Academic literature on the topic 'Mixed Tempered Stable'

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Journal articles on the topic "Mixed Tempered Stable"

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Rroji, Edit, and Lorenzo Mercuri. "Mixed tempered stable distribution." Quantitative Finance 15, no. 9 (October 23, 2014): 1559–69. http://dx.doi.org/10.1080/14697688.2014.969763.

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Mercuri, Lorenzo, and Edit Rroji. "Risk parity for Mixed Tempered Stable distributed sources of risk." Annals of Operations Research 260, no. 1-2 (December 20, 2016): 375–93. http://dx.doi.org/10.1007/s10479-016-2394-y.

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Hitaj, Asmerilda, Lorenzo Mercuri, and Edit Rroji. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization." Computational Management Science 16, no. 1-2 (April 23, 2018): 71–95. http://dx.doi.org/10.1007/s10287-018-0306-0.

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Esmaeelnejad, Leila, Mehdi Shorafa, Manouchehr Gorji, and Seiyed M. Hosseini. "Enhancement of physical and hydrological properties of a sandy loam soil via application of different biochar particle sizes during incubation period." Spanish Journal of Agricultural Research 14, no. 2 (June 1, 2016): e1103. http://dx.doi.org/10.5424/sjar/2016142-9190.

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In spite of many studies that have been carried out, there is a knowledge-gap as to how different sizes of biochars alter soil properties. Therefore, the main objective of this study was to investigate the effects of different sizes of biochars on soil properties. The biochars were produced at two pyrolysis temperatures (350 and 550°C) from two feedstocks (rice husk and apple wood chips). Produced biochars were prepared at two diameters (1-2 mm and <1 mm) and mixed with soil at a rate of 2% (w/w). Multiple effects of type, temperature and size of biochars were significant, so as the mixture of soil and finer woodchip biochars produced at 550°C had significant effects on all soil properties. Soil aggregation and stabilization of macro-aggregates, values of mean weight diameter and water stable aggregates were improved due to increased soil organic matter as binding agents and microbial biomass. In addition, plant available water capacity, air capacity, S-index, meso-pores and water retention content were significantly increased compared to control. But, saturated hydraulic conductivity (Ks) was reduced due to blockage of pores by biochar particles, reduction of pore throat size and available space for flow and also, high field capacity of biochars. So, application of biochar to soil, especially the finest particles of high-tempered woody biochars, can improve physical and hydrological properties of coarse-textured soils and reduce their water drainage by modification of Ks.
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Yoshioka, Hidekazu. "Fitting a superposition of Ornstein–Uhlenbeck process to time series of discharge in a perennial river environment." ANZIAM Journal 63 (June 28, 2022): C84—C96. http://dx.doi.org/10.21914/anziamj.v63.16985.

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Classical Ornstein–Uhlenbeck (ou) processes are Lévy-driven linear stochastic models with exponentially decaying autocorrelation functions which do not always fit more slowly decaying real time series data. A superposition of ou processes (known as a supou process) is proposed to overcome this issue for application to river discharge time series data. The discharge data has a sub-exponential autocorrelation function and this is captured by the supou process based on the mean reversion speed generated by a Gamma distribution. All the parameters of the supou process are identified by matching the autocorrelation and the first to fourth statistical moments of the discharge data. The empirical and modelled histograms of the discharge data are comparable with each other. References O. E. Barndorff-Nielsen. Superposition of Ornstein–Uhlenbeck type processes. Theory Prob. Appl. 45.2 (2001), pp. 175–194. doi: 10.1137/S0040585X97978166 O. E. Barndorff-Nielsen, F. E. Benth, and A. E. D. Veraart. Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Bernoulli 19.3 (2013), pp. 803–845. doi: 10.3150/12-BEJ476 O. E. Barndorff-Nielsen and N. N. Leonenko. Burgers’ turbulence problem with linear or quadratic external potential. J. Appl. Prob. 42.2 (2001), pp. 550–565. url: http://www.jstor.org/stable/30040809 J. Beran, Y. Feng, S. Ghosh, and R. Kulik. Long-Memory Processes. Springer-Verlag, Berlin, Heidelberg, 2016. doi: 10.1007/978-3-642-35512-7 F. Fuchs and R. Stelzer. Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model. ESAIM: Prob. Stat. 17 (2013), pp. 455–471. doi: 10.1051/ps/2011158 Y. Kabanov and S. Pergamenshchikov. Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process. Fin. Stoch. 24.1 (2020), pp. 39–69. doi: 10.1007/s00780-019-00413-3 R. Kawai and H. Masuda. On simulation of tempered stable random variates. J. Comput. Appl. Math. 235.8 (2011), pp. 2873–2887. doi: 10.1016/j.cam.2010.12.014 S. Pelacani and F. G. Schmitt. Scaling properties of the turbidity and streamflow time series at two different locations of an intra-Apennine stream: Case study. J. Hydro. 603.B (2021), p. 126943. doi: 10.1016/j.jhydrol.2021.126943 R. Stelzer, T. Tosstorff, and M. Wittlinger. Moment based estimation of supOU processes and a related stochastic volatility model. Stat. Risk Model. 32.1 (2015), pp. 1–24. doi: 10.1515/strm-2012-1152 S. Suweis, E. Bertuzzo, G. Botter, A. Porporato, I. Rodriguez-Iturbe, and A. Rinaldo. Impact of stochastic fluctuations in storage-discharge relations on streamflow distributions. Water Resource. Res. 46.3 (2010), W03517. doi: 10.1029/2009WR008038 M. Tamborrino and P. Lansky. Shot noise, weak convergence and diffusion approximations. Physica D: Nonlinear Phenomena 418 (2021), p. 132845. doi: 10.1016/j.physd.2021.132845 E. Taufer and N. Leonenko. Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution. In: Comput. Stat. Data Anal. 53.6 (2009), pp. 2427–2437. doi: 10.1016/j.csda.2008.02.026 C. Van Den Broeck. On the relation between white shot noise, Gaussian white noise, and the dichotomic Markov process. J. Stat. Phys. 31 (1983), pp. 467–483. doi: 10.1007/BF01019494 H. Yoshioka and Y. Yoshioka. Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach. Opt. Eng. (2021), pp. 1–33. doi: 10.1007/s11081-021-09655-7
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Yanuriati, Anny, Djagal Wiseso Marseno, Rochmadi Rochmadi, and Eni Harmayani. "Gel Glukomanan Porang-Xantan dan Kestabilannya Setelah Penyimpanan Dingin dan Beku." Agritech 37, no. 2 (September 14, 2017): 121. http://dx.doi.org/10.22146/agritech.10793.

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The objectives of this research were to find the porang glucomannan-xanthan optimum ratio on composite gelation and its stability after chilled and frozen storage. Porang glucomannan sol was mixed with xanthan sol in ratio 20/40; 40/60; 50/50; 60/40 and 80/20. The composites were heated for 45 minutes at 90 °C with agitation for 5 minutes, molded, tempered, and stored at 5 °C dan -8 °C for 24 days. Before dan after storage, the texture profile, WBC and sineresis of the gel were analyzed. The composite gel microstructure was analyzed using SEM. The composite gel with ratio 20/80 had the optimum interaction synergy on gelation and stability. The GP-X intermolecular association resulted in long high density junction zones which had highest hardness, chewiness and gumminess with the smallest deformation degree and sineresis as well as medium cohesiveness. Despite of no sineresis after chilled storage, the smaller gel pores indicated that the composite gel began to contract and degrade which resulted in cohesiveness, chewinees, hardness and gumminess decrease. The WBC increase on the higher GP-X ratio composite gel made the gel to be more stable in frozen storage compared to chilled storage. However, the bigger gel pores from entrapped water volume increasing during frozen storage crystal ice formation resulted in sineresis increase. The gel became more compact with higher cohesiveness, hardness, chewiness, gumminess and deformation degree. ABSTRAKPenelitian ini bertujuan untuk menentukan proporsi komposit glukomanan porang dan xantan (GP-X) yang bersinergi optimal dalam pembentukan gel yang stabil setelah penyimpanan dingin dan beku. Sol glukomanan porang 1% dan sol xantan 1% dicampur dengan proporsi GP-X 20/40; 40/60; 50/50; 60/40; dan 80/20. Campuran tersebut dipanaskan pada suhu 90-95 °C selama 45 menit disertai pengadukan selama 5 menit, dicetak, didinginkan dan disimpan pada suhu dingin (5 °C) dan beku (-8 °C) selama 24 hari. Profil tekstur, water binding capacity (WBC), dan sineresis dianalisis di awal dan setelah penyimpanan. Morfologi gel komposit sebelum penyimpanan dan morfologi gel yang paling optimum setelah penyimpanan dianalisis dengan Scanning Electron Microscope (SEM). Sinergi pembentukan gel komposit GP-X paling optimal didapatkan dengan ratio 20/80. Asosiasi intermolekul GP-X pada proporsi tersebut membentuk zona hubung yang panjang dan densitas tinggi sehingga menghasilkan hardness, chewiness, dan gumminess paling tinggi dengan derajat deformasi dan sineresis paling rendah serta daya kohesif yang sedang. Meskipun belum mengalami sineresis selama 24 hari penyimpanan dingin, pengecilan ukuran jaringan tiga dimensi (pori) gel komposit tersebut menunjukkan gel mulai kontraksi dan mengalami penurunan mutu dengan indikasi penurunan daya kohesif, chewiness, hardness, dan gumminess. Peningkatan WBC pada proporsi yang lebih tinggi menyebabkan gel nampak lebih stabil pada penyimpanan beku dibandingkan dengan penyimpanan dingin. Pembesaran pori gel akibat pengembangan volume air yang terperangkap selama pembentukan kristal es menyebabkan peningkatan sineresis, pemadatan gel, dan peningkatan hardness, chewiness, gumminess, dan persentase deformasi.
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Makarychev, S. V. "CHERNOZEMMOISTUREREGIMEFORMATIONUNDERSEA-BUCKTHORNPLANTATIONSANDITSREGULATION." Vestnik Altajskogo gosudarstvennogo agrarnogo universiteta, no. 11 (2021): 24–30. http://dx.doi.org/10.53083/1996-4277-2021-205-11-24-30.

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The features of soil hydrothermal regimes are deter-mined by such variables as dispersion, density, tempera-ture, moisture content, porosity and humus content. The most important index is soil moisture content which is sub-ject to significant fluctuations during the growing season. In terms of particle-size distribution, chernozem belongs to medium loams represented mainly by fine sand, coarse dust and silt. The number of water-stable aggregates measuring 0.25-0.01 mm is more than 90% of the total amount. The density of chernozem increases down the soil profile; in terms of organic content, it is low in humus. In the spring of 2012, after a dry winter, a small amount of melt water got into the soil. In April and May, the total soil mois-ture storage in the upper 20 cm layer of chernozem was insignificant. In June, the moisture storage continued to decline, but after the rain in the first ten-days of July, it in-creased to 44 mm. Nevertheless, already at the beginning of August, the drying up of the humus horizon was ob-served, and it lasted to September. In 2013, after snow-melt, the moisture content in the humus-accumulative hori-zons of chernozem was one and a half times higher than the minimum moisture capacity. Nevertheless, already in June, a water deficit arose in the arable horizon of the chernozem. This required irrigation with an irrigation rate of 450 t ha. In general, one-meter layer of chernozem con-tained more than 100 mm of productive moisture, i.e. mois-ture storage was “good.” But the summer period was poorly supplied with heat. Moisture deficit during the growing sea-son persisted only in the humus-accumulative horizons but since the underlying horizons contained a large amount of moisture, sea buckthorn plants had the opportunity to use it due to capillary recharge of the upper soil layers participat-ing in moisture transfer
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Rroji, Edit, and Lorenzo Mercuri. "Mixed Tempered Stable Distribution." SSRN Electronic Journal, 2013. http://dx.doi.org/10.2139/ssrn.2339273.

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9

Hitaj, Asmerilda, Lorenzo Mercuri, and Edit Rroji. "Sensitivity Analysis of the Mixed Tempered Stable Parameters with Implications in Portfolio Optimization." SSRN Electronic Journal, 2017. http://dx.doi.org/10.2139/ssrn.3045856.

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10

Rusch, René, Jens Trentmann, Lars Hummitzsch, Melanie Rusch, Schekeb Aludin, Assad Haneya, Martin Albrecht, et al. "Feasibility of a circulation model for the assessment of endovascular recanalization procedures and periprocedural thromboembolism in-vitro." Scientific Reports 9, no. 1 (November 22, 2019). http://dx.doi.org/10.1038/s41598-019-53607-2.

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AbstractAim of this study was to establish a simple and highly reproducible physiological circulation model to investigate endovascular device performance. The developed circulation model included a pneumatically driven pulsatile pump to generate a flow rate of 2.7 L/min at 70 beats per minute. Sections from the superficial femoral arteries were used in order to simulate device/tissue interaction and a filter was integrated to analyze periinterventional thromboembolism of white, red and mixed thrombi. The working fluid (3 L) was a crystalloid solution constantly tempered at 36.5 °C. To evaluate the model, aspiration thrombectomy, stent-implantation and thrombectomy with the Fogarty catheter were performed. Usability of the model was measured by the System Usability Scale (SUS) – Score. Histological specimens were prepared and analyzed postinterventional to quantify tissue/device interaction. Moreover, micro- and macroembolism were evaluated for each thrombus entity and each device. Results were tested for normality using the D’Agostino-Pearson test. Statistical comparisons of two groups were performed using the Student’s t-test. All devices were able to remove the occlusions after a maximum of 2 attempts. First-pass-recanalization was not fully achieved for aspiration thrombectomy of mixed thrombi (90.6%), aspiration thrombectomy of red thrombi (84.4%) and stent-implantation in occlusions of red thrombi (92.2%). Most micro- and macroembolism were observed using the Fogarty catheter and after stent-implantation in occlusions of white thrombi. Histological examinations revealed a significant reduction of the vascular layers suggesting vascular damage after use of the Fogarty catheter (327.3 ± 3.5 μm vs. 440.6 ± 3.9 μm; p = 0.026). Analysis of SUS rendered a mean SUS-Score of 80.4 which corresponds to an excellent user acceptability of the model. In conclusion, we describe a stable, easy to handle and reproducible physiological circulation model for the simulation of endovascular thrombectomy including device performance and thromboembolism.
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Dissertations / Theses on the topic "Mixed Tempered Stable"

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Kawai, Reiichiro. "Contributions to Infinite Divisibility for Financial Modeling." Diss., Georgia Institute of Technology, 2004. http://hdl.handle.net/1853/4888.

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Infinitely divisible distributions and processes have been the object of extensive research not only from the theoretical point of view but also for practical use, for example, in queueing theory or mathematical finance. In this thesis, we will study some of their subclasses with a view towards financial modeling. As generalizations of stable distributions, we study the tempered stable distributions and introduce the new classes of layered stable distributions as well as the mixed stable distributions, along with the corresponding Levy processes. As a further generalization of infinitely divisible processes, fractional tempered stable motions are defined. These theoretical studies will be complemented by some more practical ones, such as the simulation of sample paths, parameter estimations, financial portfolio hedging, and solving stochastic differential equations.
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RROJI, EDIT. "Risk attribution and semi-heavy tailed distributions." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/49833.

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In this thesis we discuss the problem of risk attribution in a multifactor context using nonparametric approaches but we also introduce a new distribution for modeling returns. The risk measures considered are homogeneous since we exploit the Euler rule. Particular attention is given to the problem of attributing risk to user defined factors since the existing literature is limited when compared to other research arguments but of practical relevance. We point out the problems encountered during the analysis and present some methodologies that can be useful in practice. Each chapter combines both theoretical and practical issues.
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Book chapters on the topic "Mixed Tempered Stable"

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Mercuri, Lorenzo, and Edit Rroji. "Risk Measurement Using the Mixed Tempered Stable Distribution." In Mathematical and Statistical Methods for Actuarial Sciences and Finance, 137–40. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-05014-0_32.

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