Related papers: Maximum of Exponential Random Variables, Hurwitz's…
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach…
We investigate conditions for the existence of the limiting conditional distribution of a bivariate random vector when one component becomes large. We revisit the existing literature on the topic, and present some new sufficient conditions.…
We revisit the problem of finding the probability distribution of a fermionic number of one-dimensional spinless free fermions on a segment of a given length. The generating function for this probability distribution can be expressed as a…
The main aim of this article is to characterize and investigate the three parameter exponentiated exponential Poisson probability distribution ${\rm EEP}(\alpha, \beta, \lambda)$ by giving explicit closed form expressions for its…
(Neal and Hinton, 1998) recast maximum likelihood estimation of any given latent variable model as the minimization of a free energy functional $F$, and the EM algorithm as coordinate descent applied to $F$. Here, we explore alternative…
Similarly to the derivation of the Gibbs-Boltzmann distribution for structureless indistinguishable particles, we consider multi-particle systems some of which are contained (or delimited) inside others (Problem 1), as well as systems of…
We describe a method to computationally estimate the probability density function of a univariate random variable by applying the maximum entropy principle with some local conditions given by Gaussian functions. The estimation errors and…
We investigate the relationship between the maximum of the zeta function on the 1-line and the maximal order of $S(t)$, the error term in the number of zeros up to height $t$. We show that the conjectured upper bounds on $S(t)$ along with…
We examine published arguments which suggest that the Riemann Hypothesis may not be true. In each case we provide evidence to explain why the claimed argument does not provide a good reason to doubt the Riemann Hypothesis. The evidence we…
Many inference problems involving questions of optimality ask for the maximum or the minimum of a finite set of unknown quantities. This technical report derives the first two posterior moments of the maximum of two correlated Gaussian…
We study the total mass of high points in a random model for the Riemann-Zeta function. We consider the same model as in [8], [2], and build on the convergence to 'Gaussian' multiplicative chaos proved in [14]. We show that the total mass…
This paper is devoted to the prediction problem in extreme value theory. Our main result is an explicit expression of the regular conditional distribution of a max-stable (or max-infinitely divisible) process $\{\eta(t)\}_{t\in T}$ given…
In this paper, we prove a version of the universality theorem for the Hurwitz zeta-function in the case where the parameter is algebraic and irrational. Then we apply the result to show that many of such Hurwitz zeta-functions have…
We present two theorems concerned with algorithmic randomness and differentiability of functions of several variables. Firstly, we prove an effective form of the Rademacher's Theorem: we show that computable randomness implies…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
A systematic study of the probability distribution of superimposed random codes is presented through the use of generating functions. Special attention is paid to the cases of either uniformly distributed but not necessarily independent or…
We consider the problem of estimating the missing mass, partition function or evidence and its probability distribution in the case that for each sample point in the discrete sample space its (unnormalized) probability mass is revealed.…
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…
A recursive method is derived to calculate all eigenvalue correlation functions of a random hermitian matrix in the large size limit, and after smoothing of the short scale oscillations. The property that the two-point function is…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…