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Artificial neural network models for forecasting stock price index in the Bombay stock exchange
(2006-10-29)
ANN has been shown to be an efficient tool for non-parametric modeling of data in a variety of different contests where the output is a non-linear function of the inputs. These include business forecasting, credit scoring, ...
Portfolio allocation with heavy tailed returns
(2007-11-02)
In this article we propose two new methods of portfolio allocation which
are applicable for all return distributions. The properties of these new
methods are compared with that of Markowitz’s mean-variance method
using ...
A proof of the divergence of the harmonic series using probability theory
(2006-10-29)
In this note a new proof of the divergence of the harmonic series is given based on
the expected life of a parallel system with independent exponentially distributed
component lifetimes.
Bayesian analysis of the change-point problem for directional data
(Journal of Applied Statistics, 2008-11-11)
In this paper, we discuss a simple fully Bayesian analysis of the change-point problem for the directional data in the parametric framework with von Mises or circular normal distribution as the underlying distribution. We ...
A likelihood integrated method for exploratory graphical analysis of change-point problem with directional data
(Communications in Statistics, Theory and Methods, 2008-11-11)
In this article we introduce a new likelihood based method, called the likelihood integrated method, which is distinct from the well-known integrated likelihood method. We use the likelihood integrated to propose a simple ...