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seen Aug 31 '12 at 23:18

Aug
31
comment simple inclusion exclusion problem
Cool. Thanks a lot!
May
18
comment how to solve double integral of a min function
cool thank you.
May
18
comment how to solve double integral of a min function
yes that is correct
May
9
comment How to evaluate the following stochastic integral?
I got this far but I am having trouble with substituting the poisson process $N_s$ into it.
Apr
3
comment leading and lagging moving average indicator
Thanks. In the context of stocks, it is not possible to compute a leading or central moving average as we do not know the prices in advance. Correct? So what does leading/central MA mean in that context?
Feb
25
comment example on variance of stochastic processes
got it. linearity of covariance was new to me.
Feb
13
comment spectrum and phase of function in frequency domain
Got it guys. Once I have the fourier transform computed analytically, I can easily set up the complex vector and compute the amplitude and phase. R has support for complex numbers ugrad.stat.ubc.ca/R/library/base/html/complex.html and includes functions for finding amplitude and phase. Thanks all.
Feb
13
comment spectrum and phase of function in frequency domain
Sweet. Do you happen to come across function in R that does this similar to matlab?
Feb
13
comment spectrum and phase of function in frequency domain
reference: en.wikipedia.org/wiki/Fourier_transform
Feb
13
comment spectrum and phase of function in frequency domain
Thanks. But I am using R and I don't think it has these functions. I am looking for mathematical formula for finding magnitude/phase so that I can write my functions.
Dec
11
comment problem on strong law of large numbers
Excellent. So we apply SLLN on the denominator and CLT on the numerator.
Dec
9
comment problem on strong law of large numbers
How do you get this result?
Dec
9
comment what does this set definition mean defined on independent random variables?
It is also interesting to see that if I introduce two additional sets, defined as $A2 = (X2=X3)$ and $A3 = (X3=X1)$, $A1$, $A2$ and $A3$ are pairwise independent but not independent.
Dec
9
comment martingale and filtration
Yes I did Shai. But need better understanding of filtration in continuous-time martingale
Dec
8
comment distribution of iid sequence of integrable random variables
Yes, it uses conditional expectation and independence. Its not too difficult after all.
Dec
7
comment
How do I nominate someone? I would like to nominate Qiaochu Yuan and Arturo Magidin
Dec
7
comment application of strong vs weak law of large numbers
Can you give an example where weak law holds but strong law does not hold?
Nov
4
comment convergence of sequence of random variables
Wiki page mentions convergence in mean implies convergence in probability. Why is that?
Oct
25
comment combination of brownian motion
Thanks. I have a stock price function that is a stochastic process (e.g. $S = S_0 + B_t$). Now I am interested in finding various option values over those stock prices which involves finding the expectation. So to find asian call value, I need to find $E(\frac{S_1+S_2}{2} - K)^+$ which requires finding the density function $B_1+B_2$ computed by differentiating the distribution function. Hope this makes sense.
Oct
25
comment Lebesgue Dominated Convergence example
Thanks Arturo. The function $f_n(x)$ converges to 0 as $n\to\infty$. So it converges point wise to 0. So the integral as $n\to\infty$ should evaluate to 0 by DCT.