Related papers: Exchangeable exogenous shock models
We study, by means of a topological approach, the forced oscillations of second order functional retarded differential equations subject to periodic perturbations. We consider a delay-type functional dependence involving a gamma probability…
Exponential-family random graph models (ERGMs) provide a principled and flexible way to model and simulate features common in social networks, such as propensities for homophily, mutuality, and friend-of-a-friend triad closure, through…
Graphical models can represent a multivariate distribution in a convenient and accessible form as a graph. Causal models can be viewed as a special class of graphical models that not only represent the distribution of the observed system…
This paper is devoted to the prediction problem in extreme value theory. Our main result is an explicit expression of the regular conditional distribution of a max-stable (or max-infinitely divisible) process $\{\eta(t)\}_{t\in T}$ given…
We derive representation theorems for exchangeable distributions on finite and infinite graphs using elementary arguments based on geometric and graph-theoretic concepts. Our results elucidate some of the key differences, and their…
The preservation of stochastic orders by distortion functions has become a topic of increasing interest in the reliability analysis of coherent systems. The reason of this interest is that the reliability function of a coherent system with…
We consider a class of piecewise-deterministic Markov processes where the state evolves according to a linear dynamical system. This continuous time evolution is interspersed by discrete events that occur at random times and change (reset)…
We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…
In a wide variety of situations, anomalies in the behaviour of a complex system, whose health is monitored through the observation of a random vector X = (X1,. .. , X d) valued in R d , correspond to the simultaneous occurrence of extreme…
In this paper the multi-dimensional random walk models governed by distributed fractional order differential equations and multi-term fractional order differential equations are constructed. The scaling limits of these random walks to a…
As input data distributions evolve, the predictive performance of machine learning models tends to deteriorate. In practice, new input data tend to come without target labels. Then, state-of-the-art techniques model input data distributions…
Most networks tend to show complex and multiple relationships between entities. Networks are usually modeled by graphs or hypergraphs; nonetheless a given entity can occur many times in a relationship: this brings the need to deal with…
We establish properties of a new type of fractal which has partial self similarity at all scales. For any collection of iterated functions systems with an associated probability distribution and any positive integer V there is a…
We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose marginal distributions are of Mittag-Leffler type with arbitrary…
We review old and new uses of exchangeability, emphasizing the general theme of exchangeable representations of complex random structures. Illustrations of this theme include processes of stochastic coalescence and fragmentation; continuum…
Recursive max-linear vectors model causal dependence between its components by expressing each node variable as a max-linear function of its parental nodes in a directed acyclic graph and some exogenous innovation. Motivated by extreme…
A new family of penalty functions, adaptive to likelihood, is introduced for model selection in general regression models. It arises naturally through assuming certain types of prior distribution on the regression parameters. To study…
Phase-type (PH) distributions are a popular tool for the analysis of univariate risks in numerous actuarial applications. Their multivariate counterparts (MPH$^\ast$), however, have not seen such a proliferation, due to lack of explicit…
We outline a representation for discrete multivariate distributions in terms of interventional potential functions that are globally normalized. This representation can be used to model the effects of interventions, and the independence…
A fairly general procedure is studied to perturbate a multivariate density satisfying a weak form of multivariate symmetry, and to generate a whole set of non-symmetric densities. The approach is general enough to encompass a number of…