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Browsing 01 Mathematical Sciences by Title

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  • Bayesian Estimation of State-Space Models Using Metropolis-Hastings Algorithm with Gibbs Sampling 
    Geweke John; Tanizaki Hisashi (Elsevier, 2001)
    Abstract: In this paper, an attempt is made to show a general solution to nonlinear and/or non-Gaussian state-space modeling in a Bayesian framework, which corresponds to an extension of Carlin et al. (J. Amer. Statist. ...
  • A Bayesian hierarchical model for photometric red shifts 
    Hurn M; Green Peter; Al-Awadhi F (Blackwell Publishing, 2008)
    The Sloan digital sky survey is an extremely large astronomical survey that is conducted with the intention of mapping more than a quarter of the sky. Among the data that it is generating are spectroscopic and photometric ...
  • A Bayesian model averaging approach to enhance value investment 
    Bird Ronald; Gerlach Richard (Feng Chia University, 2006)
    Simple financial ratios such as book-to-market are often used to identify value stocks. This paper examines the extent to which fundamental accounting information can be used to better identify truly undervalued value ...
  • Bayesian model-based clustering procedures 
    Lau Jw; Green Peter (Amer Statistical Assoc, 2006)
    This paper establishes a general framework for Bayesian model-based clustering, in which subset labels are exchangeable, and items are also exchangeable, possibly up to covariate e®ects. It is rich enough to encompass a ...
  • Bayesian refinement of protein functional site matching 
    Mardia Kanti; Nyirongo Vysaul; Green Peter; Gold Nicola; Westhead David (Biomed Central Ltd, 2007)
    Background: Matching functional sites is a key problem for the understanding of protein function and evolution. The commonly used graph theoretic approach, and other related approaches, require adjustment of a matching ...
  • Bayesian variable selection in logistic regression: predicting company earnings direction 
    Bird Ronald; Gerlach Richard; Hall Anthony (Blackwell Publishing, 2003)
    This paper presents a Bayesian technique for the estimation of a logistic regression model including variable selection. As in Ou & Penman (1989), the model is used to predict the direction of company earnings, one year ...
  • A behavioral asset pricing model with a time-varying second moment 
    He Xuezhong; Wang Duo; Chiarella Carl (Elsevier, 2005)
    We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted ...
  • A benchmark approach to finance 
    Platen Eckhard (Blackwell Publishing Asia, 2005)
    This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling, and risk measurement. It is based on the natural assumption that investors prefer more rather than less, in the ...
  • BGX: A fully Bayesian integrated approach to the analysis of affymetrix genechip data 
    Hein Anne-Mette; Richardson Sylvia; Causton Helen; Ambler Graeme; Green Peter (Oxford Univ Press, 2005)
    We present Bayesian hierarchical models for the analysis of Affymetrix GeneChip data. The approach we take differs from other available approaches in two fundamental aspects. Firstly, we aim to integrate all processing ...
  • Bifurcation Control Of Subsynchronous Resonance Using Tcsc 
    Alomari Majdi; Zhu Jianguo (Elsevier Science Bv, 2011)
    This paper presents the use of Thyristor-Controlled Series Capacitor (TCSC) to control bifurcations of subsynchronous resonance (SSR) in multimachine power system. The modified second system of the IEEE second benchmark ...
  • Bounded continuously distributed delays in dynamic oligopolies 
    Szidarovszky Ferenc; Chiarella Carl (Elsevier, 2006)
    This paper introduces a way of modelling bounded continuously distributed time lags in dynamic economic models. Past data are averaged only over a bounded interval thus avoiding the use of very old ("stale") economic data ...
  • The British Russian option 
    Glover Kristoffer; Peskir G; Samee F (Taylor and Francis, 2011)
    Following the economic rationale of the British put and call option, we present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise feature of ...
  • Business Cycle Fluctuations and Firms - Size Distribution Dynamics 
    Delli Gatti Domenico; Di Guilmi Corrado; Gaffeo Edoardo; Gallegati Mauro; Giulioni Gianfranco; Palestrini Antonio (World Scientific, 2004)
    Power law behavior is an emerging property of many economic models. In this paper we emphasize the fact that power law distributions are persistent but not time invariant. In fact, the scale and shape of the firms' size ...
  • The Calculation Of Expectations For Classes Of Diffusion Processes By Lie Symmetry Methods 
    Craddock Mark; Lennox Kelly (Inst Mathematical Statistics, 2009)
    This paper uses Lie symmetry methods to calculate certain expectations for a large class of Ito diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form ...
  • Carlitz Generalizations of Lucas and Lehmer Sequences 
    Shannon Anthony; Melham Ray (Fibonacci Assoc, 1993)
  • Certain classes of finite sums that involve generalized Fibonacci and Lucas numbers 
    Melham Ray (Fibonacci Association, 2004)
  • Chaos in a 1-Dimensional Compressible Flow 
    Gerig Austin; Hubler Alfred (American Physical Society, 2007)
    We study the dynamics of a one-dimensional discrete flow with open boundaries¿a series of moving point particles connected by ideal springs. These particles flow towards an inlet at constant velocity, pass into a region ...
  • Chaotic Time Series Method Combined With Particle Swarm Optimization And Trend Adjustment For Electricity Demand Forecasting 
    Wang Jiaqi; Chi Dz; Wu Jong-Cheng; Lu Hai Yan (Pergamon-Elsevier Science Ltd, 2011)
    Electricity demand forecasting plays an important role in electric power systems planning. In this paper, nonlinear time series modeling technique is applied to analyze electricity demand. Firstly, the phase space, which ...
  • Characteristics of point defects in the green luminescence from Zn- and O-rich ZnO 
    Ton-That Cuong; Weston Leigh; Phillips Matthew (American Physical Society, 2012)
    Cathodoluminescence spectra have been measured to determine the characteristics of ubiquitous green luminescence (GL) in nonstoichiometric zinc oxide (ZnO). Zn- and O-rich ZnO were found to exhibit characteristic emissions ...
  • Choice Models Based on Mixed Discrete/continuous PDFs 
    Swait Joffre (Elsevier, 2009)
    This paper introduces a variant of random utility choice models based on mixed probability density functions, hence the adopted moniker ¿k-Mix models.¿ Mixed pdf¿s contain components with the usual continuous density ...