Mostrando recursos 1 - 7 de 7

  1. On change-point detection in volatile series using GARCH models

    Katchekpele, Edoh; Gneyou, Kossi Essona; Diongue, Abdou Kâ
    We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of GARCH models. We show that, under the null hypothesis (no change), the CUSUM test statistic converges to the supremum of a standard Brownian bridge. Using Monte Carlo simulation, we demonstrate that the asymptotic power of the test is almost the unity and compare the test result with existing results in the literature. Finally, the test procedure is applied to real-world situation namely the Standard and Poor (S&P) 500 stock market returns (09/16/1980 to 01/31/2008) where we are able to detect a change in the unconditional variance at a very early stage of...

  2. An application of optimal control to the effective utilization of a renewable resource

    Ibrahim, Mahmud; Benyah, Francis
    The study explores the optimal harvesting of renewable resources like fisheries. The fish biomass dynamics is described by a nonlinear growth model that maximizes the total net revenue whilst taking into consideration the sustainable and effective utilization of the resource. In addition, stability dynamics of the model is assessed through bifurcation analysis. Pontryagin's maximum principle is used to derive the optimality system and characterize the optimal control. A numeric iterative method employing the fourth order Runge-Kutta scheme facilitates the solution of the optimality system. The simulation results obtained are then discussed. The results show that the sum of the maximum allowable harvest and the final biomass level must not...

  3. The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps

    Ben Gherbal, Hanane; Mezerdi, Brahim
    This paper is concerned with optimal control of systems driven by stochastic differential equations (SDEs), with jump processes, where the control variable appears in the drift and in the jump term. We study the relaxed problem, in which admissible controls are measure-valued processes and the state variable is governed by an SDE\ driven by a counting measure valued process called relaxed Poisson measure such that the compensator is a product measure. Under some conditions on the coefficients, we prove that every diffusion process associated to a relaxed control is a limit of a sequence of diffusion processes associated to strict controls. As a consequence, we show that the...

  4. Progressive Censored Burr Type-XII Distribution Under Random Removal Scheme: Some Inferences

    Prakash, Gyan
    When some sample values at either or both the extremes might have been assorted, a censoring scheme is much useful. Nevertheless, in some reliability experiments, the number of items fell out the experiment cannot be prefixed random in some situations. For such situations, a random removal scheme with censoring scheme may offer a good result. Here, a random removal scheme with the Progressive censoring plan is assumed for statistical inference, when fill out items of the experiments cannot be prefixed. The analysis of the present discussion has carried out with the help of a real data set for the Burr Type-XII distribution.

  5. Network estimation in State Space Models with L1-regularization constraint

    Anani, Lotsi; Wit, Ernst
    Microarray technologies and related methods coupled with appropriate mathematical and statistical models have made it possible to identify dynamic regulatory networks by measuring time course expression levels of many genes simultaneously. However one of the challenges is the high-dimensional nature of such data coupled with the fact that these gene expression data are known not to include various biological process. As genomic interactions are highly structured, the aim was to derive a method for inferring a sparse dynamic network in a high dimensional data setting. The paper assumes that the observations are noisy measurements of gene expression in the form of mRNAs, whose dynamics can be described by some...

  6. Influence of the density pole on the performances of its gamma-kernel estimator

    Cherfaoui, Mouloud; Boualem, Mohamed; Aïssani, Djamil; Adjabi, Smaïl
    In this paper, we aim at highlighting the influence of the density pole on the performances of its gamma-kernel estimator. To do this, we performed a comparative study for the performances of the gamma-kernel estimators with those provided by other bias effect correction techniques at the bounds, using the simulation technique. In conclusion, the results obtained confirm those provided in the literature and show that in some cases the normalization of the gamma estimators can considerably improve local and global performances of the gamma-kernel estimators.

  7. A modified Champernowne transformation to improve boundary effect in kernel distribution estimation

    Tour, Madiha; Sayah, Abdallah; Yahia, Djebrane
    Kernel distribution estimators are not consistent near the boundary of its support. Several solutions to this problem have already been proposed. In this paper, we propose a new kernel estimation of the cumulative distribution function for heavy tailed distributions based on the method of the transformation of the data set with a modification of the Champernowne distribution and the generalized reflection method of boundary correction for kernel distribution estimation. The asymptotic bias, variance and mean squared error of the proposed estimator are given. Simulations are drawn to show that the proposed method perform quite well when compared with other existing methods.

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