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Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Cointegrated Vector Autoregression -stable Approximate Bayesian Computation
2010/10/21
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in...
《Handbook of Game Theory with Economic Applications》Chapter 17 Von Neumann-Morgenstern stable sets
Handbook of Game Theory with Economic Applications Von Neumann-Morgenstern stable sets
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 17 Von Neumann-Morgenstern stable sets。