Related papers: Portfolio return distributions: Sample statistics …

For long term investments, model portfolios are defined at the level of indexes, a setup known as Strategic Asset Allocation (SAA). The possible outcomes at a scale of a few decades can be obtained by Monte Carlo simulations, resulting in a…

When modeling a probability distribution with a Bayesian network, we are faced with the problem of how to handle continuous variables. Most previous work has either solved the problem by discretizing, or assumed that the data are generated…

Regression classes modeling more than the mean of the response have found a lot of attention in the last years. Expectile regression is a special and computationally convenient case of this family of models. Expectiles offer a quantile-like…

In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…

In a two-stage cluster sampling procedure, $n$ random populations are drawn independently from independent populations and a sub-sample of observations is taken in each of them. The estimator of the general mean of the observed variables is…

In distributed optimization and distributed numerical linear algebra, we often encounter an inversion bias: if we want to compute a quantity that depends on the inverse of a sum of distributed matrices, then the sum of the inverses does not…

The classical Gaussian ensembles of random matrices can be constructed by maximizing Boltzmann-Gibbs-Shannon's entropy, S_{BGS} = - \int d{\bf H} [P({\bf H})] \ln [P({\bf H})], with suitable constraints. Here we construct and analyze…

We propose a generalization of the random matrix theory following the basic prescription of the recently suggested concept of superstatistics. Spectral characteristics of systems with mixed regular-chaotic dynamics are expressed as weighted…

The aim of this paper is to study the mixture of the Riesz distribution on symmetric matrices with respect to the multivariate Poisson distribution. We show, in particular, that this distribution is related to the modified Bessel function…

We consider an array of random variables, taking values in a complete and separable metric space, that exhibits a kind of symmetry which we call row exchangeability. Given such an array, a natural model for Bayesian nonparametric inference…

We consider a re-sampling scheme for estimation of the population parameters in the mixed effects nonlinear regression models of the type use for example in clinical pharmacokinetics, say. We provide an estimation procedure which {\it…

The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We define two…

Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…

Non-Gaussian mixture models are gaining increasing attention for mixture model-based clustering particularly when dealing with data that exhibit features such as skewness and heavy tails. Here, such a mixture distribution is presented,…

We determine the asymptotic distribution of the sum of correlated variables described by a matrix product ansatz with finite matrices, considering variables with finite variances. In cases when the correlation length is finite, the law of…

We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…

We derive a Bayesian framework for incorporating selection effects into population analyses. We allow for both measurement uncertainty in individual measurements and, crucially, for selection biases on the population of measurements, and…

A universal and rigorous ensemble framework for nonequilibrium system remains lacking. Here, we provide a concise framework for the generalized ensemble theory of nonequilibrium discrete systems using matrix-based approach. By introducing…

We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…

We relax a number of assumptions in Alexeev and Tapon (2012) in order to account for non-normally distributed, skewed, multi-regime, and leptokurtic asset return distributions. We calibrate a Markov-modulated Levy process model to equity…