Edgeworth Expansion Based Model for the Convolutional Noise pdf
نویسندگان
چکیده
منابع مشابه
Asymptotic Analysis for Stochastic Volatility: Edgeworth expansion
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff functions. The result provides a validation of an existing singular perturbation expansion formula for the fast mean re...
متن کاملAn Optimum Laguerre Expansion for the Envelope Pdf of Two Sine Waves in Gaussian Noise
The sum of two randomly-phased sine waves and Gaussian noise arises in various fields of communications. In this paper, a Laguerre series and also a power series are introduced, for the envelope PDF of this random process. Moreover, tight upper bounds are derived for the truncation error of these two infinite series. Comparison of these two upper bounds show that the Laguerre series is superior...
متن کاملthe use of appropriate madm model for ranking the vendors of mci equipments using fuzzy approach
abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...
15 صفحه اولAn Edgeworth Expansion for Finite Population U-statistics
Suppose that U is a U-statistic of degree two based on N random observations drawn without replacement from a nite population. For the distribution of a standardized version of U we construct an Edgeworth expansion with remainder O(N ?1) provided that the linear part of the statistic satisses a Cram er type condition.
متن کاملThe Edgeworth Expansion and Convergence in the Central Limit Theorem
For regularity of φ, proceed by induction, write the derivative difference quotient, use the mean value theorem on the corresponding integrand and apply LDCT. • Corollary 1 If X has m finite moment and law μ, then φ(ξ) = ∫ R e (ix)dμ(x) for k ≤ m. • Theorem 2 If S = ∑n k=1 Xk where {Xk} are independent with c.f.’s φk the c.f. of S, φ satisfies φ = ∏n k=1 φk. Proof: The law of S is the n-fold co...
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: Mathematical Problems in Engineering
سال: 2014
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2014/951927