Related papers: Computing expectiles via fixed point iterations

We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of convex analysis, and integral representations of continuous…

The concept of efficiency plays a prominent role in the formal solution of decision problems that involve incomparable alternatives. This paper develops necessary and sufficient conditions for the efficient points in a sum of sets of…

We present a framework that relates preconditioning with a posteriori error estimates in finite element methods. In particular, we use standard tools in subspace correction methods to obtain reliable and efficient error estimators. As a…

We consider the on-line predictive version of the standard problem of linear regression; the goal is to predict each consecutive response given the corresponding explanatory variables and all the previous observations. We are mainly…

Recently, sub-indices and sub-factors of groups with connections to number theory, additive combinatorics, and factorization of groups have been introduced and studied. Since all group subsets are considered in the theory and there are many…

Given a model in algebraic statistics and some data, the likelihood function is a rational function on a projective variety. Algebraic algorithms are presented for computing all critical points of this function, with the aim of identifying…

In the first part of planned series of papers the formal general solutions to selection of 80 examples of different types of second order nonlinear PDEs in two independent variables with constant parameters are given. The main goal here is…

The question of defining unique, generally applicable constrained second, and higher-order, derivatives is investigated. It is shown that second-order constrained derivatives obtained via two successive constrained differentiations provide…

In this paper, we introduce a large class of (so-called) conditional indicators, on a complete probability space with respect to a sub $\sigma$-algebra. A conditional indicator is a positive mapping, which is not necessary linear, but may…

In this paper, we derive a representation for the value process associated to the solutions of FBSDEs in a jump-diffusion setting under multiple probability measures. Motivated by concrete financial problems, the latter representations are…

The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.

Forecast evaluations aim to choose an accurate forecast for making decisions by using loss functions. However, different loss functions often generate different ranking results for forecasts, which complicates the task of comparisons. In…

Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…

Inverse classification, the process of making meaningful perturbations to a test point such that it is more likely to have a desired classification, has previously been addressed using data from a single static point in time. Such an…

This paper introduces a martingale that characterizes two properties of evolving forecast distributions. Ideal forecasts of a future event behave as martingales, sequen- tially updating the forecast to leverage the available information as…

We propose a new estimator for the high-dimensional linear regression model with observation error in the design where the number of coefficients is potentially larger than the sample size. The main novelty of our procedure is that the…

The difference between a model forecast and actual observations is called forecast bias. This bias is due to either incomplete model assumptions and/or poorly known parameter values and initial/boundary conditions. In this paper we discuss…

Regression plays a key role in many research areas and its variable selection is a classic and major problem. This study emphasizes cost of predictors to be purchased for future use, when we select a subset of them. Its economic aspect is…

A general sufficient condition for the convergence of subsequences of solutions of non-autonomous, nonlinear difference equations and systems is obtained. For higher order equations the delay sizes and patterns play essential roles in…