Related papers: What risk measures are time consistent for all fil…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
We consider the problem of sequentially testing for changes in the mean parameter of a time series, compared to a benchmark period. Most tests in the literature focus on the null hypothesis of a constant mean versus the alternative of a…
Measuring small separations between two optical sources, either in space or in time, constitute an important metrological challenge as standard intensity-only measurements fail for vanishing separations. Contrarily, it has been established…
Time irreversibility, which characterizes nonequilibrium processes, can be measured based on the probabilistic differences between symmetric vectors. To simplify the quantification of time irreversibility, symmetric permutations instead of…
In the approximate integration some inequalities between the quadratures and the integrals approximated by them are called \emph{extremalities}. On the other hand, the set of all quadratures is convex. We are trying to find possible…
Confidence sequences are confidence intervals that can be sequentially tracked, and are valid at arbitrary data-dependent stopping times. This paper presents confidence sequences for a univariate mean of an unknown distribution with a known…
Confidence sequences are anytime-valid analogues of classical confidence intervals that do not suffer from multiplicity issues under optional continuation of the data collection. As in classical statistics, asymptotic confidence sequences…
An invariant measure for a flow is, of course, an invariant measure for any of its time-t maps. But the converse is far from being true. Hence, one may naturally ask: What is the obstruction for an invariant measure for the time-one map to…
The performance of a number of different measures of nonlinearity in a time series is compared numerically. Their power to distinguish noisy chaotic data from linear stochastic surrogates is determined by Monte Carlo simulation for a number…
The subject of this paper is to study conformance checking for timed models, that is, process models that consider both the sequence of events in a process as well as the timestamps at which each event is recorded. Time-aware process mining…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
In this paper the spectral analysis of all possible linear congruent sequences with a maximum period is conducted and the best random number generators are selected among them.
Verification is crucial for effective mathematical reasoning. We present a new temporal consistency method where verifiers iteratively refine their judgments based on the previous assessment. Unlike one-round verification or multi-model…
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension…
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures introduced in…
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the economic properties of risk measures -- are defined and…
Robustness checks are routine in empirical work, but there is no standard statistical procedure to formally measure what one can learn from them. I propose a "robustness radius" measure to quantify the amount by which the robustness checks…