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Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
| Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung |
| Pubbl/distr/stampa | Singapore ; ; River Edge, : World Scientific, c2004 |
| Descrizione fisica | 1 online resource (252 p.) |
| Disciplina | 332.015192 |
| Altri autori (Persone) |
LaiT. L
YangHailiang YungSiu Pang |
| Soggetto topico |
Investments - Mathematics
Finance - Mathematical models Insurance - Statistical methods |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-89874-0
9786611898748 981-270-271-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; List of Participants; CONTENTS; Limit theorems for moving averages; 1. Introduction; 2. Strong limit theorems for moving averages; 3. Large deviation approximations for logarithmic window sizes; 4. Window sizes associated with moderate deviation approximations; 5. Maxima and boundary crossing probabilities of asymptotically Gaussian random fields; References; On large deviations for moving average processes; 1. Introduction; 2. Main results; 3. A priori estimation; 4. Proofs of Theorem 2.1 and Theorem 2.2; 5. Proofs of Theorem 2.3 Corollary 2.1
6. Proofs of Propositions 2.1 2.2 and Theorem 2.47. Appendix: proof of Lemma 3.3; References; Recent progress on self-normalized limit theorems; 1. Introduction; 2. Self-normalized saddlepoint approximations; 3. Limit distributions of self-normalized sums; 4. Weak invariance principle for self-normalized partial sum processes; 5. Darling-Erdos theorems for self-normalized sums; 6. Large and moderate deviations for self-normalized empirical processes; 7. Cramer type large deviations for independent random variables; 8. Exponential inequalities for self-normalized processes; References Limit theorems for independent self-normalized sums1. Introduction; 2. Asymptotic Normality; 3. Uniform Berry-Esseen Bounds; 4. Non-Uniform Berry-Esseen Bounds; 5. Exponential Non-Uniform Berry-Esseen Bounds; 6. Edgeworth Expansions; 7. Moderate Deviations; 8. Large Deviations; 9. Saddlepoint Approximations; 10. LIL for Partial Sums; 11. LIL for Increments of Partial Sums; 12. Summary; References; Phase changes in random recursive structures and algorithms; 1. Phase changes related to the Poisson distribution; 2. Phase changes related to Quicksort; 3. Conclusions; References Iterated random function system: convergence theorems1. Introduction; 2. Stochastic stability and ergodic theorem; 3. Central limit theorem and quick convergence: Poisson equation approach; References; Asymptotic properties of adaptive designs via strong approximations; 1. Introduction; 2. Play-the-Winner rule and Markov chain adaptive designs; 3. Randomized play-the-Winner rule and generalized Polya urn; 4. Doubly adaptive biased coin designs; 5. The drop-the-loss rule; 6. The minimum asymptotic variance; References; Johnson-Mehl tessellations: asymptotics and inferences; 1. Introduction 2. Asymptotics3. Statistics; References; Rapid simulation of correlated defaults and the valuation of basket default swaps; 1. Introduction; 2. Hazard rate model and calibration; 3. Pricing basket default swaps; 4. Conclusion; Appendix A. Explicit solution of the jump CIR generating function; Appendix B. Copula Functions; References; Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion; 1. Introduction; 2. General Results; 3. Some Particular Utility Functions; 4. Conclusion; References MLE for change-point in ARMA-GARCH models with a changing drift |
| Record Nr. | UNINA-9910454307403321 |
| Singapore ; ; River Edge, : World Scientific, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
| Probability, finance and insurance [[electronic resource] ] : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung |
| Pubbl/distr/stampa | Singapore ; ; River Edge, : World Scientific, c2004 |
| Descrizione fisica | 1 online resource (252 p.) |
| Disciplina | 332.015192 |
| Altri autori (Persone) |
LaiT. L
YangHailiang YungSiu Pang |
| Soggetto topico |
Investments - Mathematics
Finance - Mathematical models Insurance - Statistical methods |
| ISBN |
1-281-89874-0
9786611898748 981-270-271-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; List of Participants; CONTENTS; Limit theorems for moving averages; 1. Introduction; 2. Strong limit theorems for moving averages; 3. Large deviation approximations for logarithmic window sizes; 4. Window sizes associated with moderate deviation approximations; 5. Maxima and boundary crossing probabilities of asymptotically Gaussian random fields; References; On large deviations for moving average processes; 1. Introduction; 2. Main results; 3. A priori estimation; 4. Proofs of Theorem 2.1 and Theorem 2.2; 5. Proofs of Theorem 2.3 Corollary 2.1
6. Proofs of Propositions 2.1 2.2 and Theorem 2.47. Appendix: proof of Lemma 3.3; References; Recent progress on self-normalized limit theorems; 1. Introduction; 2. Self-normalized saddlepoint approximations; 3. Limit distributions of self-normalized sums; 4. Weak invariance principle for self-normalized partial sum processes; 5. Darling-Erdos theorems for self-normalized sums; 6. Large and moderate deviations for self-normalized empirical processes; 7. Cramer type large deviations for independent random variables; 8. Exponential inequalities for self-normalized processes; References Limit theorems for independent self-normalized sums1. Introduction; 2. Asymptotic Normality; 3. Uniform Berry-Esseen Bounds; 4. Non-Uniform Berry-Esseen Bounds; 5. Exponential Non-Uniform Berry-Esseen Bounds; 6. Edgeworth Expansions; 7. Moderate Deviations; 8. Large Deviations; 9. Saddlepoint Approximations; 10. LIL for Partial Sums; 11. LIL for Increments of Partial Sums; 12. Summary; References; Phase changes in random recursive structures and algorithms; 1. Phase changes related to the Poisson distribution; 2. Phase changes related to Quicksort; 3. Conclusions; References Iterated random function system: convergence theorems1. Introduction; 2. Stochastic stability and ergodic theorem; 3. Central limit theorem and quick convergence: Poisson equation approach; References; Asymptotic properties of adaptive designs via strong approximations; 1. Introduction; 2. Play-the-Winner rule and Markov chain adaptive designs; 3. Randomized play-the-Winner rule and generalized Polya urn; 4. Doubly adaptive biased coin designs; 5. The drop-the-loss rule; 6. The minimum asymptotic variance; References; Johnson-Mehl tessellations: asymptotics and inferences; 1. Introduction 2. Asymptotics3. Statistics; References; Rapid simulation of correlated defaults and the valuation of basket default swaps; 1. Introduction; 2. Hazard rate model and calibration; 3. Pricing basket default swaps; 4. Conclusion; Appendix A. Explicit solution of the jump CIR generating function; Appendix B. Copula Functions; References; Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion; 1. Introduction; 2. General Results; 3. Some Particular Utility Functions; 4. Conclusion; References MLE for change-point in ARMA-GARCH models with a changing drift |
| Record Nr. | UNINA-9910782120603321 |
| Singapore ; ; River Edge, : World Scientific, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
| Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; River Edge, : World Scientific, c2004 |
| Descrizione fisica | 1 online resource (252 p.) |
| Disciplina | 332.015192 |
| Altri autori (Persone) |
LaiT. L
YangHailiang YungSiu Pang |
| Soggetto topico |
Investments - Mathematics
Finance - Mathematical models Insurance - Statistical methods |
| ISBN |
9786611898748
9781281898746 1281898740 9789812702715 9812702717 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; List of Participants; CONTENTS; Limit theorems for moving averages; 1. Introduction; 2. Strong limit theorems for moving averages; 3. Large deviation approximations for logarithmic window sizes; 4. Window sizes associated with moderate deviation approximations; 5. Maxima and boundary crossing probabilities of asymptotically Gaussian random fields; References; On large deviations for moving average processes; 1. Introduction; 2. Main results; 3. A priori estimation; 4. Proofs of Theorem 2.1 and Theorem 2.2; 5. Proofs of Theorem 2.3 Corollary 2.1
6. Proofs of Propositions 2.1 2.2 and Theorem 2.47. Appendix: proof of Lemma 3.3; References; Recent progress on self-normalized limit theorems; 1. Introduction; 2. Self-normalized saddlepoint approximations; 3. Limit distributions of self-normalized sums; 4. Weak invariance principle for self-normalized partial sum processes; 5. Darling-Erdos theorems for self-normalized sums; 6. Large and moderate deviations for self-normalized empirical processes; 7. Cramer type large deviations for independent random variables; 8. Exponential inequalities for self-normalized processes; References Limit theorems for independent self-normalized sums1. Introduction; 2. Asymptotic Normality; 3. Uniform Berry-Esseen Bounds; 4. Non-Uniform Berry-Esseen Bounds; 5. Exponential Non-Uniform Berry-Esseen Bounds; 6. Edgeworth Expansions; 7. Moderate Deviations; 8. Large Deviations; 9. Saddlepoint Approximations; 10. LIL for Partial Sums; 11. LIL for Increments of Partial Sums; 12. Summary; References; Phase changes in random recursive structures and algorithms; 1. Phase changes related to the Poisson distribution; 2. Phase changes related to Quicksort; 3. Conclusions; References Iterated random function system: convergence theorems1. Introduction; 2. Stochastic stability and ergodic theorem; 3. Central limit theorem and quick convergence: Poisson equation approach; References; Asymptotic properties of adaptive designs via strong approximations; 1. Introduction; 2. Play-the-Winner rule and Markov chain adaptive designs; 3. Randomized play-the-Winner rule and generalized Polya urn; 4. Doubly adaptive biased coin designs; 5. The drop-the-loss rule; 6. The minimum asymptotic variance; References; Johnson-Mehl tessellations: asymptotics and inferences; 1. Introduction 2. Asymptotics3. Statistics; References; Rapid simulation of correlated defaults and the valuation of basket default swaps; 1. Introduction; 2. Hazard rate model and calibration; 3. Pricing basket default swaps; 4. Conclusion; Appendix A. Explicit solution of the jump CIR generating function; Appendix B. Copula Functions; References; Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion; 1. Introduction; 2. General Results; 3. Some Particular Utility Functions; 4. Conclusion; References MLE for change-point in ARMA-GARCH models with a changing drift |
| Record Nr. | UNINA-9911088038903321 |
| Singapore ; ; River Edge, : World Scientific, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung
| Probability, finance and insurance : proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / / editors, Tze Leung Lai, Hailiang Yang, Siu Pang Yung |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; River Edge, : World Scientific, c2004 |
| Descrizione fisica | 1 online resource (252 p.) |
| Disciplina | 332.015192 |
| Altri autori (Persone) |
LaiT. L
YangHailiang YungSiu Pang |
| Soggetto topico |
Investments - Mathematics
Finance - Mathematical models Insurance - Statistical methods |
| ISBN |
9786611898748
9781281898746 1281898740 9789812702715 9812702717 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; List of Participants; CONTENTS; Limit theorems for moving averages; 1. Introduction; 2. Strong limit theorems for moving averages; 3. Large deviation approximations for logarithmic window sizes; 4. Window sizes associated with moderate deviation approximations; 5. Maxima and boundary crossing probabilities of asymptotically Gaussian random fields; References; On large deviations for moving average processes; 1. Introduction; 2. Main results; 3. A priori estimation; 4. Proofs of Theorem 2.1 and Theorem 2.2; 5. Proofs of Theorem 2.3 Corollary 2.1
6. Proofs of Propositions 2.1 2.2 and Theorem 2.47. Appendix: proof of Lemma 3.3; References; Recent progress on self-normalized limit theorems; 1. Introduction; 2. Self-normalized saddlepoint approximations; 3. Limit distributions of self-normalized sums; 4. Weak invariance principle for self-normalized partial sum processes; 5. Darling-Erdos theorems for self-normalized sums; 6. Large and moderate deviations for self-normalized empirical processes; 7. Cramer type large deviations for independent random variables; 8. Exponential inequalities for self-normalized processes; References Limit theorems for independent self-normalized sums1. Introduction; 2. Asymptotic Normality; 3. Uniform Berry-Esseen Bounds; 4. Non-Uniform Berry-Esseen Bounds; 5. Exponential Non-Uniform Berry-Esseen Bounds; 6. Edgeworth Expansions; 7. Moderate Deviations; 8. Large Deviations; 9. Saddlepoint Approximations; 10. LIL for Partial Sums; 11. LIL for Increments of Partial Sums; 12. Summary; References; Phase changes in random recursive structures and algorithms; 1. Phase changes related to the Poisson distribution; 2. Phase changes related to Quicksort; 3. Conclusions; References Iterated random function system: convergence theorems1. Introduction; 2. Stochastic stability and ergodic theorem; 3. Central limit theorem and quick convergence: Poisson equation approach; References; Asymptotic properties of adaptive designs via strong approximations; 1. Introduction; 2. Play-the-Winner rule and Markov chain adaptive designs; 3. Randomized play-the-Winner rule and generalized Polya urn; 4. Doubly adaptive biased coin designs; 5. The drop-the-loss rule; 6. The minimum asymptotic variance; References; Johnson-Mehl tessellations: asymptotics and inferences; 1. Introduction 2. Asymptotics3. Statistics; References; Rapid simulation of correlated defaults and the valuation of basket default swaps; 1. Introduction; 2. Hazard rate model and calibration; 3. Pricing basket default swaps; 4. Conclusion; Appendix A. Explicit solution of the jump CIR generating function; Appendix B. Copula Functions; References; Optimal consumption and portfolio in a market where the volatility is driven by fractional Brownian motion; 1. Introduction; 2. General Results; 3. Some Particular Utility Functions; 4. Conclusion; References MLE for change-point in ARMA-GARCH models with a changing drift |
| Record Nr. | UNINA-9911142937303321 |
| Singapore ; ; River Edge, : World Scientific, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Sequential Experimentation in Clinical Trials : Design and Analysis / / by Jay Bartroff, Tze Leung Lai, Mei-Chiung Shih
| Sequential Experimentation in Clinical Trials : Design and Analysis / / by Jay Bartroff, Tze Leung Lai, Mei-Chiung Shih |
| Autore | Bartroff Jay |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, NY : , : Springer New York : , : Imprint : Springer, , 2013 |
| Descrizione fisica | 1 online resource (249 p.) |
| Disciplina |
519.5/7
615.5072/4 |
| Altri autori (Persone) |
LaiT. L
ShihMei-Chiung |
| Collana | Springer Series in Statistics |
| Soggetto topico |
Biometry
Statistics Biostatistics Statistical Theory and Methods |
| ISBN |
1-283-93454-X
1-4614-6114-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Nonlinear Regression, Experimental Design, and Phase I Clinical Trials -- Sequential Testing Theory and Stochastic Optimization over Time -- Group Sequential Design of Phase II and III Trials -- Sequential Methods for Vaccine Safety Evaluation and Surveillance in Public Health -- Time-Sequential Design of Clinical Trials with Failure-Time Endpoints -- Confidence Intervals and p-Values -- Adaptive Design of Confirmatory Trials -- References. |
| Record Nr. | UNINA-9910438151403321 |
Bartroff Jay
|
||
| New York, NY : , : Springer New York : , : Imprint : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Time series and related topics : in memory of Ching-Zong Wei / / Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai, editors
| Time series and related topics : in memory of Ching-Zong Wei / / Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai, editors |
| Pubbl/distr/stampa | [Place of publication not identified], : Institute of Mathematical Statistics, 2006 |
| Descrizione fisica | 1 online resource (xiii, 294 pages) : illustrations |
| Disciplina | 519.5/5 |
| Collana | Institute of Mathematical Statistics lecture notes-monograph series Time series and related topics |
| Soggetto topico | Time-series analysis |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996210067203316 |
| [Place of publication not identified], : Institute of Mathematical Statistics, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||