Pub Date : 2024-05-10DOI: 10.1080/03610926.2024.2348070
Ping Zhao, Zhidong Guo
Asian option is an essentially new type of option. In existing option pricing models, the Brownian motion is generally the stochastic driving source of changes in the underlying asset price. This a...
{"title":"Pricing of geometric average Asian option under the sub-diffusion Merton interest rate model","authors":"Ping Zhao, Zhidong Guo","doi":"10.1080/03610926.2024.2348070","DOIUrl":"https://doi.org/10.1080/03610926.2024.2348070","url":null,"abstract":"Asian option is an essentially new type of option. In existing option pricing models, the Brownian motion is generally the stochastic driving source of changes in the underlying asset price. This a...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"59 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-10DOI: 10.1080/03610926.2024.2348075
Jingying Yang, Guishu Bai, Xu Qin
The partial correlation coefficient (Pcor) measures the degree of association between two random variables after removing the effect of another set of variables, called the controlling variables. W...
{"title":"High-dimensional partial correlation coefficients: A survey study of estimation Methods","authors":"Jingying Yang, Guishu Bai, Xu Qin","doi":"10.1080/03610926.2024.2348075","DOIUrl":"https://doi.org/10.1080/03610926.2024.2348075","url":null,"abstract":"The partial correlation coefficient (Pcor) measures the degree of association between two random variables after removing the effect of another set of variables, called the controlling variables. W...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"58 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140937438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-07DOI: 10.1080/03610926.2024.2347328
Mohammad Vali Ahmadi, Mahdi Doostparast
Stress-strength models are used to analyze the reliability of the two-state systems. In this article, the stress-strength model for a multi-state system is discussed. It is assumed that the stress-...
{"title":"Inference for the stress-strength parameter of multi-state systems based on records","authors":"Mohammad Vali Ahmadi, Mahdi Doostparast","doi":"10.1080/03610926.2024.2347328","DOIUrl":"https://doi.org/10.1080/03610926.2024.2347328","url":null,"abstract":"Stress-strength models are used to analyze the reliability of the two-state systems. In this article, the stress-strength model for a multi-state system is discussed. It is assumed that the stress-...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"2015 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this article, using inverse integral transforms, we derive the exact distribution of the random variable X that is involved in the ratio Z=dX/(X+Y) where X and Y are independent random variables...
在本文中，我们利用反积分变换，推导出比率 Z=dX/(X+Y) 中涉及的随机变量 X 的精确分布，其中 X 和 Y 是独立随机变量...
{"title":"On the distribution of a random variable involved in an independent ratio","authors":"Roberto Vila, Narayanaswamy Balakrishnan, Marcelo Bourguignon","doi":"10.1080/03610926.2024.2340608","DOIUrl":"https://doi.org/10.1080/03610926.2024.2340608","url":null,"abstract":"In this article, using inverse integral transforms, we derive the exact distribution of the random variable X that is involved in the ratio Z=dX/(X+Y) where X and Y are independent random variables...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140611604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-18DOI: 10.1080/03610926.2024.2340598
Zhi Li, Zhi-Ming Li
Blocked designs are widely used in practical experiments with heterogeneous experimental units. The blocked general minimum lower-order confounding (B1-GMC) criterion is appropriate for selecting o...
{"title":"A general minimum lower-order confounding criterion for s-level blocked designs","authors":"Zhi Li, Zhi-Ming Li","doi":"10.1080/03610926.2024.2340598","DOIUrl":"https://doi.org/10.1080/03610926.2024.2340598","url":null,"abstract":"Blocked designs are widely used in practical experiments with heterogeneous experimental units. The blocked general minimum lower-order confounding (B1-GMC) criterion is appropriate for selecting o...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"2018 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140611784","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-17DOI: 10.1080/03610926.2024.2341179
Mohamed Kaber El Alem, Zohra Guessoum, Abdelkader Tatachak
This article is devoted to investigating some asymptotic properties of the Lynden-Bell and the cumulative risk function estimators when the survival and the truncated times form widely orthant-depe...
{"title":"On the behavior of the Lynden-Bell estimator in widely orthant-dependent model","authors":"Mohamed Kaber El Alem, Zohra Guessoum, Abdelkader Tatachak","doi":"10.1080/03610926.2024.2341179","DOIUrl":"https://doi.org/10.1080/03610926.2024.2341179","url":null,"abstract":"This article is devoted to investigating some asymptotic properties of the Lynden-Bell and the cumulative risk function estimators when the survival and the truncated times form widely orthant-depe...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"62 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140611615","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-17DOI: 10.1080/03610926.2024.2341180
Pritam Sarkar, Atanu Biswas, Rahul Bhattacharya
A fixed width confidence interval for the treatment difference is obtained under heteroscedastic normal responses following a response adaptive allocation targeting Neyman optimum allocation. The d...
{"title":"Fixed width confidence interval estimation for general continuous responses under a response adaptive design","authors":"Pritam Sarkar, Atanu Biswas, Rahul Bhattacharya","doi":"10.1080/03610926.2024.2341180","DOIUrl":"https://doi.org/10.1080/03610926.2024.2341180","url":null,"abstract":"A fixed width confidence interval for the treatment difference is obtained under heteroscedastic normal responses following a response adaptive allocation targeting Neyman optimum allocation. The d...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"33 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140611606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-14DOI: 10.1080/03610926.2024.2337069
Haim Shore
The occasional departure of the mode from the mean testifies that some elements of the set, defining the “identity” of an observed random phenomenon, are recurrent while others have become random. ...
{"title":"Why the mode departs from the mean—a short communication","authors":"Haim Shore","doi":"10.1080/03610926.2024.2337069","DOIUrl":"https://doi.org/10.1080/03610926.2024.2337069","url":null,"abstract":"The occasional departure of the mode from the mean testifies that some elements of the set, defining the “identity” of an observed random phenomenon, are recurrent while others have become random. ...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"34 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140564837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-09DOI: 10.1080/03610926.2024.2338418
Jingren Chen, Xuejun Ma, Yue Chao
We propose the auto multivariate distance covariance for time series, which extends the concept of joint high distance covariance. Furthermore, we develop two new procedures for testing mutual inde...
{"title":"Testing independence for multivariate time series via auto multivariate distance covariance","authors":"Jingren Chen, Xuejun Ma, Yue Chao","doi":"10.1080/03610926.2024.2338418","DOIUrl":"https://doi.org/10.1080/03610926.2024.2338418","url":null,"abstract":"We propose the auto multivariate distance covariance for time series, which extends the concept of joint high distance covariance. Furthermore, we develop two new procedures for testing mutual inde...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140565171","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-04DOI: 10.1080/03610926.2024.2333333
Gi-Sung Lee, Ki-Hak Hong, Chang-Kyoon Son
In this article, when the population is composed of several strata, we deal with the problem of stratified estimation for sensitive variables by applying stratified sampling to Murtaza et al.’s mod...
{"title":"A stratified estimation for sensitive variable using correlated scrambling variables","authors":"Gi-Sung Lee, Ki-Hak Hong, Chang-Kyoon Son","doi":"10.1080/03610926.2024.2333333","DOIUrl":"https://doi.org/10.1080/03610926.2024.2333333","url":null,"abstract":"In this article, when the population is composed of several strata, we deal with the problem of stratified estimation for sensitive variables by applying stratified sampling to Murtaza et al.’s mod...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"48 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140564834","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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