Search results for "statistical"
showing 10 items of 4960 documents
Econophysics: Scaling and its breakdown in finance
1997
We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Levy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.
Comparison of two different techniques of reperfusion in adult orthotopic liver transplantation
2006
: The aim of this study was to determine the impact of two reperfusion techniques on the peri-operative hemodynamic changes and early post-operative graft function of adult patients undergoing orthotopic liver transplantation. Material and methods: From June 2003 to May 2004, 50 consecutive liver transplants were performed and divided into two groups: group A, 25 patients, portal vein flush with 500 cm3 of Ringer's lactate without vena caval venting. Group B, 25 patients, vena caval venting with no portal vein flush. Donor and recipient characteristics were similar in both groups. Sixty-four different parameters were analyzed, and Pearson's χ2 test and t-test were used for statistical analy…
First passage time distribution of stationary Markovian processes
2010
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes research. They also have relevant applications, for example, in many fields of finance such as the assessment of the default risk for firms' assets. By using some explicit examples, in this paper we will show that the tail of the First Passage Time distribution crucially depends on the correlation properties of the process and it is independent from its stationary distribution. When the process includes an infinite set of time-scales bounded from above, the FPT…
Inflating an inhomogeneous universe
2014
While cosmological inflation can erase primordial inhomogeneities, it is possible that inflation may not begin in a significantly inhomogeneous universe. This issue is particularly pressing in multifield scenarios, where even the homogeneous dynamics may depend sensitively on the initial configuration. This paper presents an initial survey of the onset of inflation in multifield models, via qualitative lattice-based simulations that do not include local gravitational backreaction. Using hybrid inflation as a test model, our results suggest that small subhorizon inhomogeneities do play a key role in determining whether inflation begins in multifield scenarios. Interestingly, some configurati…
Prospects for constraining the shape of non-Gaussianity with the scale-dependent bias
2012
We consider whether the non-Gaussian scale-dependent halo bias can be used not only to constrain the local form of non-Gaussianity but also to distinguish among different shapes. In particular, we ask whether it can constrain the behavior of the primordial three-point function in the squeezed limit where one of the momenta is much smaller than the other two. This is potentially interesting since the observation of a three-point function with a squeezed limit that does not go like the local nor equilateral templates would be a signal of non-trivial dynamics during inflation. To this end we use the quasi-single field inflation model of Chen and Wang as a representative two-parameter model, wh…
Primordial power spectrum features in phenomenological descriptions of inflation
2016
We extend an alternative, phenomenological approach to inflation by means of an equation of state and a sound speed, both of them functions of the number of $e$-folds and four phenomenological parameters. This approach captures a number of possible inflationary models, including those with non-canonical kinetic terms or scale-dependent non-gaussianities. We perform Markov Chain Monte Carlo analyses using the latest cosmological publicly available measurements, which include Cosmic Microwave Background (CMB) data from the Planck satellite. Within this parametrization, we discard scale invariance with a significance of about $10\sigma$, and the running of the spectral index is constrained as …
Competition and inflation differentials in EMU
2008
In a monetary union, inflation rate differentials may be substantial over the business cycle. This paper parameterizes a two-country monetary union in which different economic structures in the two countries generate temporary inflation differentials. Cross-country differences are introduced in (i) the elasticity of demand in the goods markets, which cause producers to discriminate prices, (ii) the degree of price inertia and (iii) the degree of openness or preference for foreign goods in consumption. The model is calibrated to reproduce two average large EMU countries and it is able to generate such inflation differentials. We find the mechanism of price discrimination quantitatively more …
Probabilistic quantum clustering
2020
Abstract Quantum Clustering is a powerful method to detect clusters with complex shapes. However, it is very sensitive to a length parameter that controls the shape of the Gaussian kernel associated with a wave function, which is employed in the Schrodinger equation with the role of a density estimator. In addition, linking data points into clusters requires local estimates of covariance which requires further parameters. This paper proposes a Bayesian framework that provides an objective measure of goodness-of-fit to the data, to optimise the adjustable parameters. This also quantifies the probabilities of cluster membership, thus partitioning the data into a specific number of clusters, w…
Modelling and forecasting mortality in Spain
2008
[EN] Experience shows that static life tables overestimate death probabilities. As a consequence of this overestimation the premiums for annuities, pensions and life insurance are not what they actually should be, with negative effects for insurance companies or policy-holders. The reason for this overestimation is that static life tables, through being computed for a specific period of time, cannot take into account the decreasing mortality trend over time. Dynamic life tables overcome this problem by incorporating the influence of the calendar when graduating mortality. Recent papers on the topic look for the development of new methods to deal with this dynamism. Most methods used in dyna…
A Framework for Assessing the Condition of Crowds Exposed to a Fire Hazard Using a Probabilistic Model
2014
Published version of an article in the journal: International Journal of Machine Learning and Computing. Also available from the publisher at: http://dx.doi.org/10.7763/IJMLC.2014.V4.379 open Access Allocating limited resources in an optimal manner when rescuing victims from a hazard is a complex and error prone task, because the involved hazards are typically evolving over time; stagnating, building up or diminishing. Typical error sources are: miscalculation of resource availability and the victims’ condition. Thus, there is a need for decision support when it comes to rapidly predicting where the human fatalities are likely to occur to ensure timely rescue. This paper proposes a probabil…