Implicit inequality constraints in a binary tree model
نویسندگان
چکیده
منابع مشابه
A Note on Inequality Constraints in the GARCH Model
We consider the parameter restrictions that need to be imposed in order to ensure that the conditional variance process of a GARCH(p, q) model remains non-negative. Previously, Nelson and Cao (1992) provided a set of necessary and sufficient conditions for the aforementioned non-negativity property for GARCH(p, q) models with p ≤ 2, and derived a sufficient condition for the general case of GAR...
متن کاملFully fuzzy linear programming with inequality constraints
Fuzzy linear programming problem occur in many elds such as mathematical modeling, Control theory and Management sciences, etc. In this paper we focus on a kind of Linear Programming with fuzzy numbers and variables namely Fully Fuzzy Linear Programming (FFLP) problem, in which the constraints are in inequality forms. Then a new method is proposed to ne the fuzzy solution for solving (FFLP). Nu...
متن کاملInequality Constraints in the Univariate GARCH Model Daniel
Since their introduction by Engle (1982) and Bollerslev (1986), respectively, autoregressive conditional heteroscedastic (ARCH) and generalized autoregressive conditional heteroscedastic (GARCH) models have found extraordinarily wide use. The survey article by Bollerslev, Chou, and Kroner (1982) cited more than 300 papers applying ARCH, GARCH, and other closely related models. As they showed, A...
متن کاملA Semiparametric Binary Regression Model Involving Monotonicity Constraints
We study a binary regression model using the complementary log–log link, where the response variable is the indicator of an event of interest (for example, the incidence of cancer, or the detection of a tumour) and the set of covariates can be partitioned as (X,Z) where Z (real valued) is the primary covariate and X (vector valued) denotes a set of control variables. The conditional probability...
متن کاملThe abelian sandpile model on a random binary tree
We study the abelian sandpile model on a random binary tree. Using a transfer matrix approach introduced by Dhar & Majumdar, we prove exponential decay of correlations, and in a small supercritical region exponential decay of avalanche sizes. This shows a phase transition phenomenon between exponential decay and power law decay of avalanche sizes. Our main technical tools are: (1) A recursion f...
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: Electronic Journal of Statistics
سال: 2011
ISSN: 1935-7524
DOI: 10.1214/11-ejs640