搜索结果: 1-15 共查到“统计学 diffusions”相关记录15条 . 查询时间(0.082 秒)
Strong law of large number of a class of super-diffusions
Spatial autoregression Dynamic panels Fixed e¤ects Quasi-maximum likelihood estima
2016/1/19
Strong law of large number of a class of super-diffusions.
Complexity of Non-Adaptive Optimization Algorithms for a Class of Diffusions
Global optimization average-case complexity diffusion processes
2015/7/8
This paper is concerned with the analysis of the average error in approximating the global minimum of a 1-dimensional, time-homogeneous diffusion by non-adaptive methods. We derive the limiting distri...
Markov chain Monte Carlo for exact inference for diffusions
Exact inference Exact simulation Markov chain Monte Carlo Stochastic differential equa-tion Transition density
2011/3/25
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting dist...
Uniform Central Limit Theorems for Multidimensional Diffusions
Uniform Central Limit Theorems Multidimensional Diffusions
2010/10/19
It has recently been shown that there are grave differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the e...
Coarse-grained modeling of multiscale diffusions：the p-variation estimates
parameter estimation multiscale diffusions p-variation Ornstein-Uhlenbeck
2010/3/10
We study the problem of estimating parameters of the limiting equation
of a multiscale diffusion in the case of averaging and homogenization, given
data from the corresponding multiscale system. Fir...
Large deviations of invariant measures for degenerate diffusions
Large deviations invariant measures degenerate diffusions
2009/9/23
Large deviations of invariant measures for degenerate diffusions。
On weak convergence of one-dimensional diffusions with time-dependent coefficients
weak convergence of one-dimensional diffusions time-dependent coefficients
2009/9/22
We investigate stability, with respect to convergence of
coefficients, of one-dimensional It6 diRussions as well as one-dimensionat
diffusions wrresponding to second order divergence form operators....
Time-inhomogeneous diffusions corresponding to symmetric divergence form operators
Time-inhomogeneous diffusions symmetric divergence form operators
2009/9/21
We consider a time-inhomogeneous Markov family
(X, P,3 corresponding to a symmetric uniformly elliptic divergence
form operator. We show that for any rp in the Sobolev space W: n Wi
with p = 2 if d...
The existence of the effective diffusivity tensor for diffusions with incompressible mixing drifts
Random field diffusions in random media mixing
2009/9/21
In the present article we consider a model of motion of
a passive tracer particle under a random, non-steady (time dependent),
incompressible velocity flow in a medium with positive molecular diffus...
A note on diffusions in compressible environments
Random field diffusions in random media Lagrangian process
2009/9/21
We study the equation of a motion of a passivc tracer
in a time-independent turbulent flow in a medium with a positive
molecular diffusivity. In [6] the authors have shown the existence of
an invar...
Branching diffusions, superdiffusions and random media
spatial branching processes branching diffusions measure-valued processes superprocesses catalytic branching Law of Large Numbers
2009/5/18
Spatial branching processes became increasingly popular in the past decades, not only because of their obvious connection to biology, but also because superprocesses are intimately related to nonlinea...
Dynamical properties and characterization of gradient drift diffusions
Dynamical properties gradient drift diffusions
2009/3/31
We study the dynamical properties of the Brownian diffusions having σ Id as diffusion coefficient matrix and b=∇U as drift vector. We characterize this class through the equality D+2=D-2, where ...
LARGE DEVIATIONS AND BERRY–ESSEEN IN-EQUALITIES FOR ESTIMATORS IN NONLINEAR NONHOMOGENEOUS DIFFUSIONS
nonhomogeneous diffusion processes Itˆ o stochastic differential equation drift parameter maximum likelihood estimator Bayes estimators large deviations probability Berry–Esseen type inequality
2009/2/25
Bounds on the large deviations probability of the maximum likelihood estimator and
regular Bayes estimators, and Berry–Esseen type bound for the suitably normalized
maximum likelihood estimator of a...
LAMN property for hidden processes：the case of integrated diffusions
Diffusion processes parametric estimation LAMN property Malliavin calculus non-Markovian data
2010/4/30
In this paper we prove the Local Asymptotic Mixed Normality
(LAMN) property for the statistical model given by the observation of
local means of a diffusion process X. Our data are given by
R 10 Xs...
A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions：the Exponent Expansion
Closed-Form Approximation Likelihood Functions Discretely Sampled Diffusions Exponent Expansion
2010/4/27
In this paper we discuss a closed-form approximation of the likelihood functions of
an arbitrary diffusion process. The approximation is based on an exponential ansatz
of the transition probability ...