Related papers: Quantile characterization of univariate unimodalit…
The problem of characterizing a multivariate distribution of a random vector using examination of univariate combinations of vector components is an essential issue of multivariate analysis. The likelihood principle plays a prominent role…
We present a simple result that allows us to evaluate the asymptotic order of the remainder of a partial asymptotic expansion of the quantile function $h(u)$ as $u\to 0^+$ or $1^-$. This is focussed on important univariate distributions…
We study the problem of modeling univariate distributions via their quantile functions. We introduce a flexible family of distributions whose quantile function is a linear combination of basis quantiles. Because the model is linear in its…
Consider the (almost surely) unique Radon partition of a set of $n$ random Gaussian vectors in $\mathbb R^{n-2}$; choose one of the two parts of this partition uniformly at random, and for $0 \le k \le n$, let $p_k$ denote the probability…
We derive the exact probability density function of the product of $N$ independent variance-gamma random variables with zero location parameter. We then apply this formula to derive formulas for the cumulative distribution function and…
This paper is devoted to the study of generalized differentiation properties of the infimal convolution. This class of functions covers a large spectrum of nonsmooth functions well known in the literature. The subdifferential formulas…
We consider distributions on $\mathbb{R}$ that can be written as the sum of a non-zero discrete distribution and an absolutely continuous distribution. We show that such a distribution is quasi-infinitely divisible if and only if its…
We show that the probability mass function of the riff-shuffle distribution, also known as the minimum negative binomial distribution, is unimodal, but in general not log-concave.
Characterizations of all continuous, additive and $\mathrm{GL}(n)$-equivariant endomorphisms of the space of convex functions on a Euclidean space $\mathbb{R}^n$, of the subspace of convex functions that are finite in a neighborhood of the…
Univariate L-moments are expressed as projections of the quantile function onto an orthogonal basis of polynomials in $L_2([0;1],\mathbb{R})$. We present multivariate versions of L-moments expressed as collections of orthogonal projections…
The use of quantiles to obtain insights about multivariate data is addressed. It is argued that incisive insights can be obtained by considering directional quantiles, the quantiles of projections. Directional quantile envelopes are…
We study dentable maps from a closed convex subset of a Banach space into a metric space as an attempt of generalize the Radon-Nikod\'ym property to a "less linear" frame. We note that a certain part of the theory can be developed in rather…
The bivariate normal density with unit variance and correlation $\rho$ is well-known. We show that by integrating out $\rho$, the result is a function of the maximum norm. The Bayesian interpretation of this result is that if we put a…
We propose flexible Gaussian representations for conditional cumulative distribution functions and give a concave likelihood criterion for their estimation. Optimal representations satisfy the monotonicity property of conditional cumulative…
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressions which is useful when examining quantile predictability in stock returns under possible presence of nonstationarity.
This note contains sufficient conditions for the probability density function of an arbitrary continuous univariate distribution, supported on $(0,\infty),$ such that the corresponding Mills ratio to be reciprocally convex (concave). To…
We study absolute-continuity properties of a class of stochastic processes, including the gamma and the Dirichlet processes. We prove that the laws of a general class of non-linear transformations of such processes are locally equivalent to…
We provide sufficient conditions under which the center-outward distribution and quantile functions introduced in Chernozhukov et al.~(2017) and Hallin~(2017) are homeomorphisms, thereby extending a recent result by Figalli \cite{Fi2}. Our…
The distribution of the sum of independent identically distributed uniform random variables is well-known. However, it is sometimes necessary to analyze data which have been drawn from different uniform distributions. By inverting the…
Let $q\ge2$ be an integer, $\{X_n\}_{n\geq 1}$ a stochastic process with state space $\{0,\ldots,q-1\}$, and $F$ the cumulative distribution function (CDF) of $\sum_{n=1}^\infty X_n q^{-n}$. We show that stationarity of $\{X_n\}_{n\geq 1}$…