Search Results - subject:"Probability measures"

A prelude to statistics in Wasserstein metric spaces

Chon Van Le; Uyen Hoang Pham - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 54-66

, where the metric on probability measures is taken as a Wasserstein metric arising from optimal transport theory. Design …/methodology/approach - The authors spell out the basis and rationale for using Wasserstein metrics on the data space of (random) probability … measures. Findings - In elaborating the new statistical analysis of non-Euclidean data sets, the paper illustrates the …

Persistent link: https://www.econbiz.de/10014497027

Bounded arbitrage and nearly rational behavior

Nascimento, Leandro Gonçalves do - In: Economic theory 77 (2024) 4, pp. 941-974

Persistent link: https://www.econbiz.de/10014553054

Modelación de series de tiempo, estacionariedad y métodos Bayesianos no paramétricos

Martínez-Ovando, Juan Carlos; Walker, Stephen G. - 2011

In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed...

Persistent link: https://www.econbiz.de/10010322563

Time-series Modelling, Stationarity and Bayesian Nonparametric Methods

Martínez-Ovando, Juan Carlos; Walker, Stephen G. - Banco de México - 2011

Persistent link: https://www.econbiz.de/10009319360

Endogenous correlated network dynamics

Page, Frank H.; Gong, Rui; Wooders, Myrna Holtz - 2016

Persistent link: https://www.econbiz.de/10011448771

A note on the fundamental theorem of asset pricing under model uncertainty

Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks 2 (2014) 4, pp. 425-433

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need...

Persistent link: https://www.econbiz.de/10011709513

A note on the fundamental theorem of asset pricing under model uncertainty

Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks : open access journal 2 (2014) 4, pp. 425-433

Persistent link: https://www.econbiz.de/10010489073

A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks 2 (2014) 4, pp. 425-433

Persistent link: https://www.econbiz.de/10010945692

Inferring probability comparisons

Harrison-Trainor, Matthew; Holliday, Wesley H.; Icard, … - In: Mathematical social sciences 91 (2018), pp. 62-70

Persistent link: https://www.econbiz.de/10012108490

Asymptotic asset pricing and bubbles

Roch, Alexandre - In: Mathematics and financial economics 12 (2018) 2, pp. 275-304

Persistent link: https://www.econbiz.de/10011963853