CRIS Current Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishIn this paper, a nonparametric Bayesian approach to the estimation of the adjustment coefficient for the distribution of the maximum of a random walk is performed. Approximations of the posterior distribution of the adjustment coefficient are studied. The consistency and asymptotic normality of its posterior law are also proved under mild conditions. Finally, an application to real data is provided.
| Titolo: | A Bayesian nonparametric approach to the estimation of the adjustment coefficient, with applications to insurance and telecommunications |
| Autore/i: | CAPITANIO, ANTONELLA; CONTI, PIER LUIGI |
| Autore/i Unibo: | |
| Anno: | 2004 |
| Rivista: | |
| Abstract: | In this paper, a nonparametric Bayesian approach to the estimation of the adjustment coefficient for the distribution of the maximum of a random walk is performed. Approximations of the posterior distribution of the adjustment coefficient are studied. The consistency and asymptotic normality of its posterior law are also proved under mild conditions. Finally, an application to real data is provided. |
| Data prodotto definitivo in UGOV: | 2005-10-18 17:31:18 |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
File in questo prodotto:
Eventuali allegati, non sono esposti
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
Copyright © 2020