Related papers: How big should a Stress Shock be?
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
For a class of quasi-variational inequalities (QVIs) of obstacle-type the stability of its solution set and associated optimal control problems are considered. These optimal control problems are non-standard in the sense that they involve…
Since its introduction, the skew-$t$ distribution has received much attention in the literature both for the study of theoretical properties and as a model for data fitting in empirical work. A major motivation for this interest is the high…
When teaching and discussing statistical assumptions, our focus is oftentimes placed on how to test and address potential violations rather than the effects of violating assumptions on the estimates produced by our statistical models. The…
The path integral for classical statistical dynamics is used to determine the properties of one-dimensional Darcy flow through a porous medium with a correlated stochastic permeability for several spatial correlation lengths. Pressure…
Clinical prediction models estimate an individual's risk of a particular health outcome, conditional on their values of multiple predictors. A developed model is a consequence of the development dataset and the chosen model building…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
The purpose of this paper is to ensure the conditions of G\"artner-Ellis Theorem for evaluations of the empirical measure. We show that up-to-date conditions for ensuring the convergence to a quasi-stationary distribution can be applied…
Statistical properties of the one-dimensional spring-block (Burridge-Knopoff) model of earthquakes obeying the rate and state dependent friction law are studied by extensive computer simulations. The quantities computed include the…
Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly…
A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between…
The article proposes a method of designing a statistically distinguishable rating scale that is not excessive in relation to the existing observation statistics. This allows for more stable validation with a fixed maximum number of…
The Bayesian Cram\'er-Rao bound (CRB) provides a lower bound on the mean square error of any Bayesian estimator under mild regularity conditions. It can be used to benchmark the performance of statistical estimators, and provides a…
When two inclusions with high contrast material properties are located close to each other in a homogeneous medium, stress may become arbitrarily large in the narrow region between them. In this paper, we investigate such stress…
The wall shear stress is a quantity of profound importance for clinical diagnosis of artery diseases. The lattice Boltzmann is an easily parallelizable numerical method of solving the flow problems, but it suffers from errors of the…
This paper extends the standard chaining technique to prove excess risk upper bounds for empirical risk minimization with random design settings even if the magnitude of the noise and the estimates is unbounded. The bound applies to many…
Statistical fluctuation problems are faced by all quantum key distribution (QKD) protocols under finite-key condition. Most of the current statistical fluctuation analysis methods work based on independent random samples, however, the…
Let $S$ be a finite set, and $X_1,\ldots,X_n$ an i.i.d. uniform sample from $S$. To estimate the size $|S|$, without further structure, one can wait for repeats and use the birthday problem. This requires a sample size of the order…
Statistical model checking estimates probabilities and expectations of interest in probabilistic system models by using random simulations. Its results come with statistical guarantees. However, many tools use unsound statistical methods…
This short note proposes two additive corrections to a pair of relations published in Wan et al. in order to extend them to a small sample size condition. In particular we focus the interest on the possibility to provide an estimate to the…