Related papers: The generalized lognormal distribution and the Sti…
The absolute moments of probability distributions are much more complicated than conventional ones. By using a direct and simpler approach, we retreat P. L. Hsu's (1951, J. Chinese Math. Soc., Vol. 1, pp. 257-280) formulas in terms of the…
Let $W$ be a random positive definite symmetric matrix distributed according to a real Wishart distribution and let $W^{-1}=(W^{ij})_{i,j}$ be its inverse matrix. We compute general moments $\mathbb{E} [W^{k_1 k_2} W^{k_3 k_4} ...…
We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distributions is analytically derived from the continuum limit of…
Presented is an analytic microeconomic model of the temporal price dispersion of homogeneous goods in polypoly markets. This new approach is based on the idea that the price dispersion has its origin in the dynamics of the purchase process.…
Sums of lognormal random variables (RVs) occur in many important problems in wireless communications especially in interferences calculation. Several methods have been proposed to approximate the lognormal sum distribution. Most of them…
A variety of estimators for the parameters of the Generalized Pareto distribution, the approximating distribution for excesses over a high threshold, have been proposed, always assuming the underlying data to be independent. We recently…
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments…
In this note, we consider the performance of the classic method of moments for parameter estimation of symmetric variance-gamma (generalized Laplace) distributions. We do this through both theoretical analysis (multivariate delta method)…
In this paper, we introduce a new two-parameter lifetime distribution, called the exponential-generalized truncated logarithmic (EGTL) distribution, by compounding the exponential and generalized truncated logarithmic distributions. Our…
This note corrects a technical error in Guardiola (2020, Journal of Statistical Distributions and Applications), presents updated derivations, and offers an extended discussion of the properties of the spherical Dirichlet distribution.…
A growing body of literature suggests that heavy tailed distributions represent an adequate model for the observations of log returns of stocks. Motivated by these findings, here we develop a discrete time framework for pricing of European…
One of the ways to characterize a probability distribution is to show that it is moment-determinate, uniquely determined by knowing all its moments. The uniqueness, in the absolutely continuous case, depends entirely on the behaviour of the…
Stochastic ordering of distributions of random variables may be defined by the relative convexity of the tail functions. This has been extended to higher order stochastic orderings, by iteratively reassigning tail-weights. The actual…
In this paper non-asymptotic exponential and moment estimates are derived for tail of distribution for discrete time martingale under norming sequence 1/n, as in the classical Law of Large Numbers (LLN), by means of martingale differences…
This paper examines the classical matching distribution arising in the "problem of coincidences". We generalise the classical matching distribution with a preliminary round of allocation where items are correctly matched with some fixed…
Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…
The generalized Stieltjes transform (GST) is an integral transform that depends on a parameter $\rho > 0$. In previous work a convenient form of the inverse transformation was derived for the case $\rho = 3/2$. This paper generalizes that…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
A new three-parameter cumulative distribution function defined on $(\alpha,\infty)$, for some $\alpha\geq0$, with asymmetric probability density function and showing exponential decays at its both tails, is introduced. The new distribution…
When particles are multiply scattered by a random potential, their momentum distribution becomes isotropic on average. We study this quantum dynamics numerically and with a master equation. We show how to measure the elastic scattering time…