A Density-Quantile Function Approach to Optimal Spacing Selection
نویسندگان
چکیده
منابع مشابه
a benchmarking approach to optimal asset allocation for insurers and pension funds
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
15 صفحه اولA quantile-based approach to system selection
We propose a quantile-based ranking and selection (R&S) procedure for comparing a finite set of stochastic systems via simulation. Our R&S procedure uses a quantile set of the simulated probability distribution of a performance characteristic of interest that best represents the most appropriate selection criterion as the basis for comparison. Since this quantile set may represent either the do...
متن کاملNonparametric estimation of quantile density function
In the present article, a new nonparametric estimator of quantile density function is defined and its asymptotic properties are studied. The comparison of the proposed estimator has been made with estimators given by Jones (1992), graphically and in terms of mean square errors for the uncensored and censored case.
متن کاملNonparametric estimation of a quantile density function by wavelet methods
In this paper nonparametric wavelet estimators of the quantile density function are proposed. Consistency of the wavelet estimators is established under the Lp risk. A simulation study illustrates the good performance of our estimators.
متن کاملSemiparametric Tail Index Estimation: A Density Quantile Approach
Heavy tail probability distributions are important in many scientific disciplines, such as hydrology, geology, and physics among others. To this end many heavy tail distributions are commonly used in practice. In order to determine an appropriate family of distributions for a specified application it is useful to classify the probability law via its tail behavior. Through the use of Parzen’s de...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1981
ISSN: 0090-5364
DOI: 10.1214/aos/1176345454