Related papers: Strongly Consistent Multivariate Conditional Risk …

We consider the problem of testing whether pairs of univariate random variables are associated. Few tests of independence exist that are consistent against all dependent alternatives and are distribution free. We propose novel tests that…

The relationship between overparameterization, stability, and generalization remains incompletely understood in the setting of discontinuous classifiers. We address this gap by establishing a generalization bound for finite function classes…

We present new results for consistency of maximum likelihood estimators with a focus on multivariate mixed models. Our theory builds on the idea of using subsets of the full data to establish consistency of estimators based on the full…

This paper is devoted to the estimators of the mean that provide strong non-asymptotic guarantees under minimal assumptions on the underlying distribution. The main ideas behind proposed techniques are based on bridging the notions of…

We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…

The problem of testing changes in covariance has received increasing attention in recent years, especially in the context of high-dimensional testing. A number of approaches have been proposed, all limited to the two-sample problem and…

We consider the high order moments estimator of the frontier of a random pair introduced by Girard, S., Guillou, A., Stupfler, G. (2012). {\it Frontier estimation with kernel regression on high order moments}. In the present paper, we show…

We deal with the random combinatorial structures called assemblies. By weakening the logarithmic condition which assures regularity of the number of components of a given order, we extend the notion of logarithmic assemblies. Using the…

When estimating the risk of a financial position with empirical data or Monte Carlo simulations via a tail-dependent law invariant risk measure such as the Conditional Value-at-Risk (CVaR), it is important to ensure the robustness of the…

Tests for proportional hazards assumption concerning specified covariates or groups of covariates are proposed. The class of alternatives is wide: log-hazard rates under different values of covariates may cross, approach, go away. The data…

The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures. This paper includes eight sections. Section 1 is a longer introduction, which gives a…

This article is concerned with measure equivalence and uniform measure equivalence of locally compact, second countable groups. We show that two unimodular, locally compact, second countable groups are measure equivalent if and only if they…

Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…

We show that the following two condition measures of a full column rank matrix $A \in \mathbb{R}^{m\times n}$ are identical: the chi constant and a signed Hoffman constant. This identity is naturally suggested by the evident invariance of…

Several easy to understand and computationally tractable imprecise probability models, like the Pari-Mutuel model, are derived from a given probability measure P_0. In this paper we investigate a family of such models, called Nearly-Linear…

In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures. Motivated by the results of scalar monetary and star-shaped risk measures, this paper investigates the representation theorems…

This paper deals with strong invariance principles (known also as strong approximation theorems) for sums of the form $\sum_{n=1}^{[Nt]}F\big(X(n),X(2n),...,X(kn), X(q_{k+1}(n)),X(q_{k+2}(n)),..., X(q_\ell(n))\big)$

We study self-similar measures in $\mathbb{R}$ satisfying the weak separation condition along with weak technical assumptions which are satisfied in all known examples. For such a measure $\mu$, we show that there is a finite set of concave…

We prove an intrinsic equivalence between strong hypercontractivity and a strong logarithmic Sobolev inequality for the cone of logarithmically subharmonic functions. We introduce a new large class of measures, Euclidean regular and…

We prove that the log-determinant of the covariance matrix obeys the strong subadditivity inequality for arbitrary tripartite states of multimode continuous variable quantum systems. This establishes general limitations on the distribution…