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We show that it is possible to replace the actual implicit distribution function of the fractional exclusion statistics by an explicit one whose form does not change with the parameter $\alpha$. This alternative simpler distribution…
This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s.\@ continuous estimators of the likelihood function for a family of…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
Formulating mitigation strategies is one of the main aspect in the dynamical study of extreme events. Apart from the effective control, easy implementation of the devised tool should also be given importance. In this work, we analyze the…
In this article a two-sided variable coefficient fractional diffusion equation (FDE) is investigated, where the variable coefficient occurs outside of the fractional integral operator. Under a suitable transformation the variable…
Let $X_{1},X_{2},...$ be a sequence of independent random variables ($rv$) with common distribution function ($df$) $F$ such that $F(1)=0$. We consider the simple statistical problem : find a statistics family of size $m\geq 1$ whose…
We consider the problem of performing inference with imprecise continuous-time hidden Markov chains, that is, imprecise continuous-time Markov chains that are augmented with random output variables whose distribution depends on the hidden…
We prove that for an arbitrary upper semi-continuous function $\phi\colon G(1,2) \to [0,1]$ there exists a compact set $F$ in the plane such that $\dim_{\textrm{A}} \pi F = \phi(\pi)$ for all $\pi \in G(1,2)$, where $\pi F$ is the…
The direct Gaussian copula model with discrete marginal distributions is an appealing data-analytic tool but poses difficult computational challenges due to its intractable likelihood. A number of approximations/surrogates for the…
We study the resolvent for nontrapping obstacles on manifolds with Euclidean ends. It is well known that for such manifolds, the outgoing resolvent satisfies $\|\chi R(k) \chi\|_{L^2\to L^2}\leq C{k}^{-1}$ for ${k}>1$, but the constant $C$…
The convolution of a Gaussian and a Cauchy distribution, known as the Voigt distribution, is widely used in spectroscopy and provides a natural framework for modeling heavy-tailed measurement noise. We derive analytical expressions for its…
This is the second part of the series of papers on symmetry properties of a class of variable coefficient (1+1)-dimensional nonlinear diffusion-convection equations of general form $f(x)u_t=(g(x)A(u)u_x)_x+h(x)B(u)u_x$. At first, we review…
We present here two classes of infinite series and the associated continued fractions involving $\pi$ and Catalan's constant $G$ based on the work of Euler and Ramanujan. A few sundry continued fractions are also given.
Let $F:[0,T]\times\R^n\mapsto 2^{\R^n}$ be a continuous multifunction with compact, not necessarily convex values. In this paper, we prove that, if $F$ satisfies the following Lipschitz Selection Property: \begin{itemize} \item[{(LSP)}]…
We consider a Shannon cipher system for memoryless sources, in which distortion is allowed at the legitimate decoder. The source is compressed using a rate distortion code secured by a shared key, which satisfies a constraint on the…
In this paper we study the dimension spectrum of continued fractions with coefficients restricted to infinite subsets of natural numbers. We prove that if $E$ is any arithmetic progression, the set of primes, or the set of squares…
We explore a bijection between permutations and colored Motzkin paths that has been used in different forms by Foata and Zeilberger, Biane, and Corteel. By giving a visual representation of this bijection in terms of so-called cycle…
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod-$\phi$ convergence and mod-$\phi$ approximation schemes. The method can be understood as providing correction…
We solve the Random Euclidean Matching problem with exponent 2 for the Gaussian distribution defined on the plane. Previous works by Ledoux and Talagrand determined the leading behavior of the average cost up to a multiplicative constant.…
Let d and m be two natural numbers of distinct parities. Let $\pi$ be an admissible irreducible tempered representation of GL(d,F), where F is a p-adic field. We assume that $\pi$ is self-dual. Then we can extend $\pi$ as a representation…