Works matching AU GRABCHAK, MICHAEL
Results: 25
On the Self-Similarity of Remainder Processes and the Relationship Between Stable and Dickman Distributions.
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- Mathematics (2227-7390), 2025, v. 13, n. 6, p. 907, doi. 10.3390/math13060907
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- Article
Asymptotic properties of Turing's formula in relative error.
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- Machine Learning, 2017, v. 106, n. 11, p. 1771, doi. 10.1007/s10994-016-5620-6
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Asymptotic normality for plug-in estimators of diversity indices on countable alphabets.
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- Journal of Nonparametric Statistics, 2018, v. 30, n. 3, p. 774, doi. 10.1080/10485252.2018.1482294
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Entropic representation and estimation of diversity indices.
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- Journal of Nonparametric Statistics, 2016, v. 28, n. 3, p. 563, doi. 10.1080/10485252.2016.1190357
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- Article
Estimation and simulation for multivariate tempered stable distributions.
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- Journal of Statistical Computation & Simulation, 2022, v. 92, n. 3, p. 451, doi. 10.1080/00949655.2021.1962878
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- Article
On the simulation of general tempered stable Ornstein–Uhlenbeck processes.
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- Journal of Statistical Computation & Simulation, 2020, v. 90, n. 6, p. 1057, doi. 10.1080/00949655.2020.1714621
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- Article
A zero-one law for Markov chains.
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- Stochastics: An International Journal of Probability & Stochastic Processes, 2022, v. 94, n. 5, p. 680, doi. 10.1080/17442508.2021.1980569
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- Article
Do financial returns have finite or infinite variance? A paradox and an explanation.
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- Quantitative Finance, 2010, v. 10, n. 8, p. 883, doi. 10.1080/14697680903540381
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Estimation of Expected Shortfall Using Quantile Regression: A Comparison Study.
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- Computational Economics, 2022, v. 60, n. 2, p. 725, doi. 10.1007/s10614-021-10164-z
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Pricing multi-asset options with tempered stable distributions.
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- Financial Innovation, 2024, v. 10, n. 1, p. 1, doi. 10.1186/s40854-024-00649-9
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- Article
Authorship Attribution Using Diversity Profiles.
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- Journal of Quantitative Linguistics, 2018, v. 25, n. 2, p. 142, doi. 10.1080/09296174.2017.1343268
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The generalized Simpson’s entropy is a measure of biodiversity.
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- PLoS ONE, 2017, v. 12, n. 3, p. 1, doi. 10.1371/journal.pone.0173305
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A RANDOM VARIABLE THAT DOES NOT BELONG TO A DOMAIN OF ATTRACTION, BUT ITS ABSOLUTE VALUE DOES.
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- Mathematical Scientist, 2018, v. 43, n. 1, p. 56
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On the occupancy problem for a regime-switching model.
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- Journal of Applied Probability, 2020, v. 57, n. 1, p. 53, doi. 10.1017/jpr.2020.33
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DOMAINS OF ATTRACTION FOR POSITIVE AND DISCRETE TEMPERED STABLE DISTRIBUTIONS.
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- Journal of Applied Probability, 2018, v. 55, n. 1, p. 30, doi. 10.1017/jpr.2018.3
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ON A NEW CLASS OF TEMPERED STABLE DISTRIBUTIONS: MOMENTS AND REGULAR VARIATION.
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- Journal of Applied Probability, 2012, v. 49, n. 4, p. 1015, doi. 10.1239/jap/1354716655
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Normal Laws for Two Entropy Estimators on Infinite Alphabets.
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- Entropy, 2018, v. 20, n. 5, p. 371, doi. 10.3390/e20050371
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Discrete Tempered Stable Distributions.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 3, p. 1877, doi. 10.1007/s11009-021-09904-3
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Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
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- Annals of Finance, 2014, v. 10, n. 4, p. 553, doi. 10.1007/s10436-014-0249-6
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A note on calculating expected shortfall for discrete time stochastic volatility models.
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- Financial Innovation, 2021, v. 7, n. 1, p. 1, doi. 10.1186/s40854-021-00254-0
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Estimation of value-at-risk using single index quantile regression.
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- Journal of Applied Statistics, 2019, v. 46, n. 13, p. 2418, doi. 10.1080/02664763.2019.1597028
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A simple condition for the multivariate CLT and the attraction to the Gaussian of Lévy processes at long and short times.
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- Communications in Statistics: Theory & Methods, 2017, v. 46, n. 1, p. 446, doi. 10.1080/03610926.2014.995826
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How Do We Perform a Paired t-Test When We Don't Know How to Pair?
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- American Statistician, 2023, v. 77, n. 2, p. 127, doi. 10.1080/00031305.2022.2115552
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On the performance of Turing's formula: A simulation study.
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- Communications in Statistics: Simulation & Computation, 2017, v. 46, n. 6, p. 4199, doi. 10.1080/03610918.2015.1109658
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On the transition laws of p-tempered α-stable OU-processes.
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- Computational Statistics, 2021, v. 36, n. 2, p. 1415, doi. 10.1007/s00180-020-01055-2
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