相关论文: Multivariate Subexponential Distributions and Thei…

Bairamov et al. (Aust N Z J Stat 47:543-547, 2005) characterize the exponential distribution in terms of the regression of a function of a record value with its adjacent record values as covariates. We extend these results to the case of…

Exponential distribution is ubiquitous in the framework of multi-agent systems. Usually, it appears as an equilibrium state in the asymptotic time evolution of statistical systems. It has been explained from very different perspectives. In…

Experiments in Agricultural Sciences often involve the analysis of longitudinal nominal polytomous variables, both in individual and grouped structures. Marginal and mixed-effects models are two common approaches. The distributional…

Predicting extreme events is important in many applications in risk analysis. The extreme-value theory suggests modelling extremes by max-stable distributions. The Bayesian approach provides a natural framework for statistical prediction.…

Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…

We study the variability of a risk from the statistical viewpoint of multimodality of the conditional loss distribution given that the aggregate loss equals an exogenously provided capital. This conditional distribution serves as a building…

For a multinomial distribution, suppose that we have prior knowledge of the sum of the probabilities of some categories. This allows us to construct a submodel in a full (i.e., no-restriction) model. Maximum likelihood estimation (MLE)…

Gradients and subgradients are central to optimization and sensitivity analysis of buffered failure probabilities. We furnish a characterization of subgradients based on subdifferential calculus in the case of finite probability…

In this note, we define a Gaussian probability distribution over matrices. We prove some useful properties of this distribution, namely, the fact that marginalization, conditioning, and affine transformations preserve the matrix Gaussian…

Measuring public opinion at subnational geographies is critical to many theories in political science. Multilevel regression and post-stratification (MRP) is a popular tool for doing so, although existing work is limited to measuring…

Variational inference is a popular method for estimating model parameters and conditional distributions in hierarchical and mixed models, which arise frequently in many settings in the health, social, and biological sciences. Variational…

We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…

We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator which is distribution-free and it is optimal in the sense of…

In this note, we give an explicit expression for the quantile of a mixture of two random variables. We carefully examine all possible cases of discrete and continuous variables with possibly unbounded support. The result is useful for…

Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…

The conventional wisdom of mean-variance (MV) portfolio theory asserts that the nature of the relationship between risk and diversification is a decreasing asymptotic function, with the asymptote approximating the level of portfolio…

The sum of independent, but not necessary identically distributed, exponential random variables follows hypoexponential distribution. We focus on a particular case when all, but one rate parameters of the exponential variables are…

Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…

Prediction of outstanding claims has been done via nonparametric models (chain ladder), semiparametric models (overdispersed poisson) or fully parametric models. In this paper, we propose models based on negative binomial distributions for…

We propose dual regression as an alternative to the quantile regression process for the global estimation of conditional distribution functions under minimal assumptions. Dual regression provides all the interpretational power of the…