相关论文: Doubly truncated moment risk measures for elliptic…

In this paper we introduce a generalization of classical risk measures in which the risk is represented by a step function taking two values, corresponding to two endogenously determined market regimes. This extends the traditional…

In Survival Analysis, the observed lifetimes often correspond to individuals for which the event occurs within a specific calendar time interval. With such interval sampling, the lifetimes are doubly truncated at values determined by the…

In this work, we define a family of probability densities involving the generalized trigonometric functions defined by Dr\'abek and Man\'asevich [1], which we name Generalized Trigonometric Densities. We show their relationship with the…

Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-extensive systems. In this paper, Tsallis relative entropy…

We study the estimation of the value function for continuous-time Markov diffusion processes using a single, discretely observed ergodic trajectory. Our work provides non-asymptotic statistical guarantees for the least-squares…

In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, we first consider a distributional uncertainty set which is…

We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the…

Recently, Extropy was introduced by Lad, Sanfilippo and Agr\`o as a complement dual of Shannon Entropy. In this paper, we propose dynamic versions of Extropy for doubly truncated random variables as measures of uncertainty called Interval…

We present a new temporal logic called Distribution Temporal Logic (DTL) defined over predicates of belief states and hidden states of partially observable systems. DTL can express properties involving uncertainty and likelihood that cannot…

This paper aims to develop new mathematical and computational tools for modeling the distribution of portfolio returns across portfolios. We establish relevant mathematical formulas and propose efficient algorithms, drawing upon powerful…

Quantum states of the electromagnetic field are of considerable importance, finding potential application in various areas of physics, as diverse as solid state physics, quantum communication and cosmology. In this paper we introduce the…

Dynamic Time Warping (DTW) is used for matching pairs of sequences and celebrated in applications such as forecasting the evolution of time series, clustering time series or even matching sequence pairs in few-shot action recognition. The…

Truncated multivariate distributions arise extensively in econometric modelling when non-negative random variables are intrinsic to the data-generation process. More broadly, truncated multivariate distributions have appeared in censored…

This study evaluates deep neural networks for forecasting probability distributions of financial returns. 1D convolutional neural networks (CNN) and Long Short-Term Memory (LSTM) architectures are used to forecast parameters of three…

In the optimization under uncertainty, decision-makers first select a wait-and-see policy before any realization of uncertainty and then place a here-and-now decision after the uncertainty has been observed. Two-stage stochastic programming…

For the regression model where the errors follow the elliptically contoured distribution (ECD), we consider the least squares (LS), restricted LS (RLS), preliminary test (PT), Stein-type shrinkage (S) and positive-rule shrinkage (PRS)…

This letter reports two moment extensions of the entropy of a distribution. By understanding the traditional entropy as the average of the original distribution up to a random variable transformation, the traditional moments equation become…

Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…

Models with mixed origins of anomalous subdiffusion have been considered important for understanding transport in biological systems. Here, one such mixed model, the quenched trap model (QTM) on fractal lattices, is investigated. It is…

Gradually Truncated Log-normal distribution - Size distribution of firms Abstract Many natural and economical phenomena are described through power law or log- normal distributions. In these cases, probability decreases very slowly with…