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41
Extreme value distributions for some classes of nonuniformly partially hyperbolic dynamical systems. Ergodic Theory and Dynamical Systems
"... Abstract. In this note, we obtain verifiable sufficient conditions for the extreme value distribution for a certain class of skew product extensions of nonuniformly hyperbolic base maps. We show that these conditions, formulated in terms of the decay of correlations on the product system and the me ..."
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Cited by 4 (1 self)
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Abstract. In this note, we obtain verifiable sufficient conditions for the extreme value distribution for a certain class of skew product extensions of nonuniformly hyperbolic base maps. We show that these conditions, formulated in terms of the decay of correlations on the product system
Date/Publication 20120413 06:07:49
, 2013
"... Description This package contains utilities which are of use in the packages I have developed for dealing with distributions. Currently these packages are GeneralizedHyperbolic,VarianceGamma, and SkewHyperbolic and NormalLaplace. Each of these packages requires DistributionUtils. Functionality inclu ..."
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Description This package contains utilities which are of use in the packages I have developed for dealing with distributions. Currently these packages are GeneralizedHyperbolic,VarianceGamma, and SkewHyperbolic and NormalLaplace. Each of these packages requires DistributionUtils. Functionality
2004), "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations", CMFI Working Paper
"... We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the loglikelihood score, and explain how to evaluate the informa ..."
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Cited by 14 (2 self)
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We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the loglikelihood score, and explain how to evaluate
1 NORMAL VARIANCEMEAN MIXTURES (I) AN INEQUALITY BETWEEN SKEWNESS AND KURTOSIS
, 2013
"... Copyright © 2013 W. Hürlimann. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Abstract: It is shown that the ratio of squared skewne ..."
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skewness to kurtosis for the normal variancemean mixture model is bounded above by the same ratio for the mixing distribution. Illustrations include the generalized hyperbolic distribution, the normal tempered stable distribution and a mixture model with lognormal mixing distribution.
RESEARCH ARTICLE Statistical Analysis of the Exchange Rate of
"... Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the logreturns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the logreturns. The gener ..."
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Bitcoin, the first electronic payment system, is becoming a popular currency. We provide a statistical analysis of the logreturns of the exchange rate of Bitcoin versus the United States Dollar. Fifteen of the most popular parametric distributions in finance are fitted to the log
Typical distances in a geometric model for complex networks
, 2015
"... The theme of this paper is the study of typical distances in a random graph model that was introduced by Krioukov et al. [25] and envisages basic properties of complex networks as the expression of an underlying hyperbolic geometry. This model gives rise to sparse random graphs on the hyperbolic p ..."
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The theme of this paper is the study of typical distances in a random graph model that was introduced by Krioukov et al. [25] and envisages basic properties of complex networks as the expression of an underlying hyperbolic geometry. This model gives rise to sparse random graphs on the hyperbolic
On real zeros of random polynomials with hyperbolic elements
 Internat. J. Math. Math. Sci
, 1998
"... ABSTRACT. This paper provides the asymptotic estimate for the expected number of real zeros of a random hyperbolic polynomial gl cosh x + 292 cosh 2x + + ng, cosh nx where g, (j 1,2,...,n) are independent normally distributed random variables with mean zero and variance one. It is shown that for su ..."
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Cited by 1 (1 self)
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ABSTRACT. This paper provides the asymptotic estimate for the expected number of real zeros of a random hyperbolic polynomial gl cosh x + 292 cosh 2x + + ng, cosh nx where g, (j 1,2,...,n) are independent normally distributed random variables with mean zero and variance one. It is shown
The hyperbolic geometry of random transpositions
 Ann. Probab
, 2005
"... Turn the set of permutations of n objects into a graph Gn by connecting two permutations that differ by one transposition, and let σt be the simple random walk on this graph. In a previous paper, Berestycki and Durrett [In Discrete Random Walks (2005) 17–26] showed that the limiting behavior of the ..."
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Cited by 7 (5 self)
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it is always O(n)thick when a> 1/4. We also show that the hitting distribution of the sphere of radius an is asymptotically singular with respect to the uniform distribution. Finally, we prove that the critical behavior of this Gromovlike hyperbolicity constant persists if the two endpoints are sampled
Analysing force–pCa curves
"... We investigated three forms of the Hill equation used to fit force–calcium data from skinned muscle experiments; Two hyperbolic forms that relate force to calcium concentration directly, and a sigmoid form that relates force to the −log10 of the calcium concentration (pCa). The equations were fit to ..."
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Cited by 1 (0 self)
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We investigated three forms of the Hill equation used to fit force–calcium data from skinned muscle experiments; Two hyperbolic forms that relate force to calcium concentration directly, and a sigmoid form that relates force to the −log10 of the calcium concentration (pCa). The equations were fit
Investigating Eciency of the Indian Equities Market with Application to Risk Management
"... In this paper we investigate the market eciency of NSE (National Stock Exchange) market indices. In particular we have carried out weakform market eciency analysis. We employ methods from information theory and chaos theory. RiskMetrics r
methodology for estimating ValueatRisk assumes that log ..."
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returns of stock indices follow a normal distribution. Our analysis has revealed that the logreturns of the NSE indices are more leptokurtic. Thus, unlike the Gaussian distribution, we use fattailed distributions, like, Generalized Hyperbolic distribution (GHD) and NormalInverse Gaussian (NIG) distribution
Results 11  20
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41