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Statistical Investigation of Increments of Currency Rates Logarithms
Currency Rates Logarithms Statistical Investigation Statistics Theory
2011/9/15
Abstract: We consider the currency rates dynamics for 12 currencies, including dollar and euro, with respect to Russian rouble. We prove that the Samuelson model (geometric Brownian motion) is not sui...
Characterizations of processes with stationary and independent increments under $G$-expectation
Characterizations of processes stationary independent increments
2010/11/26
Our purpose is to investigate properties for processes with stationary and independent increments under G-expectation. As applications,we prove the martingale characterization to G-Brownian motion and...
This paper is motivated by relations between association and in-dependence of random variables. It is well-known that for real ran-dom variables independence implies association in the sense of Esary,...
Bounds on the Expectations of $k^{th}$ Record Increments
Record statistics Record increments Bounds for moments Moriguti monotone approximation
2008/7/2
Here in this paper, we establish sharp bounds on the expectations of kth record increments from general and non-negative parent distributions. We also determine the probability distributions for which...
The Limiting Behavior of Large Increments of Stationary Gaussian Processes
Gaussian processes stationary large incremengs regularly vary function
2012/10/10
Let ≥ be a real-valued separable Gaussian process with mean zero, { ( ), Xt t 0} {0} 0 X = , and with stationary.In this paper, we obtain some ideal results on the limiting behavior of large incremen...