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Density Approximation with Orthogonal Expansions Under Constraints
https://doi.org/10.24561/00015039
https://doi.org/10.24561/0001503908b8b6c8-5b4e-487e-80df-7e869203d888
名前 / ファイル | ライセンス | アクション |
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KY-21868611-08-01.pdf (464.4 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2015-05-15 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Density Approximation with Orthogonal Expansions Under Constraints | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Hermite polynomials | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Orthogonal expansion | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Quadratic programming | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Smoothing methods | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.24561/00015039 | |||||
ID登録タイプ | JaLC | |||||
著者 |
丸茂, 幸平
× 丸茂, 幸平× WOLFF, Rodney |
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著者 ローマ字 | ||||||
en | ||||||
MARUMO, Kohei | ||||||
著者 所属 | ||||||
en | ||||||
WH Bryan Mining and Geology Research Centre, The University of Queensland, Faculty of Economics, Saitama University | ||||||
著者 所属 | ||||||
en | ||||||
WH Bryan Mining and Geology Research Centre, The University of Queensland | ||||||
書誌情報 |
en : Working Paper Series 号 8, p. 1-19, 発行日 2015-03 |
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年月次 | ||||||
2015-3 | ||||||
出版者名 | ||||||
言語 | ja | |||||
出版者 | 埼玉大学経済学部 | |||||
出版者名(別言語) | ||||||
言語 | en | |||||
出版者 | Faculty of Economics. Saitama University | |||||
収録物識別子 | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 21868611 | |||||
収録物識別子 | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA12600124 | |||||
概要 | ||||||
内容記述タイプ | Other | |||||
内容記述 | We discuss the use of the orthogonal expansions for the approximation of probability density functions under constraints. For given independent and identically distributed samples, it has been shown by Marumo and Wolff (2013) that smooth functions that approximate the empirical distribution function can be constructed using orthogonal polynomial expansion. The approximation of the density function is given as the derivative of this smooth function. In this paper, we show that the approximations under constraints on the moments and risk measures such as Value at Risk and Expected Shortfall can be constructed using orthogonal expansions. The biggest advantage of our method over the typical existing methods is that our method has an explicit formula for the constrained approximations, whereas others often require intensive numerical calculations. |
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言語 | en | |||||
版 | ||||||
[出版社版] | ||||||
出版タイプ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
資源タイプ | ||||||
内容記述タイプ | Other | |||||
内容記述 | text | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
作成日 | ||||||
日付 | 2015-05-15 | |||||
日付タイプ | Created | |||||
アイテムID | ||||||
KY-21868611-08-01 |