Showing 51 - 60 of 177
For a general class of collision operators, we perform an asymptotic analysis of the moments of the stationary … separable kernels, which are also known as “relaxation time approximations”. It turns out that the behaviour of the moments is …
Persistent link: https://www.econbiz.de/10011060701
normalization). For the proof, we calculate the critical value for the existence of harmonic moments of W, and show an equivalence … for all the moments of Zn. Central limit theorems on W−Wn and logZn are also established. …
Persistent link: https://www.econbiz.de/10011064888
conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The …
Persistent link: https://www.econbiz.de/10010933305
In this paper, we conduct skewness term structure tests to check whether the temporal structure of risk-neutral skewness is consistent with rational expectations. Because risk-neutral skewness is substantially mean reverting, skewness shocks should decay quickly and risk-neutral skewness of more...
Persistent link: https://www.econbiz.de/10010940815
We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and … equation (VIE), we used the method of successive approximation to derive the Neumann series of the recursive moments. We then … compute the first two moments of aggregate discounted claims, i.e., its mean and variance, based on the Neumann series …
Persistent link: https://www.econbiz.de/10011030564
procedures. Several probabilistic descriptive measures are obtained, including moments, Lorenz and Leimkuhler curves and Gini …
Persistent link: https://www.econbiz.de/10011039467
the existence of the moments of the process are also derived. …
Persistent link: https://www.econbiz.de/10011040040
In this paper, we present both integral and infinite series expressions of μqp≡E[(x′Ax)p/(x′Bx)q] when x∼N(μ,In), where p, q are nonnegative real numbers, A is a symmetric matrix, and B is a positive semi-definite matrix. We also present efficient numerical methods for computing μqp...
Persistent link: https://www.econbiz.de/10011041907
calculates the exact moments up to order 4 under the null hypothesis of no serial correlation when there are many independent …
Persistent link: https://www.econbiz.de/10010998600
occasionally been studied. The few papers concerning the customer delay share the common feature that only the moments are … capacity). In this paper, we aim for a complete characterisation—i.e., moments and tail probabilities - of the customer delay … on the moments and the tail probabilities of the customer delay. Copyright Springer-Verlag 2010 …
Persistent link: https://www.econbiz.de/10010999555