共查询到20条相似文献,搜索用时 15 毫秒
1.
Given any random variable X[0,M] with and fixed, various bounds are derived on the mean and variance of the truncated random variable max(0,X−K) with K>0 given. The results are motivated by questions associated with European call options. The techniques are based on domination by quadratic functions and change of measures in the unimodal distribution case. 相似文献
2.
Soltani and Shirvani (Comput Stat 25:155–161, 2010) proposed a scheme for simulating truncated stable random variables. That involves solving a nonlinear transformation in each realization. Here, we propose alternative schemes to generate truncated stable random variables. Our schemes are more general (for example, incorporates one-sided and two-sided truncations) and are shown to be more efficient. 相似文献
3.
Arijit Chakrabarty 《印度理论与应用数学杂志》2017,48(4):671-703
This paper investigates the decay rate of the probability that the row sum of a triangular array of truncated heavy tailed random variables is larger than an integer (k) times the truncating threshold, as both - the number of summands and the threshold go to infinity. The method of attack for this problem is significantly different from the one where k is not an integer, and requires much sharper estimates. 相似文献
4.
Chanchal Kundu 《Applications of Mathematics》2014,59(6):697-714
In survival studies and life testing, the data are generally truncated. Recently, authors have studied a weighted version of Kerridge inaccuracy measure for truncated distributions. In the present paper we consider weighted residual and weighted past inaccuracy measure and study various aspects of their bounds. Characterizations of several important continuous distributions are provided based on weighted residual (past) inaccuracy measure. 相似文献
5.
We introduce a new condition for {Yτn} to have the same asymptotic distribution that {Yn} has, where {Yn} is a sequence of random elements of a metric space (S, d) and {τn} is a sequence of random indices. The condition on {Yn} is that maxiDnd(Yi, Yan)→p0 as n → ∞, where Dn = {i: |ki−kan| ≤ δankan} and {δn} is a nonincreasing sequence of positive numbers. The condition on {τn} is that P(|(kτn/kan)−1| > δan) → 0 as n → ∞. Under these conditions, we will show that d(Yτn, Yan) → P0 and apply this result to the CLT for a general class of sequences of dependent random variables. 相似文献
6.
If X1, X2 are independent with common density g symmetric about zero, then for all real α. We provide a counter example to show that the converse is false and thus settle a question posed by Burdick (1972). 相似文献
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8.
We show that for a convex solid set of positive random variables to be tight, or equivalently bounded in probability, it is necessary and sufficient to be is radially bounded, i.e. that every ray passing through one of its elements eventually leaves the set. The result is motivated by problems arising in mathematical finance. 相似文献
9.
Anscombe (1952) (also see Chung (1974)) has developed a central limit theoremof random sums of independent and identically distributed random variables. Applicability of this theorem in practice, however, is limited since the normalization requires random factors. In this paper we establish sufficient conditions under which the central limit theorem holds when such random factors are replaced by the underlying asymptotic mean and standard ddeviation. An application of this result in the context of shock models is also given. 相似文献
10.
V. Alba Fernández D. Barrera Rosillo M. J. Ibáñez Pérez M. D. Jiménez Gamero 《Computational Statistics》2009,24(3):513-531
In this paper, a test for the homogeneity of two bidimensional populations is proposed. It is based on the L
2-norm of the difference between the empirical characteristic functions associated with independent random samples from each
population. We first approximate this norm and then we give two bootstrap algorithms to consistently estimate the null distribution
of the resultant test statistic. A simulation study illustrates the goodness of these two bootstrap estimators and compares
the proposed test with others. 相似文献
11.
Kanter (Ann Probab 3(4):697–707, 1975) and Chambers et al. (J Am Stat Assoc 71(354):340–344, 1976) developed a method for characterizing and simulating stable random variables, X, using nonlinear transformations involving two independent uniform random variables. Their method is scrutinized to provide a characterization and then develop a method for simulating random variables with distribution P(X ≤ x| X > a), called here truncated stable random variables. Our characterization is rigorous when the characteristic exponent α ≠ 1. We extend our method to the case that α → 1. 相似文献
12.
《Fuzzy Sets and Systems》1987,24(3):331-344
Fuzzy random variables have been proposed to treat situations in which both random behavior and fuzzy perception must be considered. A definition of independence is given for fuzzy random variables, as well as a notion of fuzzy Gaussian random variables. It is shown that a sum or mean of independent fuzzy random variables converges in the limit to a fuzzy Gaussian random variable, thus providing a fuzzy analogue of the central limit theorem of classical probability theory. 相似文献
13.
R.A. Maller 《Stochastic Processes and their Applications》1978,7(1):101-111
A local limit theorem is given for independent noninteger random variables under a condition which is more general than one previously given, and which reduces, in the case of identically distributed random variables, to a well-known result. 相似文献
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16.
J.V. MichalowiczJ.M. Nichols F. BucholtzC.C. Olson 《Statistics & probability letters》2011,81(8):1233-1240
This work generalizes a widely used result derived by L. Isserlis for the expectations of products of jointly Gaussian random variables by extending it to include mixed-Gaussian random variables. 相似文献
17.
We consider the class of multivariate distributions that gives the distribution of the sum of uncorrelated random variables by the product of their marginal distributions. This class is defined by a representation of the assumption of sub-independence, formulated previously in terms of the characteristic function and convolution, as a weaker assumption than independence for derivation of the distribution of the sum of random variables. The new representation is in terms of stochastic equivalence and the class of distributions is referred to as the summable uncorrelated marginals (SUM) distributions. The SUM distributions can be used as models for the joint distribution of uncorrelated random variables, irrespective of the strength of dependence between them. We provide a method for the construction of bivariate SUM distributions through linking any pair of identical symmetric probability density functions. We also give a formula for measuring the strength of dependence of the SUM models. A final result shows that under the condition of positive or negative orthant dependence, the SUM property implies independence. 相似文献
18.
There has been considerable interest in obtaining discrete results for random surfaces. Standard results have been published in journals of physics or engineering which have emphasised the applications. This paper gives a detailed background of the mathematical methods needed so that the central connection, namely truncated random variables, between these standard results can be understood. Distributions of discrete peak measures are obtained from the distributions of discrete profile measures of a random Gaussian surface by applying results for the distributions of truncated random variables. This enable the moments to be obtained from known results for the truncated distributions. 相似文献
19.
Michael Braverman 《Journal of Theoretical Probability》1994,7(1):187-198
In this paper we investigate the conditions under which the distribution of i.i.d. random variables{X
k
}
k=1
is determined by the sequence of momentsa
n
=E|
k=1
n
X
k
|
p
(n=1, 2,...), where positivep is fixed. 相似文献
20.
Sofiya Ostrovska 《Proceedings of the American Mathematical Society》2005,133(4):1239-1246
Let and be random variables having finite moments of all orders. The set
is said to be an uncorrelatedness set of and It is known that in general, an uncorrelatedness set can be arbitrary. Simple examples show that this is not true for random variables with given distributions. In this paper we present a wide class of probability distributions such that there exist random variables with given distributions from the class having a prescribed uncorrelatedness set. Besides, we discuss the sharpness of the obtained result.
is said to be an uncorrelatedness set of and It is known that in general, an uncorrelatedness set can be arbitrary. Simple examples show that this is not true for random variables with given distributions. In this paper we present a wide class of probability distributions such that there exist random variables with given distributions from the class having a prescribed uncorrelatedness set. Besides, we discuss the sharpness of the obtained result.