Related papers: Randomly Weighted Averages: A Multivariate Case
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…
We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, regular variation out" setup we show that its stationary solution has a multivariate regularly varying distribution. This extends results…
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew…
An averaging result is proved for stochastic evolution equations with highly oscillating coefficients. This result applies in particular to equations with almost periodic coefficients. The convergence to the solution of the averaged…
This paper investigates the combinatorics that gives rise to the Boltzmann probability distribution. Despite being one of the most important distributions in physics and other fields of science, the mathematics of the underlying model of…
An important line of research is the investigation of the laws of random variables known as Dirichlet means as discussed in Cifarelli and Regazzini(1990). However there is not much information on inter-relationships between different…
We address the construction of stable random matrix ensembles as the generalization of the stable random variables (Levy distributions). With a simple method we derive the Cauchy case, which is known to have remarkable properties. These…
Consider the random Dirichlet partition of the interval into $n$ fragments with parameter $\theta >0$. We recall the unordered Ewens sampling formulae from finite Dirichlet partitions. As this is a key variable for estimation purposes,…
Traditional methods for covariate adjustment of treatment means in designed experiments are inherently conditional on the observed covariate values. In order to develop a coherent general methodology for analysis of covariance, we propose a…
Directional data require specialized probability models because of the non-Euclidean and periodic nature of their domain. When a directional variable is observed jointly with linear variables, modeling their dependence adds an additional…
Let $\{{\bf \mathcal{Z}}_n:n\geq 1\}$ be a sequence of i.i.d. random probability measures. Independently, for each $n\geq 1$, let $(X_{n1},\ldots, X_{nn})$ be a random vector of positive random variables that add up to one. This paper…
This article addresses an equidistribution problem concerning the zeros of systems of random holomorphic sections of positive line bundles on compact K\"{a}hler manifolds and random polynomials on $\mathbb{C}^{m}$ in the setting of the…
We give the cumulative distribution functions, the expected values, and the moments of weighted lattice polynomials when regarded as real functions of independent random variables. Since weighted lattice polynomial functions include…
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…
This paper provides a generalization of a classical result obtained by Wilks about the asymptotic behavior of the likelihood ratio. The new results deal with the asymptotic behavior of the joint distribution of a vector of likelihood ratios…
This article offers a simplified approach to the distribution theory of randomly weighted averages or $P$-means $M_P(X):= \sum_{j} X_j P_j$, for a sequence of i.i.d.random variables $X, X_1, X_2, \ldots$, and independent random weights $P:=…
In the paper, multivariate probability distributions are considered that are representable as scale mixtures of multivariate elliptically contoured stable distributions. It is demonstrated that these distributions form a special subclass of…
The statistical distribution of the ratio of two normal random variables is characterized by its heavy-tailed nature and absence of finite moments. The shape of its density function is highly variable, capable of exhibiting unimodal or…
Permutations of correlated sequences of random variables appear naturally in a variety of applications such as graph matching and asynchronous communications. In this paper, the asymptotic statistical behavior of such permuted sequences is…
The purpose of this paper is to assess the statistical characterization of weighted networks in terms of the generalization of the relevant parameters, namely average path length, degree distribution and clustering coefficient. Although the…