Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 137 for “"lognormal"”.
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Incompatibility of lognormal forward-Libor and Swap market models
The lognormal forward-Libor and Swap market models were formulated to price caps and swaptions. However, the prices computed by these two models, under equivalent measures, are reported to be unequal. This study investigates this incompatibility by computing the prices of caps and swaptions under …
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The gamma distribution as an alternative to the lognormal distribution in environmental applications
… from contaminated sites the positively skewed lognormal distribution has been the most commonly used model. The upper confidence limit (UCL) of the arithmetic mean of a lognormal population is computed by using the H-statistics. Recent concerns have arisen to the effectiveness of the …
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Kai kurios sudėtinio lognormaliojo – apibendrinto Pareto skirstinio savybės /
… „Modeling actuarial data with a composite lognormal – Pareto model“ (Scandinavian Actuarial Journal, 5, pages 321-334) and McNeil Alexander J. „Estimating the tails of loss severity distributions using extreme value theory“ (ASTIN Bulletin, 27, pages 117-137). The first article presents a …
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Graphical and Bayesian Analysis of Unbalanced Patient Management Data
… Bayesian analysis compared a machine-identical lognormal model, a machine-specific lognormal model, and a machine-specific lognormal model with lower therapeutic bound as a predictor. The response variable was INR. Machines were compared using posterior predictive distributions of the absolute …
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Effective mechanical Properties of material models with random heterogeneities
… whose Young's modulus varies spatially as a lognormal random field. We decompose the spatial fluctuations of the Young's log-modulus F = In E into first- and higher-order terms and find the joint distribution of the effective elastic tensor by multiplicatively combining the term-specific …
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Sea turtle bycatch by the U.S. Atlantic pelagic longline fishery: A simulation modeling analysis of estimation methods
… bycatch estimation methods, the delta-lognormal method and generalized linear models, and investigated improvements in uncertainty incorporation. I constructed a simulation model to evaluate bycatch estimation at two spatial scales under ten spatial models of sea turtle, fishing set, …
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On Statistical Analysis of Vehicle Time-Headways Using Mixed Distribution Models
… and GQM) mod- els, especially using the gamma or lognormal distributions to describe followers headways, are probably the most recognized ones by researchers in statistical stud- ies of headway data. These mixed models are reported with good fitting results indicated by goodness-of-fit tests, and …
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Break-even volatility for caps, floors and swaptions
… of this goal, some are currently calibrating the Lognormal Forward-LIBOR Market Model to market prices. They rarely directly trade in said derivatives, but merely delta hedge their risk daily. In this case, break-even volatility surfaces become more relevant than recovering market prices (which …
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A comparison of upper confidence limits for skewed distributions
… skewed. The EPA frequently recommends the Lognormal distribution to model such data. However, that assumption often causes the UCL to be unreliable. What is the role of skewness in computing UCL statistics over different distributions? Computer simulation is used to test a range of skewness …
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Statistical models of claim amount distributions in general insurance
… of claim amounts in general insurance: 1- The lognormal 2- The Weibull 3- The inverse Gaussian (A new 3-parameter form is introduced) 4- The Pareto 5- The truncated lognormal as a model for large claim amounts) 6- The gamma (as a model for the distribution of the square root of claim amounts) …
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Στατιστική διερεύνηση της διάδοσης της σκεδαζόμενης ισχύος και του λαμβανομένου σήματος σε χρονικά μεταβαλλόμενα ασύρματα κανάλια
… Rice και μιας κανονικής λογαριθμικής (lognormal) διαδικασίας (μοντέλο Rice-lognormal). Η δεύτερη διαδικασία προκύπτει ως το μέτρο της πρόσθεσης δυο διανυσμάτων, όπου το πλάτος του ενός ακολουθεί την κατανομή Rayleigh, ενώ το πλάτος του άλλου ακολουθεί την κατανομή lognormal. Οι …
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Effects of Cross-Correlation Interference on an Optical Code Division Multiple Access Communication System
… results are given for both severe and moderate lognormal fading, using the Nakagami m-distribution to approximate the lognormal distribution. It was shown that the downlink performs consistently better than the uplink under all of the fading conditions evaluated. Under lognormal fading, with …
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Bounds on baskets option prices
… analitical form for the distribution of a sum of lognormal random variables. lVlarket participants commonly price basket options by assuming the basket follows lognormal dynamics, although it is known that this approximation performs poorly in some cicumstances. The problem of finding an …
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Early stages in cosmic structure formation
… of the Lyman-α forest in terms of an underlying lognormal model. We find that the lognormal model is good description of the underlying density distribution for redshifts z > 3. Our independent measurements of the optical depth agree with previous standard results.
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Ecosystem Models in a Bayesian State Space Framework
… for embedding positive process models into lognormal SSMs. Our approach, based off of moment matching, allows practitioners to embed process models with arbitrary variance structures into lognormally distributed stochastic process and observation components of a state space model. We compare …
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The use of implied methodologies in mathematical finance
… an implied distribution of a mixture of two lognormal distributions in order to predict the macroeconomic event of the sterling pound's exit from the ERM in 1992. Market evidence presented, indicate that the market was indeed expecting a sterling devaluation a few days prior to the exit. …
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Grain size distributions of various materials in an abrasion mill
… hornblende abraded off of pebbles appear to be lognormal by number percentage. There is considerable question as to the accuracy of the method of counting grains. The size distributions of quartz and orthoclase crushed or abraded to sized less than 0.5 mm appears to be lognormal, which is in …
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Bayesian and Positive Matrix Factorization approaches to pollution source apportionment
… profile elements to zero. A Bayesian model using lognormal prior distributions for source profiles and source contributions is fit and examined.
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The volatility smile of Canadian index options : estimations and tests
… distribution of the underlying asset is lognormal. The observation of a volatility smile justifies the use of different models to recover the risk neutral probability distribution of the underlying asset. In fact, a probability distribution different than the lognormal, should be used to …
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