Bayesian Log-Bilinear Mortality Projection with a Random Walk with Drift

2019 ◽  
Author(s):  
Vered Shapovalov ◽  
Zinoviy Landsman ◽  
Udi Makov
Keyword(s):  
Random Walk ◽  
Mortality Projection ◽  
Random Walk With Drift

A note on the distribution of the least squares estimator of a random walk with drift

1989 ◽  
Vol 29 (3) ◽  
pp. 225-230 ◽  
Author(s):  
Svend Hylleberg ◽  
Grayham E. Mizon
Keyword(s):  
Random Walk ◽  
Least Squares ◽  
Least Squares Estimator ◽  
Random Walk With Drift

scholarly journals Optimal Strategies for Prudent Investors

1998 ◽  
Vol 01 (04) ◽  
pp. 473-486 ◽  
Author(s):  
Roberto Baviera ◽  
Michele Pasquini ◽  
Maurizio Serva ◽  
Angelo Vulpiani
Keyword(s):  
Growth Rate ◽  
Random Walk ◽  
Exponential Growth ◽  
Optimal Strategies ◽  
Maximum Amount ◽  
Exponential Growth Rate ◽  
One Dimensional ◽  
Economic Level ◽  
Random Walk With Drift ◽  
Analytical Expressions

We consider a stochastic model of investment on an asset in a stock market for a prudent investor. she decides to buy permanent goods with a fraction α of the maximum amount of money owned in her life in order that her economic level never decreases. The optimal strategy is obtained by maximizing the exponential growth rate for a fixed α. We derive analytical expressions for the typical exponential growth rate of the capital and its fluctuations by solving an one-dimensional random walk with drift.

scholarly journals A MODELIZACIÓN DOS CAMBIOS NA LONXEVIDADE DA POBLACIÓN DO PAÍS BASCO E A SÚA ESTIMACIÓN FUTURA

2015 ◽  
Vol 24 (2) ◽  
pp. 45-54
Author(s):  
Amaia Jone BETZUEN ÁLVAREZ ◽  
Amancio BETZUEN ZALBIDEGOITIA
Keyword(s):  
Random Walk ◽  
Random Walk With Drift

O obxectivo deste traballo é estimar a tendencia futura da mortaldade da poboación doPaís Basco a través da mellora da mortaldade para o período 1991-2013, para o cal oestudo é validable. A investigación realízase a través dun modelo estocástico bietápico aoque realizamos dúas achegas. Por unha banda, unha información inicial supervisada queposibilitará prognosticar mellor o avellentamento da poboación do País Basco baixo oscriterios de Solvencia II. E por outra, na estimación inclúese unha variante na extensión doparámetro do tempo de calendario mediante unha regresión logarítmica lineal no canto dacoñecida “random walk with drift”. 

Compound Perpendicular Diffusion of Cosmic Rays and Field Line Random Walk, with Drift

2008 ◽  
Author(s):  
G. M. Webb ◽  
J. A. le Roux ◽  
G. P. Zank ◽  
E. Kh. Kaghashvili ◽  
G. Li ◽  
...  
Keyword(s):  
Random Walk ◽  
Cosmic Rays ◽  
Field Line ◽  
Random Walk With Drift ◽  
Perpendicular Diffusion

scholarly journals Urn-related random walk with drift $\rho x^\alpha / t^\beta$

2008 ◽  
Vol 13 (0) ◽  
pp. 944-960 ◽  
Author(s):  
Mikhail Menshikov ◽  
Stanislav Volkov
Keyword(s):  
Random Walk ◽  
Random Walk With Drift

A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence

1995 ◽  
Vol 48 (3-4) ◽  
pp. 221-228 ◽  
Author(s):  
Niels Haldrup ◽  
Svend Hylleberg
Keyword(s):  
Random Walk ◽  
Least Squares ◽  
Least Squares Estimator ◽  
Random Walk With Drift

scholarly journals Is It Possible to Beat the Random Walk Model in Exchange Rate Forecasting? More Evidence for Brazilian Case.

2016 ◽  
Vol 14 (1) ◽  
pp. 65
Author(s):  
Emerson Fernandes Marçal ◽  
Eli Hadad Junior
Keyword(s):  
Exchange Rate ◽  
Random Walk ◽  
Exchange Rate Regime ◽  
Forecast Accuracy ◽  
Structural Models ◽  
Extensive Study ◽  
Forecast Combination ◽  
Correction Technique ◽  
Random Walk With Drift ◽  
Floating Exchange Rate

Abstract The seminal study of Meese et al. (1983) on exchange rate forecastability had a great impact on the international finance literature. The authors showed that exchange rate forecasts based on structural models are worse than a naive random walk. This result is known as the Meese--Rogoff (MR) puzzle. Although the validity of this result has been checked for many currencies, studies for the Brazilian currency are not common. In 1999, Brazil adopted the dirty floating exchange rate regime. Rossi (2013) ran an extensive study on the MR puzzle but did not analyse Brazilian data. Our goal is to run a “pseudo real-time experiment” to investigate whether forecasts based on econometric models that use the fundamentals suggested by the exchange rate monetary theory of the 80s can beat the random model for the case of the Brazilian currency. Our work has three main differences with respect to Rossi (2013). We use a bias correction technique and forecast combination in an attempt to improve the forecast accuracy of our projections. We also combine the random walk projections with the projections of the structural models to investigate if it is possible to further improve the accuracy of the random walk forecasts. However, our results are quite in line with Rossi (2013). We show that it is not difficult to beat the forecasts generated by the random walk with drift using Brazilian data, but that it is quite difficult to beat the random walk without drift. Our results suggest that it is advisable to use the random walk without drift, not only the random walk with drift, as a benchmark in exercises that claim the MR result is not valid.

Linearity tests under the null hypothesis of a random walk with drift

2015 ◽  
Vol 57 (2) ◽  
pp. 407-418
Author(s):  
Rongguo Yan ◽  
Lingxiang Zhang
Keyword(s):  
Random Walk ◽  
Null Hypothesis ◽  
Random Walk With Drift
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