Related papers: Doubly truncated moment risk measures for elliptic…
Cascading failure causes a major risk to society currently. To effectively mitigate the risk, dynamic thermal rating (DTR) technique can be applied as a cost-effective strategy to exploit potential transmission capability. From the…
Invariant ensembles of random matrices are characterized by the distribution of their eigenvalues $\{\lambda_1,\cdots,\lambda_N\}$. We study the distribution of truncated linear statistics of the form $\tilde{L}=\sum_{i=1}^p f(\lambda_i)$…
The transverse-momentum-dependent distributions (TMDs), which are defined by gauge-invariant 3D parton correlators with staple-shaped lightlike Wilson lines, can be calculated from quark and gluon correlators fixed in the Coulomb gauge on a…
We propose a new approach for estimating the parameters of a probability distribution. It consists on combining two new methods of estimation. The first is based on the definition of a new distance measuring the difference between…
We review our previous studies of truncated Mellin moments of parton distributions. We show in detail the derivation of the evolution equation for double truncated moments. The obtained splitting function has the same rescaled form as in a…
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed…
In this paper, we study the Black-Litterman (BL) asset allocation model (Black and Litterman, 1990) under the hidden truncation skew-normal distribution (Arnold and Beaver, 2000). In particular, when returns are assumed to follow this skew…
The distribution of seismic moment is of capital interest to evaluate earthquake hazard, in particular regarding the most extreme events. We make use of likelihood-ratio tests to compare the simple Gutenberg-Richter power-law distribution…
This article presents a new class of generalized transmuted lifetime distributions which includes a large number of lifetime distributions as sub-family. Several important mathematical quantities such as density function, distribution…
We provide a first study of Mellin moments of double parton distributions (DPDs) in the nucleon on the lattice, where we consider several combinations of quark flavors and polarizations. These are accessible through two-current…
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible risk measure in constructing risk optimal…
Double deeply virtual Compton scattering (DDVCS) is the process where an electron scatters off a nucleon and produces a lepton pair. The main advantage of this process in contrast with deeply virtual and timelike Compton scatterings (DVCS…
The distribution of treatment effects (DTE) is often of interest in the context of welfare policy evaluation. In this paper, I consider partial identification of the DTE under known marginal distributions and support restrictions on the…
The traffic matrix estimation (TME) problem has been widely researched for decades of years. Recent progresses in deep generative models offer new opportunities to tackle TME problems in a more advanced way. In this paper, we leverage the…
A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however,…
We study a formulation of lattice gravity defined via Euclidean dynamical triangulations (EDT). After fine-tuning a non-trivial local measure term we find evidence that four-dimensional, semi-classical geometries are recovered at long…
We study the arrival time distribution of overdamped particles driven by a constant force in a piecewise linear random potential which generates the dichotomous random force. Our approach is based on the path integral representation of the…
In this paper, we propose a new probability distribution function which accurately describes turbulence-induced fading under a wide range of turbulence conditions. The proposed model, termed Double Generalized Gamma (Double GG), is based on…
The technique of truncated moments of parton distributions allows us to study scaling violations without making any assumption on the shape of parton distributions. The numerical implementation of the method is however difficult, since the…
In this paper, we generalize the parametric delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both the expected shortfall and the Value-at-Risk of such…