LOGIN TO YOUR ACCOUNT

Username
Password
Remember Me
Or use your Academic/Social account:

CREATE AN ACCOUNT

Or use your Academic/Social account:

Congratulations!

You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.

Important!

Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message

CREATE AN ACCOUNT

Name:
Username:
Password:
Verify Password:
E-mail:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1

Discovery Projects - Grant ID: DP160104737

Title
Discovery Projects - Grant ID: DP160104737
Funding
ARC | Discovery Projects
Contract (GA) number
DP160104737
Start Date
2016/01/01
End Date
2020/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/DP160104737

 

  • Calibration for Weak Variance-Alpha-Gamma Processes

    Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B. (2018)
    Projects: ARC | Discovery Projects - Grant ID: DP160104737 (DP160104737)
    The weak variance-alpha-gamma process is a multivariate L\'evy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination. We compare three calibration methods for the weak variance-alpha-gamma process, method of moments, maximum likelihood estimation (MLE) and digital moment estimation (DME). We derive a condition for Fou...

    Selfdecomposability of Variance Generalised Gamma Convolutions

    Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B. (2017)
    Projects: ARC | Discovery Projects - Grant ID: DP160104737 (DP160104737)
    Variance generalised gamma convolution processes are multivariate Brownian motions weakly subordinated by multivariate Thorin subordinators. Within this class, we show that a drift-less Brownian motion gives rise to a self-decomposable process. Under a moment condition on the underlying Thorin measure, we show that this condition is also necessary. Our conditions generalises earlier results relating to self-decomposability when the Thorin subordinator has indistinguisdhable components. We app...

    Processes of rth Largest

    For integers $n\geq r$, we treat the $r$th largest of a sample of size $n$ as an $\mathbb{R}^\infty$-valued stochastic process in $r$ which we denote $\mathbf{M}^{(r)}$. We show that the sequence regarded in this way satisfies the Markov property. We go on to study the asymptotic behaviour of $\mathbf{M}^{(r)}$ as $r\to\infty$, and, borrowing from classical extreme value theory, show that left-tail domain of attraction conditions on the underlying distribution of the sample guarantee weak lim...

    Trimmed L\'evy Processes and their Extremal Components

    We analyse a trimmed stochastic process of the form ${}^{(r)}X_t= X_t - \sum_{i=1}^r \Delta_t^{(i)}$, where $(X_t)_{t \geq 0}$ is a driftless subordinator on $\mathbb{R}$ with its jumps on $[0,t]$ ordered as $ \Delta_t^{(1)}\ge \Delta_t^{(2)} \cdots$. When $r\to\infty$, both ${}^{(r)}X_t \to 0$ and $\Delta_t^{(r)} \to 0$ a.s. for each $t>0$, and it is interesting to study the weak limiting behaviour of $\bigl({}^{(r)}X_t, \Delta_t^{(r)}\bigr)$ in this case. We term this "large-trimming" behav...
  • No project research data found
  • Scientific Results

    Chart is loading... It may take a bit of time. Please be patient and don't reload the page.

    PUBLICATIONS BY ACCESS MODE

    Chart is loading... It may take a bit of time. Please be patient and don't reload the page.

    Publications in Repositories

    Chart is loading... It may take a bit of time. Please be patient and don't reload the page.

Share - Bookmark

App Box