Related papers: Conditional Relative Risk: An association measure …
This paper presents a novel numerical method for the hybrid reliability analysis by using the uncertainty theory. Aleatory uncertainty and epistemic uncertainty are considered simultaneously in this method. Epistemic uncertainty is…
We propose a generalization of the classical notion of the $V@R_{\lambda}$ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a…
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their relation to each other leads to the question when a certain…
Following discussions in 2010 and 2011, scientometric evaluators have increasingly abandoned relative indicators in favor of comparing observed with expected citation ratios. The latter method provides parameters with error values allowing…
This paper addresses the issues of conservativeness and computational complexity of probabilistic robustness analysis. We solve both issues by defining a new sampling strategy and robustness measure. The new measure is shown to be much less…
We carry out ANOVA comparisons of multiple treatments for longitudinal studies with missing values. The treatment effects are modeled semiparametrically via a partially linear regression which is flexible in quantifying the time effects of…
To provide a solid analytic foundation for the module approach to conditional risk measures, this paper establishes a complete random convex analysis over random locally convex modules by simultaneously considering the two kinds of…
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
We intend to create a new risk assessment methodology that combines the best characteristics of both risk score and machine learning models. More specifically, we aim to develop a method that, besides having a good performance, offers a…
We present a new method based on Functional Data Analysis (FDA) for detecting associations between one or more scalar covariates and a longitudinal response, while correcting for other variables. Our methods exploit the temporal structure…
Reliability is an essential measure of how closely observed scores represent latent scores (reflecting constructs), assuming some latent variable measurement model. We present a general theoretical framework of reliability, placing emphasis…
We study a natural variant of the implicational fragment of propositional logic. Its formulas are pairs of conjunctions of positive literals, related together by an implicational-like connective; the semantics of this sort of implication is…
In this work we deal with correlated failure time (age at onset) data arising from population-based case-control studies, where case and control probands are selected by population-based sampling and an array of risk factor measures is…
In this paper we propose a new template for empirical studies intended to assess causal effects: the outcome-wide longitudinal design. The approach is an extension of what is often done to assess the causal effects of a treatment or…
Following the theory of information measures based on the cumulative distribution function, we propose the fractional generalized cumulative entropy, and its dynamic version. These entropies are particularly suitable to deal with…
In this work we present a simple estimation procedure for a general frailty model for analysis of prospective correlated failure times. Earlier work showed this method to perform well in a simulation study. Here we provide rigorous…
For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and the aggregated risk in the market. Risk is measured by…
Distance covariance is a popular measure of dependence between random variables. It has some robustness properties, but not all. We prove that the influence function of the usual distance covariance is bounded, but that its breakdown value…
Survivorship analysis allows to statistically analyze situations that can be modeled as waiting times to an event. These waiting times are characterized by the cumulative hazard rate, which can be estimated by the Nelson-Aalen estimator or…