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Littérature scientifique sur le sujet « Mixed Tempered Stable »

Auteur : Grafiati

Publié le 9 mars 2023

Mis à jour le 31 juillet 2025

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Articles de revues sur le sujet "Mixed Tempered Stable"

Rroji, Edit, and Lorenzo Mercuri. "Mixed tempered stable distribution." Quantitative Finance 15, no. 9 (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 (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 (2018): 71–95. http://dx.doi.org/10.1007/s10287-018-0306-0.

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Mliki, Ezzedine. "Correlation Structure of Time-Changed Generalized Mixed Fractional Brownian Motion." Fractal and Fractional 7, no. 8 (2023): 591. http://dx.doi.org/10.3390/fractalfract7080591.

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The generalized mixed fractional Brownian motion (gmfBm) is a Gaussian process with stationary increments that exhibits long-range dependence controlled by its Hurst indices. It is defined by taking linear combinations of a finite number of independent fractional Brownian motions with different Hurst indices. In this paper, we investigate the long-time behavior of gmfBm when it is time-changed by a tempered stable subordinator or a gamma process. As a main result, we show that the time-changed process exhibits a long-range dependence property under some conditions on the Hurst indices. The tim

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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 (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

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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 th

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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 (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

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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

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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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Avena, Luca, Conrado da Costa, and Jonathon Peterson. "Gaussian, stable, tempered stable and mixed limit laws for random walks in cooling random environments." Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 61, no. 2 (2025). https://doi.org/10.1214/23-aihp1450.

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Thèses sur le sujet "Mixed Tempered Stable"

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 di

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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

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Chapitres de livres sur le sujet "Mixed Tempered Stable"

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

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