Christopher Paulus Imanto

8 Questions 51 Answers 0 Followers

Questions related from Christopher Paulus Imanto

Is it appropriate to exploit the consistency property of maximum likelihood method to estimate the quantile of a parameter?

Let X1,...,Xn iid random variables with distribution F(p), where p is some parameter. Due to some reasons, p is not observable directly (in the sense that there is no way to confirm whether p is...

26 August 2019 2,238 17 View

Can maximum likelihood methods in higher dimensions give unrealiable estimators?

For given samples X1...Xn, which follow the distribution F with parameters p1,...pm, one may use the maximum likelihood method to estimate p1,...pm. In the technical process, the method is only an...

18 July 2019 2,116 2 View

Can you refer a paper for (linear) factor analysis with "loud" white noise?

Currently, I'm trying to fit a linear factor model to a particular time series in finance. For the sake of discussion, let's assume it has the following form: Y= \mu + \sigma X + \epsilon. Y is...

04 January 2019 7,751 7 View

What is the expected value of dependent geometric distributed r.v?

Let X~Geom(p) and Y~Geom(q) with Corr(X,Y)= \rho > 0. Only under this information, is it possible to calculate the closed formula for E[X*Y]? Due to \rho>0, E[X*Y] has to be smaller than...

10 December 2018 1,698 3 View

What property should the distribution of E[X|Y] have when the distributions of X and Y are known?

Let X and Y be two dependent random variables with unknown dependency structure. Is it possible to derive the distribution of E[X|Y] with minimal information? what information is necessary for...

08 November 2018 7,245 6 View

Is asset correlation "non-convex"?

Asset correlation can be defined generally. However, I am thinking about asset correlation in the sense of single-risk factor model (also typically known as default correlation or IRBA correlation...

22 August 2018 8,766 0 View

What are inherited properties of Positive Quadrant Dependent Bivariate random variables?

I'm currently interested in Positive Quadrant Dependent (PQD) random variables and its properties, in contrast to just positive correlated random variables. Since PQD implies positive correlation,...

20 August 2018 659 15 View

Outsmarting AI with AI in the battle against financial crimes

To identify a financial fraud, e.g. money laundry, AI deployment is not new. Given a large dataset, many machine learning techniques can identify patterns to help to identify these rare...

01 January 1970 5,178 3 View