Related papers: Exchangeable exogenous shock models
A two-parameter family of exchangeable partitions with a simple updating rule is introduced. The partition is identified with a randomized version of a standard symmetric Dirichlet species-sampling model with finitely many types. A…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
The paper deals with a certain class of random evolutions. We develop a construction that yields an invariant measure for a continuous-time Markov process with random transitions. The approach is based on a particular way of constructing…
Stochasticity is introduced to a well studied class of recursively grown graphs: $(u,v)$-flower nets, which have power-law degree distributions as well as small-world properties (when $u=1$). The stochastic variant interpolates between…
We establish a theory for multivariate extreme value analysis of dynamical systems. Namely, we provide conditions adapted to the dynamical setting which enable the study of dependence between extreme values of the components of…
To account quantitatively for many reported ``natural'' fat tail distributions in Nature and Economy, we propose the stretched exponential family as a complement to the often used power law distributions. It has many advantages, among which…
Let ${\bf X}$ and ${\bf X}$ be two $n$-dimensional elliptical random vectors, we establish an identity for $E[f({\bf Y})]-E[f({\bf X})]$, where $f: \Bbb{R}^n \rightarrow \Bbb{R}$ fulfilling some regularity conditions. Using this identity we…
Modern datasets are often in the form of matrices or arrays,potentially having correlations along each set of data indices. For example, data involving repeated measurements of several variables over time may exhibit temporal correlation as…
Cluster-weighted factor analyzers (CWFA) are a versatile class of mixture models designed to estimate the joint distribution of a random vector that includes a response variable along with a set of explanatory variables. They are…
We consider a stochastic differential equation of the form \[dX_t=\theta a(t,X_t)\,dt+\sigma_1(t,X_t)\sigma_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove…
In this paper, a new mixed Poisson distribution is introduced. This new distribution is obtained by utilizing mixing process, with Poisson distribution as mixed distribution and Transmuted Exponential distribution as mixing distribution.…
We devise constant-factor approximation algorithms for finding as many disjoint cycles as possible from a certain family of cycles in a given planar or bounded-genus graph. Here disjoint can mean vertex-disjoint or edge-disjoint, and the…
We characterize the existence of the maximum likelihood estimator for discrete exponential families. Our criterion is simple to apply as we show in various settings, most notably for exponential models of random graphs. As an application,…
We propose a multivariate framework for modeling dependent default times that extends the classical Cox process by incorporating both common and idiosyncratic shocks. Our construction uses c\`adl\`ag, increasing processes to model…
This article aims to introduced a new distribution named as extended xgamma (EXg) distribution. This generalization is derived from xgamma distribution (Xg), a special finite mixture of exponential and gamma distributions [see, Sen et al.…
We extend the scope of the dynamical theory of extreme values to cover phenomena that do not happen instantaneously, but evolve over a finite, albeit unknown at the onset, time interval. We consider complex dynamical systems, composed of…
Sine-skewed circular distributions are identifiable and have easily-computable trigonometric moments and a simple random number generation algorithm, whereas they are known to have relatively low levels of asymmetry. This study proposes a…
Using some knowledge of multiplicity disributions for high energy reactions, it is possible to propose a simple analytical model of particle production by strong external sources. The model describes qualitatively most peculiar properties…
Predictive constructions are a powerful way of characterizing the probability law of stochastic processes with certain forms of invariance, such as exchangeability or Markov exchangeability. When de Finetti-like representation theorems are…
Patterns in reaction-diffusion systems near primary bifurcations can be studied locally and classified by means of amplitude equations. This is not possible for excitable reaction-diffusion systems. In this Letter we propose a global…