Related papers: Recent progress in random metric theory and its ap…
The minimality of the penalization function associated with a convex risk measure is analyzed in this paper. First, in a general static framework, we provide necessary and sufficient conditions for a penalty function defined in a convex and…
Finding a point in the intersection of a collection of closed convex sets, that is the convex feasibility problem, represents the main modeling strategy for many computational problems. In this paper we analyze new stochastic reformulations…
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively,…
Random matrix theory (RMT) is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Most of the proposed generalizations keep the first assumption and violate the second. Recently, several authors presented…
In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor.…
The purpose of this paper is to generalize the classical Mazur's lemma from the classical convex analysis to the framework of locally $L^0$-convex modules. In this version an extra condition of countable concatenation is included. We…
Dedicated to the memory of Professor Tze Leung Lai, this paper introduces three multi-hypothesis sequential tests. These tests are derived from one-sided versions of the sequential probability ratio test and its modifications. They are…
We examine how the measure and the number of vertices of the convex hull of a random sample of $n$ points from an arbitrary probability measure in $\mathbf{R}^d$ relates to the wet part of that measure. This extends classical results for…
This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spaces and construct their robust counterparts through families…
The purpose of this paper is to describe and extend the use of the newly-introduced measure, residual estimation risk. Following the seminal work of Bignozzi and Tsanakas, the quantification of residual estimation risk is proposed in a…
This review article provides an overview of random matrix theory (RMT) with a focus on its growing impact on the formulation and inference of statistical models and methodologies. Emphasizing applications within high-dimensional statistics,…
Nonparametric regression problems with qualitative constraints such as monotonicity or convexity are ubiquitous in applications. For example, in predicting the yield of a factory in terms of the number of labor hours, the monotonicity of…
Locally $L^0$-convex modules were introduced in [D. Filipovic, M. Kupper, N. Vogelpoth. Separation and duality in locally $L^0$-convex modules. J. Funct. Anal. 256(12), 3996-4029 (2009)] as the analytic basis for the study of multi-period…
This paper develops a novel unified framework for testing mutual independence among random objects residing in possibly different metric spaces. The framework generalizes existing methodologies and introduces new measures of mutual…
The purpose of the present paper is to establish moderate deviation principles for a rather general class of random variables fulfilling certain bounds of the cumulants. We apply a celebrated lemma of the theory of large deviations…
In this paper we propose a method to construct probability measures on the space of convex bodies with a given pushforward distribution. Concretely we show that there is a measure on the metric space of centrally symmetric convex bodies,…
In this paper we continue the investigation of partition functions of critical systems on a rectangle initiated in [R. Bondesan et al, Nucl.Phys.B862:553-575,2012]. Here we develop a general formalism of rectangle boundary states using…
We present a new framework to address the non-convex robust hypothesis testing problem, wherein the goal is to seek the optimal detector that minimizes the maximum of worst-case type-I and type-II risk functions. The distributional…
This is a brief review, in relatively non-technical terms, of recent advances in the theory of random field geometry. These advances have provided a collection of explicit new formulae describing mean values of a variety of geometric…