96 research outputs found
An introduction to Markov chains for interested high school students
Markov Chains are introduced by only assuming some knowledge of the notion of probability. The modelling of a situation in a context of biology gives the opportunity to students to approach various concepts of probability theory themselves. --
Recognizing mathematical talent : an approach using discriminant analysis
The aim of this paper is to extract mathematically talented students out of a group of arbitrary high school students. We do this by applying a stepwise discriminant analysis modified for ordinal data to the results of German high school students at the international mathematics competition ?Kangaroo of Mathematics?. It turns out that three of the thirty given problems are enough to discriminate between laureates, which we assume to be mathematically talented, and non-laureates. The three chosen problems are from different mathematical fields. --Discriminant analysis for ordinal data,discrete kernel estimation,testing mathematical talent,multiple choice competition
Pricing of options under different volatility models
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as asymmetry affect the Black-Scholes price significantly whereas the Hull-White price is hardly affected by long memory but still by including asymmetries. --Option Pricing,GARCH,Long Memory,Leverage Effect
Tests of Bias in Log-Periodogram Regression
This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent.Long memory, log periodogram regression, Hausman test.
Log-Periodogram estimation of the memory parameter of a long-memory process under trend
We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good alternative to standard log-periodogram methodology
S - estimators in the linear regression model with long - memory error terms
We investigate the behaviour of S - estimators in the linear regression model, when the error terms are long - memory Gaussian processes. It turns out that under mild regularity conditions S - estimators are still normally distributed with a similar variance - covariance structure as in the i.i.d. case. This assertion holds for the parameter estimates as well as for the scale estimates. Also the rate of convergence is for S - estimators the same as for the least squares estimator and for the BLUE
S-estimation in the nonlinear regression model with long-memory error terms
In this paper we consider the asymptotic distribution of S-estimators in the nonlinear regression model with long-memory error terms. S-estimators are robust estimates with a high breakdown point and good asymptotic properties in the iid case. They are constructed for linear regression. In the nonlinear regression model with long-memory errors it turns out, that S-estimators are asymptotically normal with a rate of convergence of n^1-H , 1/2<H<1. But the distribution depends heavily on the unknown parameter vector
Distinguishing between long-range dependence and deterministic trends
We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators provides the desired test. Its asymptotic distribution depends on the true memory parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three industrialized countries. --Long memory,trends,log-periodogram regression,inflation rates
Spatial autoregressive fractionally integrated moving average model
In this paper, we introduce the concept of fractional integration for spatial
autoregressive models. We show that the range of the dependence can be
spatially extended or diminished by introducing a further fractional
integration parameter to spatial autoregressive moving average models (SARMA).
This new model is called the spatial autoregressive fractionally integrated
moving average model, briefly sp-ARFIMA. We show the relation to time-series
ARFIMA models and also to (higher-order) spatial autoregressive models.
Moreover, an estimation procedure based on the maximum-likelihood principle is
introduced and analysed in a series of simulation studies. Eventually, the use
of the model is illustrated by an empirical example of atmospheric fine
particles, so-called aerosol optical thickness, which is important in weather,
climate and environmental science
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. This is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is drastically reduced when residuals are used. --cointegration,power,long memory,KPSS-Test
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