lyberopoulos ◽  
Nikolaos D. Macheras ◽  
Spyridon M. Tzaninis
Keyword(s):  
Probability Distribution ◽  
Poisson Process ◽  
Random Variable ◽  
Poisson Processes ◽  
Counting Processes ◽  
Mixing Parameter ◽  
Mixed Poisson Process ◽  
Probability Spaces ◽  
The One

Abstract Under mild assumptions the equivalence of the mixed Poisson process with mixing parameter a real-valued random variable to the one with mixing probability distribution as well as to the mixed Poisson process in the sense of Huang is obtained, and a characterization of each one of the above mixed Poisson processes in terms of disintegrations is provided. Moreover, some examples of “canonical” probability spaces admitting counting processes satisfying the equivalence of all above statements are given. Finally, it is shown that our assumptions for the characterization of mixed Poisson processes in terms of disintegrations cannot be omitted.

scholarly journals Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations

2011 ◽  
Vol 2011 ◽  
pp. 1-20 ◽  
Author(s):  
Guangchen Wang ◽  
Zhen Wu
Keyword(s):  
Control Systems ◽  
Partial Information ◽  
Random Variable ◽  
Contingent Claim ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Quadratic Optimal Control ◽  
Hedging Problem ◽  
Mean Variance ◽  
Markov Control

This paper is concerned with a mean-variance hedging problem with partial information, where the initial endowment of an agent may be a decision and the contingent claim is a random variable. This problem is explicitly solved by studying a linear-quadratic optimal control problem with non-Markov control systems and partial information. Then, we use the result as well as filtering to solve some examples in stochastic control and finance. Also, we establishbackwardandforward-backwardstochastic differential filtering equations which aredifferentfrom the classical filtering theory introduced by Liptser and Shiryayev (1977), Xiong (2008), and so forth.

scholarly journals Time-Adaptive Statistical Test for Random Number Generators

Entropy ◽  
2020 ◽  
Vol 22 (6) ◽  
pp. 630 ◽  
Author(s):  
Boris Ryabko
Keyword(s):  
Random Number ◽  
Statistical Tests ◽  
Asymptotic Properties ◽  
Test Sequence ◽  
P Value ◽  
Specific Test ◽  
Random Number Generators ◽  
P Values ◽  
Small Deviations ◽  
The One

The problem of constructing effective statistical tests for random number generators (RNG) is considered. Currently, there are hundreds of RNG statistical tests that are often combined into so-called batteries, each containing from a dozen to more than one hundred tests. When a battery test is used, it is applied to a sequence generated by the RNG, and the calculation time is determined by the length of the sequence and the number of tests. Generally speaking, the longer is the sequence, the smaller are the deviations from randomness that can be found by a specific test. Thus, when a battery is applied, on the one hand, the “better” are the tests in the battery, the more chances there are to reject a “bad” RNG. On the other hand, the larger is the battery, the less time it can spend on each test and, therefore, the shorter is the test sequence. In turn, this reduces the ability to find small deviations from randomness. To reduce this trade-off, we propose an adaptive way to use batteries (and other sets) of tests, which requires less time but, in a certain sense, preserves the power of the original battery. We call this method time-adaptive battery of tests. The suggested method is based on the theorem which describes asymptotic properties of the so-called p-values of tests. Namely, the theorem claims that, if the RNG can be modeled by a stationary ergodic source, the value − l o g π ( x 1 x 2 … x n ) / n goes to 1 − h when n grows, where x 1 x 2 … is the sequence, π ( ) is the p-value of the most powerful test, and h is the limit Shannon entropy of the source.

Asymptotic properties of the number of replications of a paired comparison

1974 ◽  
Vol 11 (1) ◽  
pp. 43-52 ◽  
Author(s):  
V. R. R. Uppuluri ◽  
W. J. Blot
Keyword(s):  
Paired Comparison ◽  
Beta Function ◽  
Asymptotic Properties ◽  
Random Variable ◽  
Incomplete Beta Function ◽  
Discrete Random Variable ◽  
World Series ◽  
Mean And Variance ◽  
The Mean ◽  
Made In

A discrete random variable describing the number of comparisons made in a sequence of comparisons between two opponents which terminates as soon as one opponent wins m comparisons is studied. By equating two different expressions for the mean of the variable, a closed form for the incomplete beta function with equal arguments is obtained. This expression is used in deriving asymptotic (m-large) expressions for the mean and variance. The standardized variate is shown to converge to the Gaussian distribution as m→ ∞. A result corresponding to the DeMoivre-Laplace limit theorem is proved. Finally applications are made to the genetic code problem, to Banach's Match Box Problem, and to the World Series of baseball.

Design Sensitivity Method for Sampling-Based RBDO With Varying Standard Deviation

2015 ◽  
Vol 138 (1) ◽  
Author(s):  
Hyunkyoo Cho ◽  
K. K. Choi ◽  
Ikjin Lee ◽  
David Lamb
Keyword(s):  
Standard Deviation ◽  
Design Variable ◽  
Score Function ◽  
Random Variable ◽  
Probability Of Failure ◽  
Design Sensitivity ◽  
Mean Value ◽  
Reliability Based Design ◽  
The Mean ◽  
Sensitivity Method

Conventional reliability-based design optimization (RBDO) uses the mean of input random variable as its design variable; and the standard deviation (STD) of the random variable is a fixed constant. However, the constant STD may not correctly represent certain RBDO problems well, especially when a specified tolerance of the input random variable is present as a percentage of the mean value. For this kind of design problem, the STD of the input random variable should vary as the corresponding design variable changes. In this paper, a method to calculate the design sensitivity of the probability of failure for RBDO with varying STD is developed. For sampling-based RBDO, which uses Monte Carlo simulation (MCS) for reliability analysis, the design sensitivity of the probability of failure is derived using a first-order score function. The score function contains the effect of the change in the STD in addition to the change in the mean. As copulas are used for the design sensitivity, correlated input random variables also can be used for RBDO with varying STD. Moreover, the design sensitivity can be calculated efficiently during the evaluation of the probability of failure. Using a mathematical example, the accuracy and efficiency of the developed design sensitivity method are verified. The RBDO result for mathematical and physical problems indicates that the developed method provides accurate design sensitivity in the optimization process.

scholarly journals Austenite Grain Size Estimtion from Chord Lengths of Logarithmic-Normal Distribution

2017 ◽  
Vol 62 (4) ◽  
pp. 2015-2019
Author(s):  
H. Adrian ◽  
K. Wiencek
Keyword(s):  
Grain Size ◽  
Normal Distribution ◽  
Gamma Distribution ◽  
Interval Estimation ◽  
Random Variable ◽  
Point Estimation ◽  
Size Estimation ◽  
Present Contribution ◽  
Austenite Grain Size ◽  
The One

AbstractLinear section of grains in polyhedral material microstructure is a system of chords. The mean length of chords is the linear grain size of the microstructure. For the prior austenite grains of low alloy structural steels, the chord length is a random variable of gamma- or logarithmic-normal distribution. The statistical grain size estimation belongs to the quantitative metallographic problems. The so-called point estimation is a well known procedure. The interval estimation (grain size confidence interval) for the gamma distribution was given elsewhere, but for the logarithmic-normal distribution is the subject of the present contribution. The statistical analysis is analogous to the one for the gamma distribution.

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