The Characteristic Function
A sequential approach to the characteristic function and the core in games with externalities
... a characteristic function in games with externalities is a wellknown problem in cooperative game ...the characteristic function of a coalitional game as the maximal aggre- gate payoff that a ...
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Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model
... the characteristic function. The characteristic function is used in conjunction with a Gauss-Legendre quadrature to estimate an ...the characteristic function is evaluated by the ...
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ONE-SIDED \(L\)-APPROXIMATION ON A SPHERE OF THE CHARACTERISTIC FUNCTION OF A LAYER
... univariate function defined on the interval [ − 1, ...For function (0.5), the function ζ in representation ...the characteristic function of the interval ...
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White Noise Path Integral Evaluation of the Characteristic Function of a Modified Wormlike Chain
... The characteristic function of a wormlike chain is expressed as a Feynman path integral, obtained via the white noise functional ...the characteristic function in one dimension only, we let ...
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The Characteristic Function Method and Its Application to (1 + 1) Dimensional Dispersive Long Wave Equation
... Received October 19, 2011; revised November 24, 2011; accepted December 5, 2011 ABSTRACT In this paper, the characteristic function method is applied to seek traveling wave solutions of nonlinear partial ...
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On the characteristic function of a sum of M dependent random variables
... On the convergence rate in the central limit theorem for m- dependent random variables, Theor.. RHEE, Wo On Asymptotic normality for m-dependent U-Statistics, to appear[r] ...
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Characteristic function approach to the sum of stochastic variables
... Abstract This paper puts forward a technique based on the characteristic function to tackle the problem of the sum of stochastic variables. We consider independent processes whose reduced variables are ...
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On the Moments, Cumulants, and Characteristic Function of the Log-Logistic Distribution
... and Characteristic Function of the Log-Logistic Distribution Dian Ekawati 1 , Warsono 1 , and Dian Kurniasari 1 Abstract This research examine about the moments, cumulants, and characteristic ...
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Characteristic function pricing with the Heston-LIBOR hybrid model
... the Characteristic Function Many of the parameters in the characteristic function are not constant through time, so an analysis of these parameters may be ...the characteristic ...
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Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
... conditional characteristic function of the asset ...the characteristic function will become indepen- dent on time and realizations of the state variables, observable or ...teristic ...
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Characteristic function-based hypothesis tests under weak dependence
... k = 1 e it′ X∗ k . When bootstrapping the test statistic G n under weak dependence, similar problems as in the previous section occur. Again the bootstrap counterpart G ∗ n of the approximating V -statistic G n is not ...
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Pricing Asian Option Based on Characteristic Function and Numerical Calculation
... Then, this paper gets the formal expression of the Asian option’s price based on the characteristic function method and equivalent martingale transform.. After this, this pap[r] ...
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Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes.
... the characteristic function which can be applied to several models as well as to develop efficient estimation techniques based on the empirical characteristic ...
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Synthesis of general Chebyshev characteristic function for dual (single) bandpass filters
... The term accounts for a pair of imaginary turning points. The other turning points are provided by the term and the extra zeros provided by this expression are just the cut-off points at and , which are cancelled out by ...
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Tests of radial symmetry for multivariate copulas based on the copula characteristic function
... Abstract: A new class of rank statistics is proposed to assess that the copula of a multivariate population is radially symmetric. The proposed test statistics are weighted L 2 functional distances between a ...
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Empirical characteristic function tests for GARCH innovation distribution using multipliers
... empirical characteristic function of the residuals and the characteristic function under the null hypothesis have been proposed in the ...
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Sets, Tables, and Dictionaries. Set representations characteristic function, lists, ordered lists
... The more efficient List representations and the characteristic function representation are not available since the elements are assumed to be un- ordered. The operations can be made more efficient by ...
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"Goodness-of-Fit Tests for Symmetric Stable Distributions - Empirical Characteristic Function Approach"
... covariance function of the characteristic function process with parameters estimated by MLE and ...covariance function are numerically evaluated and asymptotic distribution of the test ...
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Empirical Characteristic Function Approach to Goodness of Fit Tests for the Logistic Distribution under SRS and RSS
... empirical characteristic function of the sample and the characteristic function of the null distribution, that is, they considered the test statistic of the ...
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An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility
... We argued that this method does not suffer from the same shortcoming as the likelihood-based method because the required Fourier transformation ensures that the characteristic function is always uniformly ...
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