Related papers: On Conditional Chisini Means and Risk Measures
A theory of measurement uncertainty is presented, which, since it is based exclusively on the Bayesian approach and on the subjective concept of conditional probability, is applicable in the most general cases. The recent International…
Expectiles were introduced by Newey and Powell (1987) in the context of linear regression models. Recently, Bellini et al. (2014) revealed that expectiles can also be seen as reasonable law-invariant risk measures. In this article, we show…
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…
Based on collection of bijections, variable and function are extended into ``isomorphic variable'' and ``dual-variable-isomorphic function'', then mean values such as arithmetic mean and mean of a function are extended to ``isomorphic…
In this article, we construct semiparametrically efficient estimators of linear functionals of a probability measure in the presence of side information using an easy empirical likelihood approach. We use estimated constraint functions and…
We introduce a new approach to modeling uncertainty based on plausibility measures. This approach is easily seen to generalize other approaches to modeling uncertainty, such as probability measures, belief functions, and possibility…
We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk factors are ambiguous and represented by nonadditive measures…
An equational axiomatisation of probability functions for one-dimensional event spaces in the language of signed meadows is expanded with conditional values. Conditional values constitute a so-called signed vector meadow. In the presence of…
Sufficient conditions for the invariance of evolution problems governed by perturbations of (possibly nonlinear) $m$-accretive operators are provided. The conditions for the invariance with respect to sublevel sets of a constraint…
We consider the notion of resilience for cyber-physical systems, that is, the ability of the system to withstand adverse events while maintaining acceptable functionality. We use finite temporal logic to express the requirements on the…
Ontological theories of quantum mechanics provide a realistic description of single systems by means of well-defined quantities conditioning the measurement outcomes. In order to be complete, they should also fulfil the minimal condition of…
Here we prove the convergence of the Ando-Li-Mathias and Bini-Meini-Poloni procedures for matrix means. Actually it is proved here that for a two-variable function which maps pairs of positive definite matrices to a positive definite matrix…
We address the problem of survival regression modelling with multivariate responses and nonlinear covariate effects. Our model extends the proportional hazards model by introducing several weakly-parametric elements: the marginal baseline…
We provide theoretical and empirical evidence for a type of asymmetry between causes and effects that is present when these are related via linear models contaminated with additive non-Gaussian noise. Assuming that the causes and the…
Log-linear models are a classical tool for the analysis of contingency tables. In particular, the subclass of graphical log-linear models provides a general framework for modelling conditional independences. However, with the exception of…
We develop a framework for the operationalization of models and parameters by combining de Finetti's representation theorem with a conditional form of Sanov's theorem. This synthesis, the tilted de Finetti theorem, shows that conditioning…
The existence of radial solutions of a nonlinear Dirichlet problem in a ball is translated to the language of Mechanics, i.e. to requirements on the time of motion of a particle in an external potential and under the action of a viscosity…
This paper is motivated by an astonishing result of H. Alzer and S. Ruscheweyh published in 2001 in the Proc. Amer. Math. Soc., which states that the intersection of the classes two-variable Gini means and Stolarsky means is equal to the…
Point processes and, more generally, random measures are ubiquitous in modern statistics. However, they can only take positive values, which is a severe limitation in many situations. In this work, we introduce and study random signed…
A new definition of conditional invariance for boundary value problems involving a wide range of boundary conditions (including initial value problems as a special case) is proposed. It is shown that other definitions worked out in order to…