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The Annals of Statistics, ISSN 0090-5364, 4/2010, Volume 38, Issue 2, pp. 943 - 978
Journal Article
Bayesian Analysis, ISSN 1936-0975, 2011, Volume 6, Issue 2, pp. 197 - 202
Journal Article
Bayesian Analysis, ISSN 1936-0975, 2011, Volume 6, Issue 2, pp. 203 - 204
Journal Article
Bayesian Analysis, ISSN 1936-0975, 06/2011, Volume 6, Issue 2, pp. 205 - 207
Journal Article
Communications in Statistics - Simulation and Computation, ISSN 0361-0918, 04/2019, Volume 48, Issue 4, pp. 1121 - 1137
In this work we suggest the use of the Gini index on control charts. The asymptotic properties of Gini index are presented and the control charts based on... 
Simulations | Control chart | Gini index | Coefficient of variation | 62F25, 62P20, 65C05, 65C60, 91B82
Journal Article
The Annals of Statistics, ISSN 0090-5364, 6/2009, Volume 37, Issue 3, pp. 1405 - 1436
Journal Article
Journal of Interdisciplinary Mathematics, ISSN 0972-0502, 10/2017, Volume 20, Issue 6-7, pp. 1515 - 1520
Based on the theory of enterprise heterogeneity, this paper uses the data of manufacturing enterprises in China to analyze the influence factors of Chinese... 
Productivity | Foreign direct investment | Heterogeneity | 62P20 | Manufacturing enterprises
Journal Article
The Annals of Statistics, ISSN 0090-5364, 4/2005, Volume 33, Issue 2, pp. 806 - 839
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 05/2018, Volume 47, Issue 10, pp. 2337 - 2350
The comonotonicity and countermonotonicity provide intuitive upper and lower dependence relationship between random variables. This paper constructs the... 
Shuffle of Min approximation | Copula | 65C10, 62P20, 41A99 | Narrow bounds of copula | COMONOTONICITY | STATISTICS & PROBABILITY | Bivariate analysis | Random variables
Journal Article
Scandinavian Actuarial Journal, ISSN 0346-1238, 11/2019, Volume 2019, Issue 10, pp. 867 - 902
The Cox-Ingersoll-Ross CIR short rate model is a mean-reverting model of the short rate which, for suitably chosen parameters, permits closed-form valuation... 
Actuarial valuation | 62P20 | long-term yield | stochastic short rate | Cox-Ingersoll-Ross model | Primary 62P05 | Secondary 60G35
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 11/2018, Volume 47, Issue 22, pp. 5391 - 9395
In this note, we derive upper bounds on the variance of a mixed random variable. Our results are an extension of previous results for unimodal and symmetric... 
62P20 | Primary: 60E15 | Secondary: 62P05 | Popoviciu's inequality | symmetry | variance | upper bounds | Gruss' inequality | unimodal | Gruss’ inequality | STATISTICS & PROBABILITY | UNIMODAL DISTRIBUTIONS | Upper bounds | Variance | Random variables
Journal Article
Annals of Statistics, ISSN 0090-5364, 02/2016, Volume 44, Issue 1, pp. 58 - 86
In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the... 
Jump activity | Blumenthal-Getoor index | Infinite variation | Semimartingale | Lévy process | Levy process | semimartingale | infinite variation | STATISTICS & PROBABILITY | INTEGRATED VOLATILITY | ACTIVITY INDEX | jump activity | Blumenthal–Getoor index | 62P20 | 62M02 | 62M05
Journal Article
Communications in Statistics - Simulation and Computation, ISSN 0361-0918, 05/2017, Volume 46, Issue 5, pp. 3588 - 3598
The Lloyd-Moulton price index does not make use of current-period expenditure data and, as it is commonly known, it allows us to approximate superlative... 
Fisher index | Consumer Price Index | 6204 | 62P20 | Price indices | Lloyd-Moulton index | BIASES | STATISTICS & PROBABILITY | Mathematical analysis | Volatility | Approximation
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 12/2019, Volume 48, Issue 24, pp. 6019 - 6037
The compound Poisson Omega model is considered in the presence of a three-step premium rate. Firstly, the integral equations and the integro-differential... 
62P20 | Compound Poisson | Omega model | Three-step premium rate | Integro-differential equation | Gerber-Shiu function | 91B30 | Penalty function | Size distribution | Initial conditions | Integral equations | Differential equations | Mathematical models | Bankruptcy
Journal Article
The Annals of Statistics, ISSN 0090-5364, 4/2008, Volume 36, Issue 2, pp. 742 - 786
Journal Article
Journal of Time Series Analysis, ISSN 0143-9782, 01/2017, Volume 38, Issue 1, pp. 3 - 21
Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of autoregressive... 
econometrics | stationary solutions.MSC 2010: Primary: 62M10 | Secondary: 62P20 | functional data | GARCH processes | 91B84 | financial time series | stationary solutions | MSC 2010: Primary: 62M10 | ARCH | STATISTICS & PROBABILITY | MODEL | SUMS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | STATIONARITY | WEAK INVARIANCE-PRINCIPLES
Journal Article
TEST, ISSN 1133-0686, 9/2018, Volume 27, Issue 3, pp. 716 - 748
Journal Article
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