3 papers
stat.ME2022
Maximum likelihood estimation for left-truncated log-logistic distributions with a given truncation point
Markus Kreer, Ayse Kizilersu, Jake Guscott +2
The maximum likelihood estimation of the left-truncated log-logistic distribution with a given truncation point is analyzed in detail from both mathematical and numerical perspecti…
math.PR2021
An elementary proof for dynamical scaling for certain fractional non-homogeneous Poisson processes
Markus Kreer
Dynamical scaling is an asymptotic property typical for the dynamics of first-order phase transitions in physical systems and related to self-similarity. Based on the integral-repr…
q-fin.ST2020
Censored EM algorithm for Weibull mixtures: application to arrival times of market orders
Markus Kreer, Ayse Kizilersu, Anthony W. Thomas
In a previous analysis the problem of "zero-inflated" time data (caused by high frequency trading in the electronic order book) was handled by left-truncating the inter-arrival tim…