Stochastic Models, Statistics and Their Applications Dresden, Germany, March 2019 /: Dresden, Germany, March 2019. (2019)

• Record Type: Book
• Further Information: Note: Ansgar Steland, Ewaryst Rafajłowicz, Ostap Okhrin, editors.
• Other Names: Steland, Ansgar; Rafajłowicz, Ewaryst; Okhrin, Ostap; Workshop on Stochastic Models, Statistics and Their Applications, 14th
• Contents: Intro; Organization; Program Chairs; Program Committee; Preface; Contents; Contributors; Plenary Lectures; Stairway to Hell; 1 Introduction; 2 Right Censorship; 3 Extreme Value Theory; 4 Errors in Variables; 5 Conclusion; References; Quantile Estimation in a Generalized Asymmetric Distributional Setting; 1 Introduction; 2 Generalized Quantile-Based Asymmetric Family; 2.1 Generalized Tick-Exponential Family; 2.2 Tick-Exponential Family with Scale Parameter; 2.3 Generalized Quantile-Based Asymmetric Family: Conditional Setting; 3 Unconditional Setting: Maximum Likelihood Estimation 4 Conditional Setting: Local-Likelihood Estimation5 Real Data Applications; 5.1 Parametric Quantile Estimation; 5.2 Semiparametric Quantile Estimation; 6 Conclusion and Further Discussion; References; A Note on Parametric Estimation of Lévy Moving Average Processes; 1 Introduction; 2 Model Assumptions and Literature Review; 2.1 Assumptions, Remarks and Examples; 2.2 Some Probabilistic and Statistical Results; 3 Main Results; 4 Proofs; 4.1 Proof of Proposition 1; 4.2 Proof of Theorem 3; References; Theory and Related Topics A Continuous-Time Iteratively Reweighted Least Squares Algorithm for Linfty Estimation1 Introduction; 2 Total Variation Denoising; 3 An IRLS Algorithm; 4 Implementation; References; On Central Limit Theorems for Power Variations of the Solution to the Stochastic Heat Equation; 1 Introduction and Main Result; 2 High-Frequency Asymptotic Analysis of Power Variations; 3 Remaining Proofs; 3.1 Proof of Proposition1; 3.2 Proof of Lemma1; References; Perpetual Dual American Barrier Options for Short Sellers; 1 Introduction; 2 Preliminaries; 2.1 The Model; 2.2 The Optimal Exercise Times
• Publisher Details: Cham : Springer
• Publication Date: 2019
• Extent: 1 online resource (449 p.)
• Subjects: 519.2/3; Stochastic processes -- Congresses; Stochastic processes; Electronic books; Electronic books; Conference papers and proceedings
• Languages: English
• ISBNs: 9783030286651; 3030286657
• Related ISBNs: 9783030286644
• Notes: Note: ReferencesStability of Random-Projection Based Classifiers. The Bayes Error Perspective; 1 Introduction; 2 The Classification Problem-The Gaussian Class Distributions Case; 2.1 Gaussian Random Projections; 3 Bayes Error After Dimensionality Reduction Using the Orthogonal Gaussian Random Projection; 4 Singular Multivariate Normal Distributions; 5 Stability of the Bayes Error; 6 Concluding Remarks; References; A Quadratic Classifier for High-Dimension, Low-Sample-Size Data Under the Strongly Spiked Eigenvalue Model; 1 Introduction; 2 Geometrical Quadratic Discriminant Analysis
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