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Probability forecasts of events are routinely used in climate predictions, in forecasting default probabilities on bank loans or in estimating the probability of a patient's positive response to treatment. Scoring rules have long been used…
The paper introduces a new estimation method for the standard linear regression model. The procedure is not driven by the optimisation of any objective function rather, it is a simple weighted average of slopes from observation pairs. The…
Determinantal point processes (DPPs) are probabilistic models for repulsion. When used to represent the occurrence of random subsets of a finite base set, DPPs allow to model global negative associations in a mathematically elegant and…
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. We propose a wide class of recursive estimation procedures for the general…
Comprehensible explanations of probabilistic reasoning are a prerequisite for wider acceptance of Bayesian methods in expert systems and decision support systems. A study of human reasoning under uncertainty suggests two different…
We propose a constructive approach to building temporal point processes that incorporate dependence on their history. The dependence is modeled through the conditional density of the duration, i.e., the interval between successive event…
This paper investigates the martingale characterizations of non-homogeneous counting processes and their fractional generalizations. We show that the weighted sum of non-homogeneous Poisson processes (NPPs) is the non-homogeneous…
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…
The now classical replicator equation describes a wide variety of biological phenomena, including those in theoretical genetics, evolutionary game theory, or in the theories of the origin of life. Among other questions, the permanence of…
The conditional moment problem is a powerful formulation for describing structural causal parameters in terms of observables, a prominent example being instrumental variable regression. A standard approach reduces the problem to a finite…
This paper presents a method for estimating parameters that form a general model for human pilot response for specific tasks. The human model is essential for the dynamic analysis of piloted vehicles. Data are generated on a simulator with…
In this paper we address the challenging problem of designing globally convergent estimators for the parameters of nonlinear systems containing a non-separable exponential nonlinearity. This class of terms appears in many practical…
This paper deals with the question of conditional sampling and prediction for the class of stationary max-stable processes which allow for a mixed moving maxima representation. We develop an exact procedure for conditional sampling using…
This article revisits the fundamental problem of parameter selection for Gaussian process interpolation. By choosing the mean and the covariance functions of a Gaussian process within parametric families, the user obtains a family of…
The problem of estimating high-dimensional network models arises naturally in the analysis of many physical, biological and socio-economic systems. Examples include stock price fluctuations in financial markets and gene regulatory networks…
Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in…
The one-dimensional symmetric exclusion process, the simplest interacting particle process, is a lattice-gas made of particles that hop symmetrically on a discrete line respecting hard-core exclusion. The system is prepared on the infinite…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
Let t be the first-passage time of a continuous barrier by a c{\`a}dl{\`a}g adapted process. We show that t admits a canonical fourfold pathwise decomposition into continuous contact, contact from the left followed by an upward jump, exact…
The iterated prisoner's dilemma is a game that produces many counter-intuitive and complex behaviors in a social environment, based on very simple basic rules. It illustrates that cooperation can be a good thing even in a competitive world,…