Pełnotekstowe zasoby PLDML oraz innych baz dziedzinowych są już dostępne w nowej Bibliotece Nauki.
Zapraszamy na https://bibliotekanauki.pl
Preferencje help
Polish version English version Język
Widoczny [Schowaj] Abstrakt
Liczba wyników

Znaleziono wyników: 7

Liczba wyników na stronie
first rewind previous Strona / 1 next fast forward last

Wyniki wyszukiwania

help Sortuj według:

help Ogranicz wyniki do:
first rewind previous Strona / 1 next fast forward last
1
Content available remote

Stochastic comparisons of moment estimators of gamma distribution parameters

100%
Nowak P.
Applicationes Mathematicae
|
2012
|
tom 39
|
nr 2
129-135
EN
Recently the order preserving property of estimators has been intensively studied, e.g. by Gan and Balakrishnan and collaborators. In this paper we prove the stochastic monotonicity of moment estimators of gamma distribution parameters using the standard coupling method and majorization theory. We also give some properties of the moment estimator of the shape parameter and derive an approximate confidence interval for this parameter.
2
Content available remote

A note on stochastic ordering of estimators of exponential reliability

100%
Nowak P.
Applicationes Mathematicae
|
2011
|
tom 38
|
nr 4
485-494
EN
Recently Balakrishnan and Iliopoulos [Ann. Inst. Statist. Math. 61 (2009)] gave sufficient conditions under which the maximum likelihood estimator (MLE) is stochastically increasing. In this paper we study test plans which are not considered there and we prove that the MLEs for those plans are also stochastically ordered. We also give some applications to the estimation of reliability.
3
Content available remote

A fuzzy approach to option pricing in a Levy process setting

64%
Nowak P., Romaniuk M.
International Journal of Applied Mathematics and Computer Science
|
2013
|
tom 23
|
nr 3
613-622
EN
In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. We assume that some parameters of the financial instrument cannot be precisely described and therefore they are introduced to the model as fuzzy numbers. Application of fuzzy arithmetic enables us to consider various sources of uncertainty, not only the stochastic one. To obtain the European call option pricing formula we use the minimal entropy martingale measure and Levy characteristics.
4
Content available remote

Book reviews: ''Point process theory and applications. Marked point and piecewise deterministic processes'' by Martin Jacobsen

63%
Nowak P.
Control and Cybernetics
|
2008
|
tom 37
|
nr 1
239-242
5
Content available remote

Books review: ''Advances in Mathematical Finance'' by M.C. Fu, R.A. Jarrow, Ju-Yi J. Yen and R.J. Elliott, eds.

50%
Nowak P.
Control and Cybernetics
|
2008
|
tom 37
|
nr 3
735-737
6
Content available remote

Book review: Handbook of Brownian Motion - Facts and Formulae. Second Edition by A.N. Borodin, P. Salminen

50%
Nowak P.
Control and Cybernetics
|
2003
|
tom 32
|
nr 4
897-899
7
Content available remote

Book review: "Statistical Data Analysis Based on the L1-Norm and Related Methods" by Ydolah Dodge, ed.

50%
Nowak P.
Control and Cybernetics
|
2006
|
tom 35
|
nr 3
757-760
first rewind previous Strona / 1 next fast forward last
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.