Geweke, John; H., Tanizaki(Taylor and Francis Ltd, 2003)
Abstract: The Metropolis-Hastings algorithm has been important in the recent development of Bayes methods. This algorithm generates random draws from a target distribution utilizing a sampling (or proposal) distribution. ...
This brief presents a new structure of active inductors. These synthetic inductors are designed using current controlled voltage sources. The signal flow graph method is used for this purpose. For the practical realization, ...
Although many people are exposed to ozone, the effects of chronic exposure to this ubiquitous pollutant, especially low-level chronic exposure, are not well understood. The U.S. Environmental Protection Agency (EPA) current ...
We consider the Hurwitz zeta function zeta(s, a) and develop asymptotic results for a = p/q, with q large, and, in particular, for p/q tending to 1/2. We also study the properties of lines along which the symmetrized parts ...
This research monograph concerns the design and analysis of discrete-time approximations for stochastic differential equations (SDEs) driven by ?Wiener processes and Poisson processes or Poisson jump measures, In financial ...
A number n > 1 is harmonic if sigma(n) vertical bar n tau(n), where tau(n) and sigma(n) are the number of positive divisors of n and their sum, respectively. It is known that there are no odd harmonic numbers up to 10(16). ...
There are many Fibonacci identities to be found in short informal articles in the early editions of The Fibonacci Quarterly. See, for example, (1) and (2). The aim of the authoprs was to gather Fibonacci identities from ...
Many organizational decision problems can be formulated by multi-objective linear programming (MOLP) models. Referring to the imprecision inherent in human judgments, uncertainty may be incorporated in the parameters of ...
We find a solution of the optimal stopping problem for the case when a reward function is an integer function of a random walk on an infinite time interval. It is shown that an optimal stopping time is a first crossing ...
We study a piece-wise deterministic Markov process having jumps of i.i.d. sizes with a constant intensity and decaying at a constant rate (a special case of a storage process with a general release rule). Necessary and ...
The paper deals with the problem of finding an optimal one-time rebalancing strategy assuming that in the Blacka??Scholes model the drift term of the stock may change its value spontaneously at some random non-observable ...
We present identities that we feel can be regarded as higher order analogues of the well-known identity F; + F;+l = Hn+l. We give three theorems corresponding to the powers 4, 6, and 8. We also state two conjectures that ...
So, Mike; Wong, Davy(Institute of Statistical Science, Academia Sinica & International Chinese Statistical Association, 2003)
In this article, the exact conditional second and fourth moments of returns and their temporal aggregates are derived under GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods ...
Sufficient conditions for the exponential boundedness of first passage times of autoregressive (AR(1)) sequences are derived in this paper. An identity involving the mean of the first passage time is obtained. Further, ...