Related papers: Statistical foundations for assessing the differen…
Correlated proportions appear in many real-world applications and present a unique challenge in terms of finding an appropriate probabilistic model due to their constrained nature. The bivariate beta is a natural extension of the well-known…
Classical measures of inequality use the mean as the benchmark of economic dispersion. They are not sensitive to inequality at the left tail of the distribution, where it would matter most. This paper presents a new inequality measurement…
Traditional approaches to estimating beta in finance often involve rigid assumptions and fail to adequately capture beta dynamics, limiting their effectiveness in use cases like hedging. To address these limitations, we have developed a…
This paper proposes a general class of regression models for continuous proportions when the data contain zeros or ones. The proposed class of models assumes that the response variable has a mixed continuous-discrete distribution with…
Gini index is a widely used measure of economic inequality. This article develops a general theory for constructing a confidence interval for Gini index with a specified confidence coefficient and a specified width. Fixed sample size…
Cluster-weighted modeling (CWM) is a mixture approach for modeling the joint probability of a response variable and a set of explanatory variables. The parameters are estimated by means of the expectation-maximization algorithm according to…
Foundation models - already transformative in domains such as natural language processing - are now starting to emerge for time-series tasks in finance. While these pretrained architectures promise versatile predictive signals, little is…
In an attempt to provide an answer to the increasing criticism against p-values and to bridge the gap between statistical inference and prediction modelling, we introduce the probability of improved prediction (PIP). In general, the PIP is…
In this paper we study the problem of estimating the alpha-, beta- and phi-mixing coefficients between two random variables, that can either assume values in a finite set or the set of real numbers. In either case, explicit closed-form…
Selecting an appropriate evaluation metric for classifiers is crucial for model comparison, parameter optimization, and deployment decisions, yet there is no consensus on a broadly accepted evaluation paradigm explicitly aligned with Total…
We describe the underlying probabilistic interpretation of alpha and beta divergences. We first show that beta divergences are inherently tied to Tweedie distributions, a particular type of exponential family, known as exponential…
Quantum generative modeling is a growing area of interest for industry-relevant applications. With the field still in its infancy, there are many competing techniques. This work is an attempt to systematically compare a broad range of these…
This research is to assess cryptocurrencies with the conditional beta, compared with prior studies based on unconditional beta or fixed beta. It is a new approach to building a pricing model for cryptocurrencies. Therefore, we expect that…
Time series forecasting is a valuable tool for many applications, such as stock price predictions, demand forecasting or logistical optimization. There are many well-established statistical and machine learning models that are used for this…
To measure the degree of agreement between two observers that independently classify $n$ subjects within $K$ categories, it is common to use different kappa type coefficients, the most common of which is the $\kappa_C$ coefficient (Cohen's…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
Different strategies of reliability theory for the analysis of coherent systems have been studied by various researchers. Here, the Gini-type index is utilized as an applicable tool for the study and comparison of the ageing properties of…
Income and wealth allocation are foundational components of how economies operate. These are complex distributions, and it is hard to get a real sense for their dynamics using simplifications like average or median. One metric that…
The classical theory for the meta-analysis of $p$-values is based on the assumption that if the overall null hypothesis is true, then all $p$-values used in a chosen combined test statistic are genuine, i.e., are observations from…
We consider a linear regression model with regression parameter beta=(beta_1,...,beta_p) and independent and identically N(0,sigma^2) distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified…