相关论文: On financial applications of the two-parameter Poi…

This paper explores the possibility of establishing an analytic form of the distribution of the order parameter fluctuations in a two-dimensional critical spin wave model, or width fluctuations of a two dimensional Edwards-Wilkinson…

We introduce a class of random graphs that we argue meets many of the desiderata one would demand of a model to serve as the foundation for a statistical analysis of real-world networks. The class of random graphs is defined by a…

We study a mean-field version of rank-based models of equity markets such as the Atlas model introduced by Fernholz in the framework of Stochastic Portfolio Theory. We obtain an asymptotic description of the market when the number of…

High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…

This paper presents foundational theoretical results on distributed parameter estimation for undirected probabilistic graphical models. It introduces a general condition on composite likelihood decompositions of these models which…

In this paper, we introduce a new approach to generate flexible parametric families of distributions. These models arise on competitive and complementary risks scenario, in which the lifetime associated with a particular risk is not…

Stock market returns are typically analyzed using standard regression, yet they reside on irregular domains which is a natural scenario for graph signal processing. To this end, we consider a market graph as an intuitive way to represent…

In this paper, we study compound bi-free Poisson distributions for {\sl two-faced families of random variables}. We prove a Poisson limit theorem for compound bi-free Poisson distributions. Furthermore, a bi-free infinitely divisible…

In this article we survey properties of mixed Poisson distributions and probabilistic aspects of the Stirling transform: given a non-negative random variable $X$ with moment sequence $(\mu_s)_{s\in\mathbb{N}}$ we determine a discrete random…

This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study…

We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…

With the advent of structured data in the form of social networks, genetic circuits and protein interaction networks, statistical analysis of networks has gained popularity over recent years. Stochastic block model constitutes a classical…

Stochastic point processes relevant to the theory of long-range aperiodic order are considered that display diffraction spectra of mixed type, with special emphasis on explicitly computable cases together with a unified approach of…

Modeling the trading volume curves of financial instruments throughout the day is of key interest in financial trading applications. Predictions of these so-called volume profiles guide trade execution strategies, for example, a common…

The two-parameter Poisson--Dirichlet diffusion, introduced in 2009 by Petrov, extends the infinitely-many-neutral-alleles diffusion model, related to Kingman's one-parameter Poisson--Dirichlet distribution and to certain Fleming--Viot…

We estimate the distribution of random parameters in a distributed parameter model with unbounded input and output for the transdermal transport of ethanol in humans. The model takes the form of a diffusion equation with the input being the…

In probabilistic modelling, joint distributions are often of more interest than their marginals, but the standard composition of stochastic channels is defined by marginalization. Last year at ACT, the notion of 'copy-composition' was…

We consider an array of random variables, taking values in a complete and separable metric space, that exhibits a kind of symmetry which we call row exchangeability. Given such an array, a natural model for Bayesian nonparametric inference…

A diffusion taking value in probability measures on a graph with a vertex set $V$, $\sum_{i\in V}x_i\delta_i$, is studied. The masses on each vertices satisfy the stochastic differential equation of the form $dx_i=\sum_{j\in…

The Poisson-binomial distribution is useful in many applied problems in engineering, actuarial science, and data mining. The Poisson-binomial distribution models the distribution of the sum of independent but not identically distributed…