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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 9 months |
| seen | Aug 31 '12 at 23:18 | |
| stats | profile views | 116 |
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Aug 31 |
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simple inclusion exclusion problem Cool. Thanks a lot! |
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May 18 |
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how to solve double integral of a min function cool thank you. |
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May 18 |
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how to solve double integral of a min function yes that is correct |
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May 9 |
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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. |
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Apr 3 |
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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? |
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Feb 25 |
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example on variance of stochastic processes got it. linearity of covariance was new to me. |
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Feb 13 |
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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. |
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Feb 13 |
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spectrum and phase of function in frequency domain Sweet. Do you happen to come across function in R that does this similar to matlab? |
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Feb 13 |
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spectrum and phase of function in frequency domain reference: en.wikipedia.org/wiki/Fourier_transform |
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Feb 13 |
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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. |
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Dec 11 |
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problem on strong law of large numbers Excellent. So we apply SLLN on the denominator and CLT on the numerator. |
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Dec 9 |
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problem on strong law of large numbers How do you get this result? |
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Dec 9 |
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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. |
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Dec 9 |
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martingale and filtration Yes I did Shai. But need better understanding of filtration in continuous-time martingale |
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Dec 8 |
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distribution of iid sequence of integrable random variables Yes, it uses conditional expectation and independence. Its not too difficult after all. |
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Dec 7 |
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How do I nominate someone? I would like to nominate Qiaochu Yuan and Arturo Magidin |
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Dec 7 |
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application of strong vs weak law of large numbers Can you give an example where weak law holds but strong law does not hold? |
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Nov 4 |
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convergence of sequence of random variables Wiki page mentions convergence in mean implies convergence in probability. Why is that? |
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Oct 25 |
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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. |
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Oct 25 |
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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. |
