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We propose a testing and estimation methodology for univariate and bivariate symmatric $\alpha$-stable distributions using a modified version of the Greenwood statistic. Originally designed for positive-valued random variables, the…
To understand the sophisticated control mechanisms of the human's endocrine system is a challenging task that is a crucial step towards precise medical treatment of many disfunctions and diseases. Although mathematical models describing the…
It can be difficult to assess the quality of a fitted model when facing unsupervised learning problems. Latent variable models, such as variation autoencoders and Gaussian mixture models, are often trained with likelihood-based approaches.…
This PhD Thesis presents an investigation into the analysis of financial returns using mixture models, focusing on mixtures of generalized normal distributions (MGND) and their extensions. The study addresses several critical issues…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
Mathematical properties of the historical GDP/cap distributions are discussed and explained. These distributions are frequently incorrectly interpreted and the Unified Growth Theory is an outstanding example of such common misconceptions.…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…
Multi-model inference covers a wide range of modern statistical applications such as variable selection, model confidence set, model averaging and variable importance. The performance of multi-model inference depends on the availability of…
Long-range climate forecasts use integrated assessment models to link the global economy to greenhouse gas emissions. This paper evaluates an alternative economic framework outlined in part 1 of this study (Garrett, 2014) that approaches…
Transmission dynamics of infectious diseases are often studied using compartmental mathematical models, which are commonly represented as systems of autonomous ordinary differential equations. A key step in the analysis of such models is to…
Adaptive enrichment allows for pre-defined patient subgroups of interest to be investigated throughout the course of a clinical trial. Many trials which measure a long-term time-to-event endpoint often also routinely collect repeated…
Reducing wealth inequality and increasing utility are critical issues. This study reveals the effects of redistribution and consumption morals on wealth inequality and utility. To this end, we present a novel approach that couples the…
The major perspective of this paper is to provide more evidence regarding how "quickly", in different macroeconomic states, companies adjust their capital structure to their leverage targets. This study extends the empirical research on the…
This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…
Metabolism and evolution are closely connected: if a mutation incurs extra energetic costs for an organism, there is a baseline selective disadvantage that may or may not be compensated for by other adaptive effects. A long-standing, but to…
This paper analyzes a steady state matching model interrelating the education and labor sectors. In this model, a heterogeneous population of students match with teachers to enhance their cognitive skills. As adults, they then choose to…
We consider a family of unadjusted generalized HMC samplers, which includes standard position HMC samplers and discretizations of the underdamped Langevin process. A detailed analysis and optimization of the parameters is conducted in the…
This paper reviews recent attempts at modelling inequality of wealth as an emergent phenomenon of interacting-agent processes. We point out that recent models of wealth condensation which draw their inspiration from molecular dynamics have,…
Empirical growth analysis has three major problems --- variable selection, parameter heterogeneity and cross-sectional dependence --- which are addressed independently from each other in most studies. The purpose of this study is to propose…
As predictive algorithms grow in popularity, using the same dataset to both train and test a new model has become routine across research, policy, and industry. Sample-splitting attains valid inference on model properties by using separate…