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A new type of stochastic dependence for a sequence of random variables is introduced and studied. Precisely, (X_n)_{n\geq 1} is said to be conditionally identically distributed (c.i.d.), with respect to a filtration (G_n)_{n\geq 0}, if it…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
We propose a method for inference in generalised linear mixed models (GLMMs) and several extensions of these models. First, we extend the GLMM by allowing the distribution of the random components to be non-Gaussian, that is, assuming an…
In 1931 de Finetti proved what is known as his Dutch Book Theorem. This result implies that the finite additivity {\it axiom} for the probability of the disjunction of two incompatible events becomes a {\it consequence} of de Finetti's…
We establish noncommutative analogs of some well-known large deviation inequalities for noncommutative random variables. Firstly, for the noncommutative independent case, we characterize the uniformly exponential integrability of random…
Belinschi and Nica introduced a composition semigroup on the set of probability measures. Using this semigroup, they introduced a free divisibility indicator, from which one can know whether a probability measure is freely infinitely…
The variety of bicommutative algebras consists of all nonassociative algebras satisfying the polynomial identities of right- and left-commutativity $(x_1x_2)x_3=(x_1x_3)x_2$ and $x_1(x_2x_3)=x_2(x_1x_3)$. Let $F_d$ be the free $d$-generated…
We investigate operator-valued monotone independence, a noncommutative version of independence for conditional expectation. First we introduce operator-valued monotone cumulants to clarify the whole theory and show the moment-cumulant…
The partial copula provides a method for describing the dependence between two random variables $X$ and $Y$ conditional on a third random vector $Z$ in terms of nonparametric residuals $U_1$ and $U_2$. This paper develops a nonparametric…
Over the last couple of decades, several copula based methods have been proposed in the literature to test for the independence among several random variables. But these existing tests are not invariant under monotone transformations of the…
Invariant manifolds provide the geometric structures for describing and understanding dynamics of nonlinear systems. The theory of invariant manifolds for both finite and infinite dimensional autonomous deterministic systems, and for…
We survey known solutions to the infinite extendibility problem for (necessarily exchangeable) probability laws on $\mathbb{R}^d$, which is: Can a given random vector $\vec{X} = (X_1,\ldots,X_d)$ be represented in distribution as the first…
We extend de Finetti's (1937) notion of exchangeability to finite and countable sequences of variables, when a subject's beliefs about them are modelled using coherent lower previsions rather than (linear) previsions. We prove…
An automorphism $F$ of the polynomial ring in $n$ variables over a field of characteristic zero is said to be {\it co-tame} if the subgroup of the automorphism group of the polynomial ring generated by $F$ and affine automorphisms contains…
We develop a new framework of uncertainty variables to model uncertainty. An uncertainty variable is characterized by an uncertainty set, in which its realization is bound to lie, while the conditional uncertainty is characterized by a set…
Inspired by R. Speicher's multidimensional free central limit theorem and semicircle families, we prove an infinite dimensional compound Poisson limit theorem in free probability, and define infinite dimensional compound free Poisson…
We propose a new method to test conditional independence of two real random variables $Y$ and $Z$ conditionally on an arbitrary third random variable $X$. %with $F_{.|.}$ representing conditional distribution functions, The partial copula…
We deal with the power-law q-distribution functions, so-called q-exponentials in nonextensive statistics. The system considered is a many-body Hamiltonian system with arbitrary interacting potentials. We find that the usual form of…
We discuss systematically several possible inequivalent ways to describe the dynamics and the transition probabilities of a quantum system when its hamiltonian is not self-adjoint. In order to simplify the treatment, we mainly restrict our…
The covariant Klein-Gordon equation requires twice the boundary conditions of the Schrodinger equation and does not have an accepted single-particle interpretation. Instead of interpreting its solution as a probability wave determined by an…