Related papers: Doubly truncated moment risk measures for elliptic…
The present contribution introduces a fourth-order moment formalism for particle trajectory crossing (PTC) in the framework of multiscale modeling of disperse multiphase flow. In our previous work, the ability to treat PTC was examined with…
We present a novel distribution-free approach, the data-driven threshold machine (DTM), for a fundamental problem at the core of many learning tasks: choose a threshold for a given pre-specified level that bounds the tail probability of the…
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…
A definition for elliptical tempered stable distribution, based on the characteristic function, have been explained which involve a unique spectral measure. This definition provides a framework for creating a connection between infinite…
This paper proposes a Sieve Simulated Method of Moments (Sieve-SMM) estimator for the parameters and the distribution of the shocks in nonlinear dynamic models where the likelihood and the moments are not tractable. An important concern…
We propose a new framework for efficiently sampling from complex probability distributions using a combination of normalizing flows and elliptical slice sampling (Murray et al., 2010). The central idea is to learn a diffeomorphism, through…
The literature often employs moment-based earnings risk measures like variance, skewness, and kurtosis. However, under heavy-tailed distributions, these moments may not exist in the population. Our empirical analysis reveals that population…
The Gibbs ensemble of the truncated KdV (TKdV) equation has been shown to accurately describe the anomalous wave statistics observed in laboratory experiments, in particular the emergence of extreme events. Here, we introduce a novel…
We introduce a new second order stochastic algorithm to estimate the entropically regularized optimal transport cost between two probability measures. The source measure can be arbitrary chosen, either absolutely continuous or discrete,…
The two-time distribution gives the limiting joint distribution of the heights at two different times of a local 1D random growth model in the curved geometry. This distribution has been computed in a specific model but is expected to be…
This work provides test error bounds for iterative fixed point methods on linear predictors -- specifically, stochastic and batch mirror descent (MD), and stochastic temporal difference learning (TD) -- with two core contributions: (a) a…
We introduce a new broad and exible class of multivariate elliptically symmetric distributions in- cluding the elliptically symmetric logistic and multivariate normal. Various probabilistic properties of the new distribution are studied,…
In this letter, we analyse and interpret the kinematic power corrections to deeply virtual Compton scattering dispersion relation. We show that the kinematic corrections at twist-4 can be connected to other form factors of the…
In this paper we propose a wide class of truncated stochastic approximation procedures with moving random bounds. While we believe that the proposed class of procedures will find its way to a wider range of applications, the main motivation…
This paper presents a new paradigm to stabilize uncertain stochastic linear systems. Herein, second moment polytopic (SMP) systems are proposed that generalize systems with both uncertainty and randomness. The SMP systems are characterized…
We present general results on the univariate tail conditional expectation (TCE) and multivariate tail conditional expectation for location-scale mixture of elliptical distributions. Examples include the location-scale mixture of normal…
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
We obtain a new multiplicative decomposition of the resolvent matrix of the truncated Hausdorff matrix moment (THMM) problem in the case of an odd and even number of moments via new Dyukarev-Stieltjes matrix (DSM) parameters. Explicit…
This paper explores option portfolio optimization when the underlying returns are skew-elliptical t-distributed. We use the variance and value at risk (VaR) to measure portfolio risk. The novelty of our work is the departure from the…
Value functions arise as a component of algorithms as well as performance metrics in statistics and engineering applications. Computation of the associated Bellman equations is numerically challenging in all but a few special cases. A…