Cheng-Der Fuh

Available identifiers

zbMath Open fuh.cheng-derMaRDI QIDQ449964

List of research outcomes

Publication	Date of Publication	Type
Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models	2023-03-14	Paper
Simulating false alarm probability in K-distributed sea clutter	2022-10-18	Paper
Credit Risk Propagation in Structural-Form Models	2021-11-05	Paper
https://portal.mardi4nfdi.de/entity/Q5004779	2021-08-03	Paper
Asymptotic behavior for Markovian iterated function systems	2021-06-04	Paper
Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models	2021-02-22	Paper
Computerized adaptive test using raw responses for item selection: theoretical results and applications for the up-and-down method	2020-06-24	Paper
Reply to on some problems in the article "Efficient likelihood estimation in state space models" by Cheng-Der Fuh [Ann, Statist. 34 (2006) 2026-2068]	2019-11-02	Paper
Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models	2019-01-18	Paper
Buy-and-hold mean-variance portfolios with a random exit strategy	2018-11-14	Paper
On an automatic and optimal importance sampling approach with applications in finance	2018-11-13	Paper
Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models	2018-08-22	Paper
On spherical Monte Carlo simulations for multivariate normal probabilities	2015-11-06	Paper
https://portal.mardi4nfdi.de/entity/Q5326970	2013-08-01	Paper
Efficient likelihood estimation in state space models	2012-09-03	Paper
A Self-Normalized Central Limit Theorem for Markov Random Walks	2012-07-12	Paper
Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors	2012-06-26	Paper
The role of additional information in option pricing: estimation issues for the state space model	2010-11-12	Paper
On-line VWAP Trading Strategies	2010-10-01	Paper
Efficient likelihood estimation in state space models	2010-03-24	Paper
Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei	2008-12-04	Paper
https://portal.mardi4nfdi.de/entity/Q3511609	2008-07-11	Paper
Estimation in hidden Markov models via efficient importance sampling	2008-01-09	Paper
Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift	2007-11-12	Paper
Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk	2007-10-22	Paper
Optimal strategies for a class of sequential control problems with precedence relations	2007-10-17	Paper
Efficient importance sampling for events of moderate deviations with applications	2006-01-24	Paper
Asymptotic operating characteristics of an optimal change point detection in hidden Markov models	2005-02-28	Paper
Limit theorems for iterated random functions by regenerative methods.	2005-02-25	Paper
Corrigendum to ``Limit theorems for iterated random functions by regenerative methods	2005-02-25	Paper
Bootstrap and Bayesian bootstrap clones for censored Markov chains	2005-02-09	Paper
FUZZY CLUSTERING BASED ON INTUITIONISTIC FUZZY RELATIONS	2004-11-05	Paper
Uniform Markov renewal theory and ruin probabilities in Markov random walks.	2004-09-15	Paper
Poisson equation, moment inequalities and quick convergence for Markov random walks.	2004-09-07	Paper
https://portal.mardi4nfdi.de/entity/Q4461336	2004-03-30	Paper
SPRT and CUSUM in hidden Markov models	2003-11-10	Paper
Empirical Performance and Asset Pricing in Hidden Markov Models	2003-11-06	Paper
https://portal.mardi4nfdi.de/entity/Q4433177	2003-10-29	Paper
Random Perturbation in Games of Chance	2002-12-11	Paper
Asymptotically efficient strategies for a stochastic scheduling problem with order constraints.	2002-11-14	Paper
https://portal.mardi4nfdi.de/entity/Q4544399	2002-08-04	Paper
Asymptotic expansions in multidimensional Markov renewal theory and first passage times for Markov random walks	2002-05-23	Paper
https://portal.mardi4nfdi.de/entity/Q2736802	2001-09-11	Paper
Wald's equations, first passage times and moments of ladder variables in Markov random walks	1999-04-26	Paper
Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk	1998-08-09	Paper
https://portal.mardi4nfdi.de/entity/Q4895978	1996-10-16	Paper
https://portal.mardi4nfdi.de/entity/Q4869548	1996-04-22	Paper
https://portal.mardi4nfdi.de/entity/Q4839338	1995-07-17	Paper
https://portal.mardi4nfdi.de/entity/Q4293666	1994-07-07	Paper
Bootstrapping Markov chains: Countable case	1993-04-01	Paper
Bootstrapping the autocorrelation coefficient of finite Markov chains	1993-01-16	Paper

Research outcomes over time

Doctoral students

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