52 citations · 54 across the 3 of their papers we have counts for
4 papers
Semi--normal: a Hybrid between Normal and -normal (Full Version)
Yifan Li, Reg Kulperger, Hao Yu
The -expectation framework is a generalization of the classical probabilistic system motivated by Knightian uncertainty, where the -normal plays a central role. However, from…
An Iterative Approximation of the Sublinear Expectation of an Arbitrary Function of -normal Distribution and the Solution to the Corresponding -heat Equation
Yifan Li, Reg Kulperger
It has been a well-known problem in the -framework that it is hard to compute the sublinear expectation of the -normal distribution when is neith…
Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process
Herold Dehling, Brice Franke, Thomas Kott +1
In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein-Uhlenbeck process which is defined as the solution of $dX_t=(L(t)-α…
High moment partial sum processes of residuals in GARCH models and their applications
Reg Kulperger, Hao Yu
In this paper we construct high moment partial sum processes based on residuals of a GARCH model when the mean is known to be 0. We consider partial sums of th powers of residua…