排序方式: 共有26条查询结果,搜索用时 15 毫秒
1.
Hidetoshi Murakami 《Statistica Neerlandica》2014,68(4):267-275
Calculating the probability of the corresponding significance point is important for finite sample sizes. However, it is difficult to evaluate this probability when the sample sizes are moderate to large. Under these circumstances, consideration of a more accurate approximation for the distribution function is extremely important. Herein, we performed a saddlepoint approximation in the upper tails for the distribution of the sum of independent non‐identically uniform random variables under finite sample sizes. Saddlepoint approximation results were compared with those for a normal approximation. Additionally, the order of errors of the saddlepoint approximation was derived. © 2014 The Authors. Statistica Neerlandica © 2014 VVS. 相似文献
2.
Chikako Keumi Hideki Murakami 《Transportation Research Part E: Logistics and Transportation Review》2012,48(5):1023-1031
We empirically study passenger modal-choice behavior to access an international hub airport, by using stated preference (SP) data and by constructing a binomial logit model. We found that passenger modal choice is affected by the service level of the access modes: travel time, travel cost, waiting time, and delay cost. The results also indicate that if passengers choose access mode in advance they consider service frequency: departure timing from home, and the arrival timing at the airport. Moreover, our results indicate that travelers’ willingness to pay for saving time differs by time of a day. They are apt to pay more in the morning than in the afternoon. These outcomes must contribute to improve the access flight service from local to hub airports to handle the needs of passengers. 相似文献
3.
Hidetoshi Komiya 《Economic Theory》1997,9(2):371-375
Summary We consider an inverse of the Berge maximum theorem. We also give an application of our result to fixed point theory. 相似文献
4.
This paper proposes a new methodology of evaluating industrial R&D projects to assess the effectiveness of future R&D in terms of financial credibility, to prioritize them efficiently by clear criteria to reduce the time and burden consumed by both project leaders and management staffs. A new methodology has been developed and applied to all Sumitomo Electric Industries (SEI) R&D projects, and is recognized as a useful system for evaluating many R&D projects in a short period, such as 150 projects per month. 相似文献
5.
This paper examines certain types of saving institutions or insurance companies that are subject to surrender and default risks, in a stochastic interest rate context. In the setting under study, investors are endowed with an option to surrender. The goal of the paper is to study how this option impacts the default risk of the issuing company and the value of the contracts it issues. Surrender risk has been extensively studied in arbitrated markets, using trees or least‐squares Monte Carlo methods for valuations, although practitioners often rely on econometric methods. We deal with surrender risk in a third way, assuming policyholders have sets of information and preferences that differ from those of financial market agents, but without relying on econometric methods. In particular, policyholders are supposed to be only partially rational (at least in the financial sense). This is done by modeling surrender risk through a Cox process correlated to the assets and interest rate dynamics. The paper provides formulas for the dynamics of the assets of the issuing firm (these dynamics drive the default time of the company), and for the valuation of liabilities and equity. A numerical illustration is provided. 相似文献
6.
Hideki Murakami 《Pacific Economic Review》2011,16(1):103-119
This paper empirically analyzes dynamic change in inter‐firm rivalry between Japanese low‐cost carriers (LCC) and full‐service carriers, and deduces the dynamic change in consumer surplus after an LCC enters a market. Our findings are that: (i) the conduct parameters of LCC and reacting full‐service carriers were extraordinarily low when competition started; (ii) the conduct parameters were restored to, or even exceeded, the pre‐entry level in the third year of LCC entry; and (iii) gains in total welfare were recognized for five of the nine markets, whereas in three markets only the airline industry benefited, and in one market, total welfare decreased. 相似文献
7.
Kohei Ichikawa Toshihiko Takemura Masatoshi Murakami Kazunori Minetaki Taiyo Maeda 《The Review of Socionetwork Strategies》2011,5(1):1-16
The objective of this paper is to find a new method to estimate real social networks based on observed data collected by questionnaire surveys. Studies on social networks have been increasing in order to analyze social phenomena from a micro viewpoint. Most social phenomena can be explained by micro-level interactions among people. Spread of rumor and pandemics are typical example of micro interaction? However, there has not been much work on an analysis of real social networks based on observed data. This study tries to establish a methodology that exploits a genetic algorithm to rebuild a social network based on the data observed indirectly from real social networks. This paper introduces our proposed method, which allows us to rebuild a social network to some extent from degree distributions of a target real social network. 相似文献
8.
Suguru Yamanaka Masaaki Sugihara Hidetoshi Nakagawa 《Asia-Pacific Financial Markets》2012,19(1):43-62
We present a new model of the occurence of credit events such as rating changes and defaults for risk analyses of some portfolio
credit derivatives. The framework of our model is based on a so-called top-down approach. Specifically, we first consider
modeling the point process of each type of credit event in the whole economy using a self-exciting intensity process. Next,
we characterize the point processes of credit events in the underlying sub-portfolio using random thinning processes specified
by the distribution of credit ratings in the sub-portfolio. One of the main features of our model is that the model can capture
credit risk contagion simultaneously among several credit portfolios. We present a credit event simulation algorithm based
on our model and illustrate an application of the model to risk analyses of loan portfolios. 相似文献
9.
Kyo Tsuda M.D. Hironobu Nakamura Takamichi Murakami Takahiro Kozuka Machiko Yoshii Koji Isozaki Yasuo Tsukahara Mototaka Takami Masato Hanada 《Empirical Economics》1993,18(3):283-285
We encountered a patient with steroidrelated peliosis of the spleen, a rare disease characterized by multiple blood-filled cavities in the splenic parenchyma, with spontaneous intraperitoneal hemorrhage. The ultrasonographic, computed tomographic, and angiographic images were compared with pathologic findings of the material obtained surgically. 相似文献
10.
This paper investigates the pricing of Nikkei 225 Options using the Markov Switching GARCH (MSGARCH) model, and examines its
practical usefulness in option markets. We assume that investors are risk-neutral and then compute option prices by using
Monte Carlo simulation. The results reveal that, for call options, the MSGARCH model with Student’s t-distribution gives more accurate pricing results than GARCH models and the Black–Scholes model. However, this model does
not have good performance for put options. 相似文献