相关论文: Additive versus multiplicative parameters - applic…
Azzalini (1985) introduced a skew-normal distribution of which normal distribution is a special case. Recently Kundu (2014) introduced a geometric skew-normal distribution and showed that it has certain advantages over Azzalini's…
Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
A multiplicative stochastic process with the lower bound lognormally distributed is investigated. For the process, the model is constructed, and its distribution function (involving four parameters) and the related statistical properties…
The method of model averaging has become an important tool to deal with model uncertainty, for example in situations where a large amount of different theories exist, as are common in economics. Model averaging is a natural and formal…
There are numerous examples in different research fields where the use of the geometric mean is more appropriate than the arithmetic mean. However, the geometric mean has a serious limitation in comparison with the arithmetic mean. Means…
Geometry constitutes a core set of intuitions present in all humans, regardless of their language or schooling [1]. Could brain's built in machinery for processing geometric information take part in uncertainty representation? For decades…
Statistical models of economic distributions lead to Boltzmann distributions rather than a Pareto power law. This result is supported by two facts: 1. the distributions of income, car sales, marriages or jobs are a matter of chances and…
The law of large numbers extends to random sets by employing Minkowski addition. Above that, a central limit theorem is available for set-valued random variables. The existing results use abstract isometries to describe convergence of the…
The multiplicative and additive compounds of a matrix play an important role in several fields of mathematics including geometry, multi-linear algebra, combinatorics, and the analysis of nonlinear time-varying dynamical systems. There is a…
Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance. It is often…
Generalized additive models (GAMs) provide a way to blend parametric and non-parametric (function approximation) techniques together, making them flexible tools suitable for many modeling problems. For instance, GAMs can be used to…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
We examine the distribution and popularity of different parameters (such as the number of descents, runs, valleys, peaks, right-to-left minima, and more) on the sets of increasing and flattened permutations. For each parameter, we provide…
Polynomials are common algebraic structures, which are often used to approximate functions including probability distributions. This paper proposes to directly define polynomial distributions in order to describe stochastic properties of…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic…
We consider the problem of estimating the parameters in a pairwise graphical model in which the distribution of each node, conditioned on the others, may have a different parametric form. In particular, we assume that each node's…
A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects…