3,042 research outputs found
Change detection in the Cox-Ingersoll-Ross model
We propose a change detection method for the famous Cox--Ingersoll--Ross
model. This model is widely used in financial mathematics and therefore
detecting a change in its parameters is of crucial importance. We develop one-
and two-sided testing procedures for both drift parameters of the process. The
test process is based on estimators that are motivated by the discrete time
least-squares estimators, and its asymptotic distribution under the no-change
hypothesis is that of a Brownian bridge. We prove the asymptotic weak
consistence of the test, and derive the asymptotic properties of the
change-point estimator under the alternative hypothesis of change at one point
in time.Comment: 30 page
Generalized mean-field study of a driven lattice gas
Generalized mean-field analysis has been performed to study the ordering
process in a half-filled square lattice-gas model with repulsive nearest
neighbor interaction under the influence of a uniform electric field. We have
determined the configuration probabilities on 2-, 4-, 5-, and 6-point clusters
excluding the possibility of sublattice ordering. The agreement between the
results of 6-point approximations and Monte Carlo simulations confirms the
absence of phase transition for sufficiently strong fields.Comment: 4 pages (REVTEX) with 4 PS figures (uuencoded
Nyelvészeti tanulmányok 1980. Szerkesztette és az előszót írta Teiszler Pál. Kriterion Könyvkiadó, Bukarest /Nyomtatták Kolozsvárott/, 1980. 175 lap
Váradi Lencsés György (1530-1593) és a magyar orvosi-élettudományi szaknyelv a XVI. században : az Egész orvosságról való könyv, azaz Ars Medica (1577 k.) tükrében
Kolozsvár és környéke néhány helynevének történeti-etimológiai vizsgálata a Hunyadiak korától Bethlen Gábor haláláig II.
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