Related papers: On the representation of the nested logit model
Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting. In the present paper, we focus on the two-dimension random vectors to establish a link between the bivariate L-moments (BLM) and…
We prove results concerning the representation of a given distribution by means of a given random quantity. The existence of a solution to this problem is related to the notion of conglomerability, originally introduced by Dubins to study…
The distribution function of the sum $Z$ of two standard normally distributed random variables $X$ and $Y$ is computed with the concept of copulas to model the dependency between $X$ and $Y$. By using implicit copulas such as the Gauss- or…
In this paper we present a new formula relating Stieltjes numbers $\gamma _{n}$ and Laurent coefficinets $\eta_{n}$ of logarithmic derivative of the Riemann's zeta function. Using it we derive an explicit formula for the oscillating part of…
The problem of guessing a random string is revisited. A close relation between guessing and compression is first established. Then it is shown that if the sequence of distributions of the information spectrum satisfies the large deviation…
Non-random sample selection is a commonplace amongst many empirical studies and it appears when an output variable of interest is available only for a restricted non-random sub-sample of data. We introduce an extension of the generalized…
We give derivations of some basic results for the Bernstein approximation in $n$ variables that are useful in investigating copulas. It is shown that Bernstein approximations of copulas are again copulas. We exhibit a stochastic…
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss…
Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean…
We conjecture a combinatorial formula for the monomial expansion of the image of any Schur function under the Bergeron-Garsia nabla operator. The formula involves nested labeled Dyck paths weighted by area and a suitable "diagonal…
Recently, some attention has been paid to falsifying the Leggett model, in which global probabilities characterizing a quantum state are represented by a combination of factorisable distributions. This idea was even verified in experiments,…
For orbifolds admitting a crepant resolution and satisfying a hard Lefschetz condition, we formulate a conjectural equivalence between the Gromov-Witten theories of the orbifold and the resolution. We prove the conjecture for the…
This paper provides a theoretical and computational justification of the long held claim that of the similarity of the probit and logit link functions often used in binary classification. Despite this widespread recognition of the strong…
It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copula. In the special case when these random variables are…
We construct a combinatorial model that is described by the cube recurrence, a nonlinear recurrence relation introduced by Propp, which generates families of Laurent polynomials indexed by points in $\mathbb{Z}^3$. In the process, we prove…
We develop a nonparametric Bayesian modeling approach to ordinal regression based on priors placed directly on the discrete distribution of the ordinal responses. The prior probability models are built from a structured mixture of…
A simple generative model for rank ordered data with ties is presented. The model is based on ordering geometric latent variables and can be seen as the discrete counterpart of the Plackett-Luce (PL) model, a popular, relatively tractable…
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in the existing literature. This paper builds on two novel…
We represent in this preprint the exact estimate for covariation berween two random variables (r.v.), which are measurable relative the corresponding sigma-algebras through anyhow mixing coefficients. We associate a solution of this problem…
In this paper, we introduce a bivariate exponentaited generalized Weibull-Gompertz distribution. The model introduced here is of Marshall-Olkin type. Several properties are studied such as bivariate probability density function and it is…