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In Italy, in July 2003, a new highway code came into force. Among other things, it posits a «revolutionary » point-system driving licence. This paper analyses optimal punishment schemes and shows that a simpler policy intervention, such as a dynamic increase in the size of the pecuniary...
Persistent link: https://www.econbiz.de/10010786803
Stochastic di®erential equations (SDEs) are central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the instantaneous short-term interest rate, asset prices, asset returns and their volatility. The explanatory and/or predictive...
Persistent link: https://www.econbiz.de/10009437988
The digitization of a circular arc causes an inherent loss of geometrical information. Arcs with slightly different local curvature or position may lead to exactly the same digital pattern. In this paper we give a characterization of all centers and radii of circular arcs yielding the same...
Persistent link: https://www.econbiz.de/10009460014
The aim of this article is to (a) reexamine the nature of structural equation modeling (SEM) estimates of autoregressive moving average (ARMA) parameters; (b) replicate S. Van Buuren's simulation experiment in light of P. C. M. Molenaar's comment; and (c) examine the behavior of the...
Persistent link: https://www.econbiz.de/10009460362
We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based...
Persistent link: https://www.econbiz.de/10009476145
Weibull distribution plays an important role in failure distribution modeling in reliability studies. It is a hard work to estimate the parameters of Weibull distribution. This distribution has three parameters, but for simplicity, a parameter is omitted and as a result, the estimation of the...
Persistent link: https://www.econbiz.de/10009481562
Several high breakdown robust estimators have been developed to solve computer vision problems involving parametric modeling and segmentation of multi-structured data. Since the cost functions of these estimators are not differentiable functions of parameters, they are commonly optimized by...
Persistent link: https://www.econbiz.de/10009481692
Weibull distributions play an important role in reliability studies and have many applications in engineering. It normally appears in the statistical scripts as having two parameters, making it easy to estimate its parameters. However, once you go beyond the two parameter distribution, things...
Persistent link: https://www.econbiz.de/10009481810
Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...
Persistent link: https://www.econbiz.de/10009483276
Conference Paper
Persistent link: https://www.econbiz.de/10009441851