Related papers: Parametric measures of variability induced by risk…

We focus on various measures of the fluctuations of the sequence of intervals between beats of the human heart, and how such fluctuations can be used to assess the presence or likelihood of cardiovascular disease. We examine sixteen such…

In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…

Missingness and measurement frequency are two sides of the same coin. How frequent should we measure clinical variables and conduct laboratory tests? It depends on many factors such as the stability of patient conditions, diagnostic…

In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…

Testing the independence between random vectors is a fundamental problem in statistics. Distance correlation, a recently popular dependence measure, is universally consistent for testing independence against all distributions with finite…

Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…

We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…

Unsolved controversies about uncertainty relations and quantum measurements still persists nowadays. They originate around the shortcomings regarding the conventional interpretation of uncertainty relations. Here we show that the respective…

We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…

Ordered response scales are ubiquitous in economics, but their interpretation rests on an untested assumption: that numerical labels reflect equal psychological intervals. The contribution of this paper is to provide a systematic assessment…

Spurious association arises from covariance between propensity for the treatment and individual risk for the outcome. For sensitivity analysis with stochastic counterfactuals we introduce a methodology to characterize uncertainty in causal…

Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is needed. In this paper, a model is suggested built on a…

We consider the setting of an aggregate data meta-analysis of a continuous outcome of interest. When the distribution of the outcome is skewed, it is often the case that some primary studies report the sample mean and standard deviation of…

We propose a measure of divergence of probability distributions for quantifying the dissimilarity of two chaotic attractors. This measure is defined in terms of a generalized entropy. We illustrate our procedure by considering the effect of…

Following the theory of information measures based on the cumulative distribution function, we propose the fractional generalized cumulative entropy, and its dynamic version. These entropies are particularly suitable to deal with…

In various disordered systems or non-equilibrium dynamical models, the large deviations of some observables have been found to display different scalings for rare values bigger or smaller than the typical value. In the present paper, we…

The outcomes of a series of measurements, made on a quantum system, form a sequence of random events which occur in a particular order. The system, together with a meter or meters, can be seen as following the paths of a stochastic network…

This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk…

We present a sample path dependent measure of causal influence between two time series. The proposed measure is a random variable whose expected sum is the directed information. A realization of the proposed measure may be used to identify…

Linear mixed-effects models are widely used in analyzing repeated measures data, including clustered and longitudinal data, where inferences of both fixed effects and variance components are of importance. Unlike the fixed effect inference…