8 citations · 8 across the 7 of their papers we have counts for
8 papers
On testing the class of symmetry using entropy characterization and empirical likelihood approach
Ganesh Vishnu Avhad, Ananya Lahiri, Sudheesh K. Kattumannil
In this paper, we obtain a new characterization result for symmetric distributions based on the entropy measure. Using the characterization, we propose a nonparametric test to test…
Jackknife Empirical Likelihood Ratio Test for Cauchy Distribution
Ganesh Vishnu Avhad, Ananya Lahiri, Sudheesh K. Kattumannil
Heavy-tailed distributions, such as the Cauchy distribution, are acknowledged for providing more accurate models for financial returns, as the normal distribution is deemed insuffi…
Nonparametric goodness of fit tests for Pareto type-I distribution with complete and censored data
Avhad Ganesh Vishnu, Ananya Lahiri, Sudheesh K. Kattumannil
Two new goodness of fit tests for the Pareto type-I distribution for complete and right censored data are proposed using fixed point characterization based on Steins type identity.…
Modeling Risk and Return using Dirichlet Process Prior
Sourish Das, Aritra Halder, Ananya Lahiri +1
In this paper, we showed that the no-arbitrage condition holds if the market follows the mixture of the geometric Brownian motion (GBM). The mixture of GBM can incorporate heavy-ta…
Fractional Brownian markets with time-varying volatility and high-frequency data
Ananya Lahiri, Rituparna Sen
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock pr…
Understanding Betting Strategy
Kanika Saha, Ananya Lahiri
In this paper, we present betting strategy of a football game using probability theory. We know all betting houses offer slightly unfair odds towards the player. Here we discuss a…
Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion
Ananya Lahiri
Properties of mixed fractional Brownian motion has been discussed by Cheridito (2001) and Zili (2006). We have proposed an estimator of volatility parameter for a model driven by M…
Understanding Sea Ice Melting via Functional Data Analysis
Purba Das, Ananya Lahiri, Sourish Das
In this article, we considered the problem of sea ice cover is melting. Considering the `satellite passive microwave remote sensing data' as functional data, we studied daily obser…