Related papers: Continuous indetermination and average likelihood …
In a recent paper, Aldous, Blanc and Curien asked which distributions can be expressed as the distance between two independent random variables on some separable measured metric space. We show that every nonnegative discrete distribution…
In Science, Reshef et al. (2011) proposed the concept of equitability for measures of dependence between two random variables. To this end, they proposed a novel measure, the maximal information coefficient (MIC). Recently a PNAS paper…
We study the problem of maximizing the probability that (i) an electric component or financial institution $X$ does not default before another component or institution $Y$ and (ii) that $X$ and $Y$ default jointly within the class of all…
In copula modeling, the simplifying assumption has recently been the object of much interest. Although it is very useful to reduce the computational burden, it remains far from obvious whether it is actually satisfied in practice. We…
In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be…
Improving Importance Sampling estimators for rare event probabilities requires sharp approx- imations of the optimal density leading to a nearly zero-variance estimator. This paper presents a new way to handle the estimation of the…
Understanding and predicting how complex systems respond to external perturbations is a central challenge in nonequilibrium statistical physics. Here we consider continuous-time Markov networks, which we subject to perturbations along a…
Randomness in scientific estimation is generally assumed to arise from unmeasured or uncontrolled factors. However, when combining subjective probability estimates, heterogeneity stemming from people's cognitive or information diversity is…
Though the ability of human beings to deal with probabilities has been put into question, the assessment of rarity is a crucial competence underlying much of human decision-making and is pervasive in spontaneous narrative behaviour. This…
The notion of probability density for a random function is not as straightforward as in finite-dimensional cases. While a probability density function generally does not exist for functional data, we show that it is possible to develop the…
The correct use and interpretation of models depends on several steps, two of which being the calibration by parameter estimation and the analysis of uncertainty. In the biological literature, these steps are seldom discussed together, but…
We present new results for consistency of maximum likelihood estimators with a focus on multivariate mixed models. Our theory builds on the idea of using subsets of the full data to establish consistency of estimators based on the full…
We consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering a decomposition of the space in terms of the supports of the measures representing our…
Copulas are known to satisfy a number of regularity properties, and one might therefore believe that their densities, when they exist, admit a certain degree of regularity themselves. We show that this is not true in general by constructing…
In this article we study the problem of quantifying the uncertainty in an experiment with a technical system. We propose new density estimates which combine observed data of the technical system and simulated data from an (imperfect)…
We consider the problem of estimating assortment probabilities, which is common in operations management applications, including product bundling, advertising, etc. Existing approaches typically model each assortment as a category and apply…
This paper studies when a sequence of probability measures on a metric space admit subsequential weak limits. A sufficient condition called sequential tightness is formulated, which relaxes some assumptions for asymptotic tightness used in…
This paper introduces a method for predicting the likely behaviors of continuous nonlinear systems in equilibrium in which the input values can vary. The method uses a parameterized equation model and a lower bound on the input joint…
Collapsibility deals with the conditions under which a conditional (on a covariate W) measure of association between two random variables X and Y equals the marginal measure of association, under the assumption of homogeneity over the…
We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibration in the univariate setting. It can be assessed empirically…