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1.
Luciano Campi 《Decisions in Economics and Finance》2004,27(1):57-80
Abstract
In this paper, we focus on the following problem: given a financial market, modelled by a process
, and a family
of probability measures on
, with N a positive integer and
the time space, we search for financially meaningful conditions which are equivalent to the existence and uniqueness of an
equivalent (local) martingale measure (EMM) Q such that the price process S has under Q the pre-specified finite-dimensional distributions of order N (N-dds)
. We call these two equivalent properties, respectively, N
-mixed no free lunch and market
N
-completeness. They are based on a classification of contingent claims with respect to their path-dependence on S and on the related notion of N-mixed strategy.
Finally, we apply this approach to the Black-Scholes model with jumps, by showing a uniqueness result for its equivalent martingale
measures set.
Mathematics Subject Classification (2000): 60G48, 91B28
Journal of Economic Literature Classification: G12, D52 相似文献
2.
3.
The optimality of designs obtained by adding p runs to an orthogonal array is studied for experiments involving m factors each at s levels. The optimality criterion used here, is the Type 1 criterion due to Cheng (1978) which is an extension of Kiefer (1975)
universal optimality criterion. Unlike what happens with orthogonal array plus one run designs, the behavior of designs obtained
via augmentation of an orthogonal array by p runs depends on the particular runs added. 相似文献
4.
Let (X n ) be a sequence of i.i.d random variables and U n a U-statistic corresponding to a symmetric kernel function h, where h 1(x 1) = Eh(x 1, X 2, X 3, . . . , X m ), μ = E(h(X 1, X 2, . . . , X m )) and ? 1 = Var(h 1(X 1)). Denote \({\gamma=\sqrt{\varsigma_{1}}/\mu}\), the coefficient of variation. Assume that P(h(X 1, X 2, . . . , X m ) > 0) = 1, ? 1 > 0 and E|h(X 1, X 2, . . . , X m )|3 < ∞. We give herein the conditions under which for a certain family of unbounded measurable functions g, where F(·) is the distribution function of the random variable \({\exp(\sqrt{2} \xi)}\) and ξ is a standard normal random variable.
相似文献
$\lim_{N\rightarrow\infty}\frac{1}{\log N}\sum_{n=1}^{N}\frac{1}{n}g\left(\left(\prod_{k=m}^{n}\frac{U_{k}}{\mu}\right)^{\frac{1}{m\gamma\sqrt{n}}}\right) =\int\limits_{-\infty}^{\infty}g(x)dF(x)\quad {\rm a.s.}$
5.
It is well-known that the naive bootstrap yields inconsistent inference in the context of data envelopment analysis (DEA)
or free disposal hull (FDH) estimators in nonparametric frontier models. For inference about efficiency of a single, fixed
point, drawing bootstrap pseudo-samples of size m < n provides consistent inference, although coverages are quite sensitive to the choice of subsample size m. We provide a probabilistic framework in which these methods are shown to valid for statistics comprised of functions of
DEA or FDH estimators. We examine a simple, data-based rule for selecting m suggested by Politis et al. (Stat Sin 11:1105–1124, 2001), and provide Monte Carlo evidence on the size and power of our tests. Our methods (i) allow for heterogeneity in the inefficiency
process, and unlike previous methods, (ii) do not require multivariate kernel smoothing, and (iii) avoid the need for solutions
of intermediate linear programs. 相似文献
6.
There are many industrial product characteristics are desired to be the bigger the best and the smaller the best. The two
well-know processes capability indices C
pl and C
pu, which measure larger-the-better and smaller-the-better process capabilities. Obviously, the formulae for the two indices
C
pl and C
pu are easy to understand and straightforward to apply. Thus, indices C
pl and C
pu have been utilized by a number of Japanese companies and the U.S. automotive industry by Ford Motor Company. Boyles (1991,
Journal of Quality Technology. 23: 17–26) and Spring (1995, Total Quality Management 6(3): 427–438.) point out that as soon as
and S control charts are in statistical control, the control charts of process capability indices can be used to monitor the quality
of process. In the previous, we know that if the process is not in control, the process capability index control chart can
be used to monitor the differences of process capability, and as soon as the process is in control the stable process capability
can be identified. Therefore, process capability index control chart not only can be used to monitor the stability of process’s
quality but also can be used to monitor the quality of process. Since Boyles (1991, Journal of Quality Technology 23: 17–26.) and Spiring (1995, Total Quality Management 6(1): 21–33.) had had research about control chart of the bilateral specification index C
pm., but there are many kinds of products, which meet unilateral quality specification. Therefore, we will construct the control
chart of unilateral specification index C
pl and C
pu to monitor and evaluate the stability of process and process capability. 相似文献
7.
Massimiliano Amarante 《Decisions in Economics and Finance》2004,27(1):81-85
Abstract
In Marinacci (2000), the following theorem was proved.
Theorem 1. (Marinacci (2000) Let P and Q be two finitely additive probabilities on a λ -system Σ . Suppose that P is convex-ranged and that Q is countably additive. If there exists an A
+ ∈ Σ with 0<P(A
+ )<1 such that
whenever B∈ Σ , then P=Q.
Mathematics Subject Classification (2000): 28A10, 91B06
Journal of Economic Literature Classification: C60, D81 相似文献
8.
Top-k-lists are introduced as sequences of k-dimensional random vectors with ordered components being k largest observations from a sequence of independent identically distributed random variables. Such lists changing in time are natural stochastic models of ranking tables which appear in many situations in real life, when one wants to keep a track of several best results in a given field. Here we study basic properties of top-k-lists as joint distributions, conditional structures, representations, driving examples of top-k-lists from exponential and uniform distributions, asymptotics and a relation to generalized order statistics. 相似文献
9.
The link between martingales and arbitrage is well-known in financial theory: arbitrage is not available if and only if there
exists an equivalent measure such that the discounted prices are martingales with respect to this measure (MME). As a consequence,
under MME, any previsible (non-anticipative) strategy cannot have secure (without risk) profit. Moreover, a careful reading
of a bootstrap proof of the first fundamental theorem of asset pricing (see Schachermeier (1992)) underlines the fact that,
if there is no possibility of arbitrage during any unit interval, then no arbitrage is allowed with any finite temporal horizon
strategy.
Mathematics Subject Classification (2000): Primary: 60G48; Secondary: 60G40, 60G07
Journal of Economic Literature Classification: C50, C72, D84 相似文献
10.
This paper studies minimally-supported D-optimal designs for polynomial regression model with logarithmically concave (log-concave) weight functions. Many commonly
used weight functions in the design literature are log-concave. For example,
and exp(−x
2) in Theorem 2.3.2 of Fedorov (Theory of optimal experiments, 1972) are all log-concave. We show that the determinant of information
matrix of minimally-supported design is a log-concave function of ordered support points and the D-optimal design is unique. Therefore, the numerically D-optimal designs can be constructed efficiently by cyclic exchange algorithm. 相似文献
11.
The t regression models provide a useful extension of the normal regression models for datasets involving errors with longer-than-normal
tails. Homogeneity of variances (if they exist) is a standard assumption in t regression models. However, this assumption is not necessarily appropriate. This paper is devoted to tests for heteroscedasticity
in general t linear regression models. The asymptotic properties, including asymptotic Chi-square and approximate powers under local alternatives
of the score tests, are studied. Based on the modified profile likelihood (Cox and Reid in J R Stat Soc Ser B 49(1):1–39,
1987), an adjusted score test for heteroscedasticity is developed. The properties of the score test and its adjustment are
investigated through Monte Carlo simulations. The test methods are illustrated with land rent data (Weisberg in Applied linear
regression. Wiley, New York, 1985).
The project supported by NSFC 10671032, China, and a grant (HKBU2030/07P) from the Grant Council of Hong Kong, Hong Kong,
China. 相似文献
12.
In two recent papers by Balakrishnan et al. (J Qual Technol 39:35–47, 2007; Ann Inst Stat Math 61:251–274, 2009), the maximum
likelihood estimators [^(q)]1{\hat{\theta}_{1}} and [^(q)]2{\hat{\theta}_{2}} of the parameters θ
1 and θ
2 have been derived in the framework of exponential simple step-stress models under Type-II and Type-I censoring, respectively.
Here, we prove that these estimators are stochastically monotone with respect to θ
1 and θ
2, respectively, which has been conjectured in these papers and then utilized to develop exact conditional inference for the
parameters θ
1 and θ
2. For proving these results, we have established a multivariate stochastic ordering of a particular family of trinomial distributions
under truncation, which is also of independent interest. 相似文献
13.
This paper examines the wide-spread practice where data envelopment analysis (DEA) efficiency estimates are regressed on some
environmental variables in a second-stage analysis. In the literature, only two statistical models have been proposed in which
second-stage regressions are well-defined and meaningful. In the model considered by Simar and Wilson (J Prod Anal 13:49–78,
2007), truncated regression provides consistent estimation in the second stage, where as in the model proposed by Banker and Natarajan
(Oper Res 56: 48–58, 2008a), ordinary least squares (OLS) provides consistent estimation. This paper examines, compares, and contrasts the very different
assumptions underlying these two models, and makes clear that second-stage OLS estimation is consistent only under very peculiar
and unusual assumptions on the data-generating process that limit its applicability. In addition, we show that in either case,
bootstrap methods provide the only feasible means for inference in the second stage. We also comment on ad hoc specifications
of second-stage regression equations that ignore the part of the data-generating process that yields data used to obtain the
initial DEA estimates. 相似文献
14.
Process capability indices, such as C
pk
, have been widely used in the manufacturing industry to provide common quantitative measures for process performance. The
index C
pk
only provides an approximate rather than an exact measure of the process yield. To obtain an exact measure of the process
yield, Boyles proposed a yield index S
pk
. Capability measures for processes with single stream have been investigated extensively; however, multiple streams processes
often occur in practice. Bothe presented a capability index for multiple streams process. In the present paper, a new index
that is able to provide an exact measure of yield for a multiple streams process is developed. Three examples are given for
illustration. From the results of the yield measure in the three examples, the conventional approach, using the arithmetic
average of the estimated yield indices of all streams, will certainly over-estimate the process yield. 相似文献
15.
Tashiro (Ann Inst Stat Math 29:295–300, 1977) studied methods for generating unform points on the surface of the regular unit
sphere. The L
p
-norm unit sphere is a generalization of the regular unit sphere. In this paper we propose a method associated with an algorithm
for generating uniformly scattered points on the L
p
-norm unit sphere and discuss its applications in statistical simulation, representative points of a wide class of multivariate
probability distributions and optimization problems. Some examples are illustrated for these applications.
This research was supported by The University of Hong Kong Research Grant and a University of New Haven 2005 and 2006 Summer
Faculty Fellowships. 相似文献
16.
Supersaturated designs (SSDs) constitute an important class of fractional factorial designs that could be extremely useful in factor screening experiments. Most of the existing studies have focused on balanced designs. This paper provides a new lower bound for the \(E(f_{NOD})\)-optimality measure of SSDs with general run sizes. This bound is a generalization of existing bounds since it is applicable to both balanced and unbalanced designs. Optimal multi and mixed-level, balanced and nearly balanced SSDs are constructed by applying a k-circulant type methodology. Necessary and sufficient conditions are introduced for the generator vectors, in order to pre-ensure the optimality of the constructed k-circulant SSDs. The provided lower bounds were used to measure the efficiency of the generated designs. The presented methodology leads to a number of new families of improved SSDs, providing tools for directly constructing optimal or nearly-optimal k-circulant designs by just checking the corresponding generator vector. 相似文献
17.
Process capability indices have been proposed to the manufacturing industry for measuring process reproduction capability.
The C
pm index takes into account the degree of process targeting (centering), which essentially measures process performance based
on average process loss. To properly and accurately estimate the capability index, numerous conventional approaches have been
proposed to obtain lower limits of the classical confidence intervals (CLCLs) for providing process capability information.
In particular, lower confidence limits (LCLs) not only provide critical information regarding process performance but are
used to determine if an improvement was made in reducing the nonconforming percent and the process expected loss. However,
the conventional approach lacks for exact confidence intervals for C
pm involving unknown parameters which is a notable shortcoming. To remedy this, the method of generalized confidence intervals
(GCIs) is proposed as an extension of classical confidence intervals (CCIs). For evaluating practical applications, two lower
limits of generalized confidence intervals (GLCLs) for C
pm using generalized pivotal quantities (GPQs) are considered, (i) to assess the minimum performance of one manufacturing process/one
supplier, and (ii) to assess the smallest performance of several manufacturing processes/several suppliers for equal as well
as unequal process variances. 相似文献
18.
In this paper a new process capability index (C
pq
) has been introduced, which is easy to compute and performs well when compared with its natural competitor (C
pm
).
Work done while he was Lukacs Visiting Professor on leave from the University of Maryland. 相似文献
19.
Pearn et al. (Commun. Stat. Theory Methods, 27(4):985–1000, 1998) introduced the process accuracy index C
a
to measure the degree of process centering, the ability to cluster around the center. In this paper, we derive an explicit
form of the cumulative distribution function for the estimator [^(C)]a{\hat{C}_a } with the case of symmetric tolerances. Subsequently, the distributional and inferential properties of the estimated process
accuracy index C
a
are provided. Calculations of the critical values, P-values, and lower confidence bounds are developed for testing process accuracy. Further, a generalization of C
a
for the case with asymmetric tolerances is proposed to measure the process accuracy. Based on the results practitioners can
easily perform the testing of the process accuracy, and make reliable decisions on whether actions should be taken to improve
the process quality. An application is given to illustrate how we test the process accuracy using the actual data collected
from the factory. 相似文献
20.
Hasan Samani 《Quality and Quantity》2018,52(1):205-214
The nineteenth century is a century of reform for the Ottoman state. The Tanzimat reforms hold a unique place in the Ottoman history of modernization. During the Tanzimat period (1839–1878), the state underwent a restructuring process in almost all of its institutions to establish a centralized modern state and many new institutions were established. The Ottomans paid special attention to education to train the new generation required for the continuity of modernization and the centralized bureaucratic structure. While they opened modern high schools and higher education institutions, they attempted to reform the existing s?byan schools, which were the primary education institutions. This process of restructuring education was also carried out in Cyprus, which had been an Ottoman island since 1571. These attempts remained restricted to efforts to increase the number of s?byan schools in Cyprus. There was a failure to replace the religious education given at schools with a secular program, curriculum or modern education system based on education management. This situation also adversely affected the quality of education at the Rü?tiye School in Nicosia, the first and only modern secondary school of the period and which was opened in Nicosia in 1864. 相似文献