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An invariance principle under the total variation distance
Nourdin, Ivan; Poly, Guillaume - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2190-2205
Let X1,X2,… be a sequence of i.i.d. random variables, with mean zero and variance one and let Sn=(X1+⋯+Xn)/n. An old …
Persistent link: https://www.econbiz.de/10011209766
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Invariants in the Riemannian geometry of convex sets
HILDEBRAND, Roland - Center for Operations Research and Econometrics (CORE), … - 2004
In this contribution we study some aspects of the Riemannian geometry induced on a convex set by a barrier function of the set. Using Noether's theorem, we link the symmetries of the set to invariants of the geodesic flow. This allows to lower the dimension of the differential system defining...
Persistent link: https://www.econbiz.de/10005008216
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On cash settled IRR-swaptions and Markov functional modeling
Bermin, Hans-Peter; Williams, Gareth - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011686834
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Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
Lebovits, Joachim; Lévy Véhel, Jacques; Herbin, Erick - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 678-708
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional...
Persistent link: https://www.econbiz.de/10011064949
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Chaos expansion and asymptotic behavior of the Pareto distribution
Tudor, Ciprian A. - In: Statistics & Probability Letters 91 (2014) C, pp. 62-68
We give the chaos expansion of a random variable with Pareto distribution and we analyze, by using the Malliavin calculus, the convergence in the distribution of a sequence of random variable with Pareto distribution toward the standard exponential law.
Persistent link: https://www.econbiz.de/10010776542
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Weighted Frechet means as convex combinations in metric spaces: Properties and generalized median inequalities
Ginestet, Cedric E.; Simmons, Andrew; Kolaczyk, Eric D. - In: Statistics & Probability Letters 82 (2012) 10, pp. 1859-1863
In this short note, we study the properties of the weighted Frechet mean as a convex combination operator on an … Frechet mean. These tools allow us to derive several types of median inequalities for abstract metric spaces that hold for …
Persistent link: https://www.econbiz.de/10010597168
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The barycenter of the distribution and its application to the measurement of inequality: The balance of inequality, the Gini index, and the Lorenz curve
Di Maio, Giorgio - 2022
Y with a positive finite mean μY and the quantile function Q(x). The barycenter is denoted by μX and defined as the … area is μX - 1/2, and the Gini's mean difference is 4μY (μX - 1/2). The same barycenter-based formulae hold for normalized …This paper introduces in statistics the notion of the barycenter of the distribution of a non-negative random variable …
Persistent link: https://www.econbiz.de/10013467160
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Discrete Wasserstein barycenters : optimal transport for discrete data
Anderes, Ethan; Borgwardt, Steffen; Miller, Jacob - In: Mathematical methods of operations research 84 (2016) 2, pp. 389-409
Persistent link: https://www.econbiz.de/10011673536
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The barycenter of the distribution and its application to the measurement of inequality : the balance of inequality, the Gini index, and the Lorenz curve
Di Maio, Giorgio - 2022
Y with a positive finite mean μY and the quantile function Q(x). The barycenter is denoted by μX and defined as the … area is μX − 1/2, and the Gini’s mean difference is 4μY (μX − 1/2). The same barycenter-based formulae hold for normalized …This paper introduces in statistics the notion of the barycenter of the distribution of a non-negative random variable …
Persistent link: https://www.econbiz.de/10013174492
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Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
de Vincent-Humphreys, Rupert; Noss, Joseph - Bank of England - 2012
The prices of derivatives contracts can be used to estimate ‘risk-neutral’ probability density functions that give an indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the likely case that investors are risk-averse,...
Persistent link: https://www.econbiz.de/10009024818