Related papers: Generalized Fractional Risk Process
Conformal prediction (CP) was developed to provide finite-sample probabilistic prediction guarantees. While CP algorithms are a relatively general-purpose approach to uncertainty quantification, with finite-sample guarantees, they lack…
A multifractal random walk (MRW) is defined by a Brownian motion subordinated by a class of continuous multifractal random measures $M[0,t], 0\le t\le1$. In this paper we obtain an extension of this process, referred to as multifractal…
The composition of multiple Gaussian Processes as a Deep Gaussian Process (DGP) enables a deep probabilistic nonparametric approach to flexibly tackle complex machine learning problems with sound quantification of uncertainty. Existing…
In this article, we introduce a new general definition of fractional derivative and fractional integral, which depends on an unknown kernel. By using these definitions, we obtain the basic properties of fractional integral and fractional…
In this paper, we propose \texttt{FGPR}: a Federated Gaussian process ($\mathcal{GP}$) regression framework that uses an averaging strategy for model aggregation and stochastic gradient descent for local client computations. Notably, the…
In this paper, we introduce and study fractional versions of three compound Poisson processes, namely, the Bell-Touchard process, the Poisson-logarithmic process and the generalized P\'olya-Aeppli process. It is shown that these processes…
Gaussian process (GP) regression is a powerful probabilistic modeling technique with built-in uncertainty quantification. When one has access to multiple correlated simulations (tasks), it is common to fit a multitask GP (MTGP) surrogate…
Fractional cumulative residual inaccuracy (FCRI) measure allows to determine regions of discrepancy between systems, depending on their respective fractional and chaotic map parameters. Most of the theoretical results and applications…
The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail…
We introduce a stochastic process with Wishart marginals: the generalised Wishart process (GWP). It is a collection of positive semi-definite random matrices indexed by any arbitrary dependent variable. We use it to model dynamic (e.g. time…
A new family of fractional counting processes based on a three-parameter generalized Mittag-Leffler function was introduced and studied. As applications we develop a fractional generalized compound process, introduce and develop fractional…
In this work, we consider extensions of the dual risk model with proportional gains by introducing a dependence structure between gain sizes and gain interrarrival times. Among others, we further consider the case where the proportional…
We consider in this paper a risk reserve process where the claims and gains arrive according to two independent Poisson processes. While the gain sizes are phase-type distributed, we assume instead that the claim sizes are phase-type…
Research on Poisson regression analysis for dependent data has been developed rapidly in the last decade. One of difficult problems in a multivariate case is how to construct a cross-correlation structure and at the meantime make sure that…
In many sequential decision-making problems one is interested in minimizing an expected cumulative cost while taking into account \emph{risk}, i.e., increased awareness of events of small probability and high consequences. Accordingly, the…
Probabilistic behavior is omnipresent in computer controlled systems, in particular, so-called safety-critical hybrid systems, because of various reasons, like uncertain environments, or fundamental properties of nature. In this paper, we…
The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk management and in many branches of applied probability. In this paper, we obtain analytic expressions for the probability density function (pdf)…
Regression test case prioritization (RTCP) aims to improve the rate of fault detection by executing more important test cases as early as possible. Various RTCP techniques have been proposed based on different coverage criteria. Among them,…
Conformal Prediction (CP) has recently received a tremendous amount of interest, leading to a wide range of new theoretical and methodological results for predictive inference with formal theoretical guarantees. However, the vast majority…
Probabilistic forecasts in the form of probability distributions over future events have become popular in several fields of statistical science. The dissimilarity between a probability forecast and an outcome is measured by a loss function…