Orthogonal gamma-based expansion for the CIR's first passage time distribution
E Di Nardo, G D'Onofrio, T Martini - arXiv preprint arXiv:2402.00833, 2024 - arxiv.org
In this paper we analyze a method for approximating the first-passage time density and the
corresponding distribution function for a CIR process. This approximation is obtained by …
corresponding distribution function for a CIR process. This approximation is obtained by …
Statistical and Probabilistic Approaches to Hydrological Data Analysis: Rainfall Patterns, Copula-like Models and First Passage Time Approximations
T Martini - 2024 - iris.unito.it
Abstract Analysis of rainfall data and subsequent modelling of the many variables
concerning rainfall is fundamental to many areas such as agricultural, ecological and …
concerning rainfall is fundamental to many areas such as agricultural, ecological and …