Related papers: Uniform asymptotics for a multidimensional renewal…
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…
We develop a procedure that transforms any asymptotically normal estimator into an asymptotically normal estimator whose distribution is robust to arbitrary data contamination. More generally, our procedure transforms any estimator whose…
A significant obstacle in the development of robust machine learning models is covariate shift, a form of distribution shift that occurs when the input distributions of the training and test sets differ while the conditional label…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
The density weighted average derivative (DWAD) of a regression function is a canonical parameter of interest in economics. Classical first-order large sample distribution theory for kernel-based DWAD estimators relies on tuning parameter…
In dealing with asymptotic approximation of possibly divergent nets of probability distributions, we are led to study uniform structures on the set of distributions. This paper identifies a class of such uniform structures that may be…
This paper studies distributed resilient consensus problem for a class of uncertain nonlinear multiagent systems susceptible to deception attacks. The attacks invade both sensor and actuator channels of each agent. A specific class of…
The continuous extension of a discrete random variable is amongst the computational methods used for estimation of multivariate normal copula-based models with discrete margins. Its advantage is that the likelihood can be derived…
We establish explicit exponential convergence estimates for the renewal theorem, in terms of a uniform component of the inter arrival distribution, of its Laplace transform which is assumed finite on a positive interval, and of the Laplace…
We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance…
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium risk under dependence, inflation, and discounting. The proposed…
A random phenomenon may have two sources of random variation: an unstable identity and a set of external variation-generating factors. When only a single source is active, two mutually exclusive extreme scenarios may ensue that result in…
Interval-censored competing risks data arise when each study subject may experience an event or failure from one of several causes and the failure time is not observed exactly but rather known to lie in an interval between two successive…
The purpose of this article is to present a general method to find limiting laws for some renormalized statistics on random permutations. The model considered here is Ewens sampling model, which generalizes uniform random permutations. We…
For a set of dependent random variables, without stationary or the strong mixing assumptions, we derive the asymptotic independence between their sums and maxima. Then we apply this result to high-dimensional testing problems, where we…
The semiparametric accelerated failure time model is not as widely used as the Cox relative risk model mainly due to computational difficulties. Recent developments in least squares estimation and induced smoothing estimating equations…
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…
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…
We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same light-tailed subexponential distribution. The examples of a Poisson and geometric number of summands serve as an…
Truncated multivariate distributions arise extensively in econometric modelling when non-negative random variables are intrinsic to the data-generation process. More broadly, truncated multivariate distributions have appeared in censored…