Related papers: On a minimum distance procedure for threshold sele…
In this study, we conducted an in-depth examination of the utility analysis of the differentially private mechanism (DPM). The authors of DPM have already established the probability of a good split being selected and of DPM halting. In…
Understanding the structure of the Internet graph is a crucial step for building accurate network models and designing efficient algorithms for Internet applications. Yet, obtaining its graph structure is a surprisingly difficult task, as…
Bias evaluation is fundamental to trustworthy AI, both in terms of checking data quality and in terms of checking the outputs of AI systems. In testing data quality, for example, one may study the distance of a given dataset, viewed as a…
We study the long-time behavior of decoupled continuous-time random walks characterized by superheavy-tailed distributions of waiting times and symmetric heavy-tailed distributions of jump lengths. Our main quantity of interest is the…
We present analytical results for the distribution of shortest cycle lengths (DSCL) in random networks. The approach is based on the relation between the DSCL and the distribution of shortest path lengths (DSPL). We apply this approach to…
For the problem of estimating lower tail and upper tail copulas, we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas. The first method uses a multiplier bootstrap of the…
While frameworks based on physical grounds (like the Drift-Diffusion Model) have been exhaustively used in psychology and neuroscience to describe perceptual decision-making in humans, analogous approaches for more complex situations like…
The study proposes a new decision theoretic sampling plan (DSP) for Type-I and Type-I hybrid censored samples when the lifetimes of individual items are exponentially distributed with a scale parameter. The DSP is based on an estimator of…
We present a nonparametric family of estimators for the tail index of a Pareto-type distribution when covariate information is available. Our estimators are based on a weighted sum of the log-spacings between some selected observations.…
Diversity schemes play a vital role in improving the performance of ultra-reliable communication systems by transmitting over two or more communication channels to combat fading and co-channel interference. Determining an appropriate…
We consider the problem of online reinforcement learning for the Stochastic Shortest Path (SSP) problem modeled as an unknown MDP with an absorbing state. We propose PSRL-SSP, a simple posterior sampling-based reinforcement learning…
Maximum-likelihood exponent maps have been studied as a technique to increase the understanding and improve the fit of power-law exponents to experimental and numerical simulation data, especially when they exhibit both upper and lower…
In this paper a method based on a Markov chain Monte Carlo (MCMC) algorithm is proposed to compute the probability of a rare event. The conditional distribution of the underlying process given that the rare event occurs has the probability…
In previous work Majda and McLaughlin computed explicit expressions for the $2N$th moments of a passive scalar advected by a linear shear flow in the form of an integral over ${\bf R}^N$. In this paper we first compute the asymptotics of…
Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement and cancelation in a purely order-driven…
Abstract In Extreme Value methodology the choice of threshold plays an important role in efficient modelling of observations exceeding the threshold. The threshold must be chosen high enough to ensure an unbiased extreme value index but…
We study tail estimation in Pareto-like settings for datasets with a high percentage of randomly right-censored data, and where some expert information on the tail index is available for the censored observations. This setting arises for…
Let $(X_n:n\geq 0)$ be a sequence of i.i.d. r.v.'s with negative mean. Set $S_0=0$ and define $S_n=X_1+... +X_n$. We propose an importance sampling algorithm to estimate the tail of $M=\max \{S_n:n\geq 0\}$ that is strongly efficient for…
Numerous robust estimators exist as alternatives to the maximum likelihood estimator (MLE) when a completely observed ground-up loss severity sample dataset is available. However, the options for robust alternatives to MLE become…