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Asymptotic probability distribution of distances between local extrema of error terms of a moving average process
distance between local extremum maximum extrema probability density distribution function average random stochastic moving average
2011/6/20
Consider error terms i of a moving average process MA(q), where
i = Pq
j=0 "i−j and "i - independent identically distributed (i.i.d.) random
variables. We recognize a term i as a local max...
Vine copulas as a mean for the construction of high dimensional probability distribution associated to a Markov Network
Copula decomposition t-cherry junction tree Markov network Cherry-wine probability distribution Graphical models
2011/6/17
Building higher-dimensional copulas is generally recognized as a difficult
problem. Regular-vines using bivariate copulas provide a flexible class of high-dimensional
dependency models. In large dim...
Higher Order Approximation of the Probability Distribution of the Ratio Estimator for a Regression Model
Cornish-Fisher expansion Edgeworth expansion higher order approximation ratio estimator regression model
2009/3/10
In the present paper, we consider the problem of estimating a ratio ρ = E(Y) / E(X) in a regression model Y = α + βX + U. We obtain the higher order approximation of the probability distribution of th...