Temat: random sum - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Approximation of random sums of random variables in insurance
Autorzy:: Wlaź, P.
Powiązania:: https://bibliotekanauki.pl/articles/102826.pdf
Data publikacji:: 2014
Wydawca:: Stowarzyszenie Inżynierów i Techników Mechaników Polskich
Tematy:: random sum
fast Fourier transform
shifted gamma distribution
Opis:: The paper deals with approximations of random sums. By random sum we mean a sum of random number of independent and identically distributed random variables. Distribution of this sum is called a compound distribution. The model is especially important in non-life insurance. There are many methods for approximating compound distributions, one of the most popular one is approximation with shifted gamma distribution. In this work we show an alternative way – using kernel density, Fast Fourier Transform and numerical optimization methods – for finding shifted gamma approximations and show results suggesting its superiority over classical method.
Źródło:: Advances in Science and Technology. Research Journal; 2014, 8, 23; 88-93
2299-8624
Pojawia się w:: Advances in Science and Technology. Research Journal
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: On some limit distributions for geometric random sums
Autorzy:: Malinowski, Marek
Powiązania:: https://bibliotekanauki.pl/articles/729662.pdf
Data publikacji:: 2008
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: random sum
infinite divisibility
semistability
geometric infinite divisibility
geometric stability
geometric semistability
characteristic function
limit distribution
Lévy process
Opis:: We define and give the various characterizations of a new subclass of geometrically infinitely divisible random variables. This subclass, called geometrically semistable, is given as the set of all these random variables which are the limits in distribution of geometric, weighted and shifted random sums. Introduced class is the extension of, considered until now, classes of geometrically stable [5] and geometrically strictly semistable random variables [10]. All the results can be straightforward transfered to the case of random vectors in $ℝ^d$.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2008, 28, 2; 247-266
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Near-exact distributions for the generalized Wilks Lambda statistic
Autorzy:: Grilo, Luís
Coelho, Carlos
Powiązania:: https://bibliotekanauki.pl/articles/729992.pdf
Data publikacji:: 2010
Wydawca:: Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:: independent Beta random variables
characteristic function
sum of Gamma random variables
likelihood ratio test statistic
proximity measures
Opis:: Two near-exact distributions for the generalized Wilks Lambda statistic, used to test the independence of several sets of variables with a multivariate normal distribution, are developed for the case where two or more of these sets have an odd number of variables. Using the concept of near-exact distribution and based on a factorization of the exact characteristic function we obtain two approximations, which are very close to the exact distribution but far more manageable. These near-exact distributions equate, by construction, some of the first exact moments and correspond to cumulative distribution functions which are practical to use, allowing for an easy computation of quantiles. We also develop three asymptotic distributions which also equate some of the first exact moments. We assess the proximity of the asymptotic and near-exact distributions obtained to the exact distribution using two measures based on the Berry-Esseen bounds. In our comparative numerical study we consider different numbers of sets of variables, different numbers of variables per set and different sample sizes.
Źródło:: Discussiones Mathematicae Probability and Statistics; 2010, 30, 1; 53-86
1509-9423
Pojawia się w:: Discussiones Mathematicae Probability and Statistics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Representation formulae for (C₀) m-parameter operator semigroups
Autorzy:: Zhou, Mi
Anastassiou, George
Powiązania:: https://bibliotekanauki.pl/articles/1311136.pdf
Data publikacji:: 1996
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:: multi-parameter operator semigroups
representation formulae
multivariate approximation
sum of random vectors
Banach space
multiplier enlargement method
rate of convergence
second modulus of continuity
inequalities
Opis:: Some general representation formulae for (C₀) m-parameter operator semigroups with rates of convergence are obtained by the probabilistic approach and multiplier enlargement method. These cover all known representation formulae for (C₀) one- and m-parameter operator semigroups as special cases. When we consider special semigroups we recover well-known convergence theorems for multivariate approximation operators.
Źródło:: Annales Polonici Mathematici; 1996, 63, 3; 247-272
0066-2216
Pojawia się w:: Annales Polonici Mathematici
Dostawca treści:: Biblioteka Nauki

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