Related papers: Acceptable Bilateral Gamma Parameters
Cross-chain swaps enable exchange of different assets that reside on different blockchains. Several protocols have been proposed for atomic cross-chain swaps. However, those protocols are not fault-tolerant, in the sense that if any party…
Reachability analysis evaluates system safety, by identifying the set of states a system may evolve within over a finite time horizon. In contrast to model-based reachability analysis, data-driven reachability analysis estimates reachable…
The goal of this paper is to solve the global sensitivity analysis for a particular control problem. More precisely, the boundary control problem of an open-water channel is considered, where the boundary conditions are defined by the…
In extreme values theory, for a sufficiently large block size, the maxima distribution is approximated by the generalized extreme value (GEV) distribution. The GEV distribution is a family of continuous probability distributions, which has…
The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…
Abstract In Extreme Value methodology the choice of threshold plays an important role in efficient modelling of observations exceeding the threshold. The threshold must be chosen high enough to ensure an unbiased extreme value index but…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
In this paper we propose a bimodal gamma distribution using a quadratic transformation based on the alpha-skew-normal model. We discuss several properties of this distribution such as mean, variance, moments, hazard rate and entropy…
New positivity bounds are derived for generalized (off-forward) parton distributions using the impact parameter representation. These inequalities are stable under the evolution to higher normalization points. The full set of inequalities…
A fundamental question in systems biology is what combinations of mean and variance of the species present in a stochastic biochemical reaction network are attainable by perturbing the system with an external signal. To address this…
This paper develops an interpretive framework for divergence P-values and S-values within a descriptive frequentist perspective. Statistical analysis is framed as operating within idealized worlds defined by a set of assumptions and a…
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal…
Positive predictive value and negative predictive value are two widely used parameters to assess the clinical usefulness of a medical diagnostic test. When there are two diagnostic tests, it is recommendable to make a comparative assessment…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
We construct and analyze an estimator of association between random variables based on their similarity in both direction and magnitude. Under special conditions, the proposed measure becomes a robust and consistent estimator of the linear…
Uncertainties influencing the dynamical systems pose a significant challenge in estimating the achievable performance of a controller aiming to control such uncertain systems. When the uncertainties are of stochastic nature, obtaining hard…
The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…
We introduce a new model for sums of exchangeable binary random variables. The proposed distribution is an approximation to the exact distributional form, and relies on the theory of completely monotone functions and the Laplace transform…
The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class of Markov chain Monte Carlo methods, to construct flexible…