Related papers: Mixed Poisson families with real-valued mixing dis…
Overdispersed count data are modelled with likelihood and non-likelihood approaches. Likelihood approaches include the Poisson mixtures with three distributions, the gamma, the lognormal, and the inverse Gaussian distributions.…
Linear systems with many degrees of freedom containing multiplicative and additive noise are considered. The steady state probability distribution for equations of this kind is examined. With multiplicative white noise it is shown that…
This paper proposes a new generalized linear model with the fractional binomial distribution. Zero-inflated Poisson/negative binomial distributions are used for count data with many zeros. To analyze the association of such a count variable…
A random variable $\xi$ has a {\it light-tailed} distribution (for short: is light-tailed) if it possesses a finite exponential moment, $\E \exp (\lambda \xi) <\infty$ for some $\lambda >0$, and has a {\it heavy-tailed} distribution (is…
The issue of combining individual $p$-values to aggregate multiple small effects is prevalent in many scientific investigations and is a long-standing statistical topic. Many classical methods are designed for combining independent and…
We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence of moments of only low order. While estimation of covariance…
We introduce a new class of Poisson-exponential-Tweedie (PET) mixture in the framework of generalized linear models for ultra-overdispersed count data. The mean-variance relationship is of the form $m+m^{2}+\phi m^{p}$, where $\phi$ and $p$…
A modification of the Skellam and Poisson distributions is proposed for subsystems when the constraints imposed by the charge conservation law in the complete system are taken into account. Such distributions can be applied, for example,…
This paper proposes a robust Bayesian accelerated failure time model for censored survival data. We develop a new family of life-time distributions using a scale mixture of the generalized gamma distributions, where we propose a novel super…
We study large Wigner random matrices in the case when the marginal distributions of matrix entries have heavy tails. We prove that the largest eigenvalues of such matrices have Poisson statistics.
We propose a mean functional which exists for any probability distributions, and which characterizes the Pareto distribution within the set of distributions with finite left endpoint. This is in sharp contrast to the mean excess plot which…
Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy-tailed multivariate distributions of the relevant…
Within the framework of probability models for overdispersed count data, we propose the generalized fractional Poisson distribution (gfPd), which is a natural generalization of the fractional Poisson distribution (fPd), and the standard…
By deriving a general expression for multiplicity distribution (a conditional probability distribution) in statistical model, we demonstrate the mismatches between experimental measurements and previous theoretical calculations on…
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…
Assuming an exponential power distribution is one way to deal with outliers in regression and clustering, which can increase the robustness of the analysis. Gaussian distribution is a special case of an exponential distribution. And an…
A random variable $\xi$ has a {\it light-tailed} distribution (for short: is light-tailed) if it possesses a finite exponential moment, $\E \exp (\lambda \xi) <\infty$ for some $\lambda >0$, and has a {\it heavy-tailed} distribution (is…
We suggest a new hardcore Poisson-type distribution for Young diagrams with the row lengths from some finite list. A discrete variant of the time-ordered Mat\'{e}rn II process in 1D is employed. This approach is related to that based on the…
The family of location and scale mixtures of Gaussians has the ability to generate a number of flexible distributional forms. It nests as particular cases several important asymmetric distributions like the Generalised Hyperbolic…
To achieve a greater general flexibility for modeling heavy-tailed bounded responses, a beta scale mixture model is proposed. Each member of the family is obtained by multiplying the scale parameter of the conditional beta distribution by a…