Original title: Model and analysis of heterogeneity of random sums
Authors: Volf, Petr
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2002 /20./, Ostrava (CZ), 2002-09-03 / 2002-09-05
Year: 2002
Language: eng
Abstract: The contribution studies a stochastic process which cumulates random increments at random moments, the cumulative process. We deal with the models and statistical analysis of the heterogeneity factors influencing both the intensity of increments and their magnitudes. We propose the estimates of these heterogeneities and we evaluate corresponding probability distributions. An application dealing with the process of financial transactions is solved.
Keywords: intensity; random process; random sum
Project no.: CEZ:AV0Z1075907 (CEP), GA402/01/0539 (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 20th International Conference Mathematical Methods in Economics 2002

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0130963

Permalink: http://www.nusl.cz/ntk/nusl-34930


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Research > Institutes ASCR > Institute of Information Theory and Automation
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