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In many areas of engineering and sciences, decision rules and control strategies are usually designed based on nominal values of relevant system parameters. To ensure that a control strategy or decision rule will work properly when the…

In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…

Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…

In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent…

In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…

This paper clarifies a fundamental difference between causal inference and traditional statistical inference by formalizing a mathematical distinction between their respective parameters. We connect two major approaches to causal inference,…

Sequential measurements of non-commuting observables produce order effects that are well-known in quantum physics. But their conceptual basis, a significant measurement interaction, is relevant for far more general situations. We argue that…

On the basis of an analysis of previous research, we present a generalized approach for measuring the difference of plans with an exemplary application to machine scheduling. Our work is motivated by the need for such measures, which are…

We consider covariance asymptotics for linear statistics of general stationary random measures in terms of their truncated pair correlation measure. We give exact infinite series-expansion formulas for covariance of smooth statistics of…

In theoretical studies, the most commonly used measure of ecological stability is resilience: ecosystems asymptotic rate of return to equilibrium after a pulse-perturbation $-$or shock. A complementary notion of growing popularity is…

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…

Comparative binary outcome data are of fundamental interest in statistics and are often pooled in meta-analyses. Here we examine the simplest case where for each study there are two patient groups and a binary event of interest, giving rise…

This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is infeasible, and thus, our tests are…

A causal set is a partially ordered set on a countably infinite ground-set such that each element is above finitely many others. A natural extension of a causal set is an enumeration of its elements which respects the order. We bring…

We present a sample path dependent measure of causal influence between time series. The proposed causal measure is a random sequence, a realization of which enables identification of specific patterns that give rise to high levels of causal…

Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…

We study spectral parametric correlations in quantum chaotic systems and introduce the number covariance as a measure of such correlations. We derive analytic results for the classical random matrix ensembles using the binary correlation…

A popular view in contemporary Boltzmannian statistical mechanics is to interpret the measures as typicality measures. In measure-theoretic dynamical systems theory measures can similarly be interpreted as typicality measures. However, a…

Due to the absence of an external, classical time variable, the probabilistic predictions of covariant quantum theory are ambiguous when multiple measurements are considered. Here, we introduce an information theoretic framework to the…

In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…