5 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…
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…