相关论文: Statistical foundations for assessing the differen…
Beta regression is used routinely for continuous proportional data, but it often encounters practical issues such as a lack of robustness to misspecification of the beta distribution and sensitivity to outliers. We develop an improved class…
Beta ensembles on the real line with three classical weights (Gaussian, Laguerre and Jacobi) are now realized as the eigenvalues of certain tridiagonal random matrices. The paper deals with beta Jacobi ensembles, the type with the Jacobi…
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a…
In recent years, a rich variety of shrinkage priors have been proposed that have great promise in addressing massive regression problems. In general, these new priors can be expressed as scale mixtures of normals, but have more complex…
The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…
Data analysis based on information from several sources is common in economic and biomedical studies. This setting is often referred to as the data fusion problem, which differs from traditional missing data problems since no complete data…
A scheme of evaluating an impact of a given scientific paper based on importance of papers quoting it is investigated. Introducing a weight of a given citation, dependent on the previous scientific achievements of the author of the citing…
This note gives a short, self-contained, proof of a sharp connection between Gittins indices and Bayesian upper confidence bound algorithms. I consider a Gaussian multi-armed bandit problem with discount factor $\gamma$. The Gittins index…
The beta distribution is the best-known distribution for modelling doubly-bounded data, \eg percentage data or probabilities. A new generalization of the beta distribution is proposed, which uses a cubic transformation of the beta random…
Opinion dynamics models such as the bounded confidence models (BCMs) describe how a population can reach consensus, fragmentation, or polarization, depending on a few parameters. Connecting such models to real-world data could help…
We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications typically there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To…
We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate \Ito semimartingale. Beta is defined as the ratio of the spot continuous covariation between an asset and a risk…
Researchers must often estimate income inequality using data that give only the number of cases (e.g., families or households) whose incomes fall in "bins" such as $0-9,999, $10,000-14,999,..., $200,000+. We find that popular methods for…
This paper considers the issue of modeling fractional data observed in the interval [0,1), (0,1] or [0,1]. Mixed continuous-discrete distributions are proposed. The beta distribution is used to describe the continuous component of the model…
Generative modeling has seen a rising interest in both classical and quantum machine learning, and it represents a promising candidate to obtain a practical quantum advantage in the near term. In this study, we build over a proposed…
Bias in datasets can be very detrimental for appropriate statistical estimation. In response to this problem, importance weighting methods have been developed to match any biased distribution to its corresponding target unbiased…
Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The factors, which account for the systematic risk,…
In light of the power problems of statistical tests and undisciplined use of alpha-based statistics to compare models, this paper proposes a unified set of distance-based performance metrics, derived as the square root of the sum of squared…
The physics potential of beta beams is investigated from low to very high gamma values and it is compared to superbeams and neutrino factories. The gamma factor and the baseline are treated as continuous variables in the optimization of the…
In this paper, we study the inequality indices for some models of wealth exchange. We calculated Gini index and newly introduced k-index and compare the results with reported empirical data available for different countries. We have found…