Related papers: Strongly Consistent Multivariate Conditional Risk …
We are concerned with the detection of associations between random vectors of any dimension. Few tests of independence exist that are consistent against all dependent alternatives. We propose a powerful test that is applicable in all…
Regular variation of a multivariate measure with a Lebesgue density implies the regular variation of its density provided the density satisfies some regularity conditions. Unlike the univariate case, the converse also requires regularity…
Multi-class systems having possibly both finite and infinite classes are investigated under a natural partial exchangeability assumption. It is proved that the conditional law of such a system, given the vector of the empirical measures of…
We deepen the study of conjoined and disjoined conditional events in the setting of coherence. These objects, differently from other approaches, are defined in the framework of conditional random quantities. We show that some well known…
In this thesis, the main objects of study are probability measures on the isomorphism classes of countable, connected rooted graphs. An important class of such measures is formed by unimodular measures, which satisfy a certain equation,…
Amenable groups are those admitting an invariant mean -- a finitely additive probability mean that assigns equal ``weight'' to any two translates of the same set. We introduce coset correct means (CCMs), a class of finitely additive means…
We give sufficient conditions for the expected excess and the upper semideviation of recourse functions to be strongly convex. This is done in the setting of two-stage stochastic programs with complete linear recourse and random right-hand…
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We…
We study a proof methodology for verifying the safety of data invariants of highly-available distributed applications that replicate state. The proof is (1) modular: one can reason about each individual operation separately, and (2)…
In this paper, we propose a novel association measure for longitudinal studies based on the traditional definition of relative risk. In a Markovian fashion, such a proposal takes into account the information content regarding the previous…
We derive a new closed-form variance-adaptive confidence sequence (CS) for estimating the average conditional mean of a sequence of bounded random variables. Empirically, it yields the tightest closed-form CS we have found for tracking…
We consider uniform moment convergence of lag-window spectral density estimates for univariate and multivariate stationary processes. Optimal rates of convergence are obtained under mild and easily verifiable conditions. Our theory…
In this paper, we refine and generalize closed forms for worst-case law invariant convex risk measures with uncertainty sets based on: i) closed balls under $p$-norms and Wasserstein distance; and ii) moment constraints involving mean and…
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the economic properties of risk measures -- are defined and…
We study conditions for the existence of stable and group-strategy-proof mechanisms in a many-to-one matching model with contracts if students' preferences are monotone in contract terms. We show that "equivalence", properly defined, to a…
This paper generalizes the results of [13] and then provides an interesting example. We construct a family of $W$-like maps $\{W_a\}$ with a turning fixed point having slope $s_1$ on one side and $-s_2$ on the other. Each $W_a$ has an…
Adoption of machine learning models in healthcare requires end users' trust in the system. Models that provide additional supportive evidence for their predictions promise to facilitate adoption. We define consistent evidence to be both…
In this paper we consider compound conditionals, Fr\'echet-Hoeffding bounds and the probabilistic interpretation of Frank t-norms. By studying the solvability of suitable linear systems, we show under logical independence the sharpness of…
We explore the consequences of a set of axioms which extend Scarsini's axioms for bivariate measures of concordance to the multivariate case and exhibit the following results: (1) A method of extending measures of concordance from the…
We consider a system of weak* closed sets of finite-dimensional distributions. We show that a corresponding system of random variables can be defined on a probability space with a probability measure determined up to some set of measures,…