Related papers: Gaussian Cumulative Prospect Theory
We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of investors. Our efficient market…
Probabilistic generative models of graphs are important tools that enable representation and sampling. Many recent works have created probabilistic models of graphs that are capable of representing not only entity interactions but also…
Gaussian Mixture Models (GMM) do not adapt well to curved and strongly nonlinear data. However, we can use Gaussians in the curvilinear coordinate systems to solve this problem. Moreover, such a solution allows for the adaptation of…
Due to its heavy-tailed and fully parametric form, the multivariate generalized Gaussian distribution (MGGD) has been receiving much attention for modeling extreme events in signal and image processing applications. Considering the…
Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the equilibrium properties of the model with constant global…
We develop a synthesis of Turing's paradigm of computation and von Neumann's quantum logic to serve as a model for quantum computation with recursion, such that potentially non-terminating computation can take place, as in a quantum Turing…
In this work, we define a family of probability densities involving the generalized trigonometric functions defined by Dr\'abek and Man\'asevich [1], which we name Generalized Trigonometric Densities. We show their relationship with the…
We introduce the framework of general probabilistic theories (GPTs for short). GPTs are a class of operational theories that generalize both finite-dimensional classical and quantum theory, but they also include other, more exotic theories,…
(shortened) We develop and test a method to compute mass and auto-correlation functions of rich clusters of galaxies from linear density fluctuations, based on the formalism of Gaussian peaks (Bardeen et al 1986). The essential, new…
Supervised graph prediction addresses regression problems where the outputs are structured graphs. Although several approaches exist for graph-valued prediction, principled uncertainty quantification remains limited. We propose a conformal…
The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional…
Many of the data, particularly in medicine and disease mapping are count. Indeed, the under or overdispersion problem in count data distrusts the performance of the classical Poisson model. For taking into account this problem, in this…
This paper presents a novel systematic methodology to obtain new simple and tight approximations, lower bounds, and upper bounds for the Gaussian Q-function, and functions thereof, in the form of a weighted sum of exponential functions.…
Characteristic functions of weighted sums of independent random variables exhibit low-rank structure in the quantized tensor train (QTT) representation, also known as matrix product states (MPS), enabling up to exponential compression of…
This paper proposes a penalized composite likelihood method for model selection in colored graphical Gaussian models. The method provides a sparse and symmetry-constrained estimator of the precision matrix, and thus conducts model selection…
In the context of mod-Gaussian convergence, as defined previously in our work with J. Jacod, we obtain lower bounds for local probabilities for a sequence of random vectors which are approximately Gaussian with increasing covariance. This…
This work presents a non-parametric estimator for the cumulative distribution function (CDF) of the job-size distribution for a queue with compound Poisson input. The workload process is observed according to an independent Poisson sampling…
This paper presents a novel nonmyopic adaptive Gaussian process planning (GPP) framework endowed with a general class of Lipschitz continuous reward functions that can unify some active learning/sensing and Bayesian optimization criteria…
Users can now give back energies to the grid using distributed resources. Proper incentive mechanisms are required for such users, also known as prosumers, in order to maximize the sell-back amount while maintaining the retailer's profit.…
In commuting parametric quantum circuits, the Fourier series of the pairwise fidelity can be expressed as the characteristic function of random variables. Furthermore, expressiveness can be cast as the recurrence probability of a random…