相关论文: Doubly truncated moment risk measures for elliptic…
Dual continuation, an innovative insight into extending the real-valued functions of real matrices to the dual-valued functions of dual matrices with a foundation of the G\^ateaux derivative, is proposed. Theoretically, the general forms of…
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($\Delta$CoD) measures as measures of systemic risk and analyze their properties and representations. The classes…
A diversification quotient (DQ) quantifies diversification in stochastic portfolio models based on a family of risk measures. We study DQ based on expectiles, offering a useful alternative to conventional risk measures such as Value-at-Risk…
High-breakdown-point estimators of multivariate location and shape matrices, such as the MM-estimator with smooth hard rejection and the Rocke S-estimator, are generally designed to have high efficiency at the Gaussian distribution.…
A possible application of the evolution equation for the truncated Mellin moments to determination of the parton distributions in the nucleon is presented. We find that the reconstruction of the initial parton densities at scale $Q_0^2$…
We propose a method to compute an approximation of the moments of a discrete-time stochastic polynomial system. We use the Carleman linearization technique to transform this finite-dimensional polynomial system into an infinite-dimensional…
Temporal difference (TD) methods constitute a class of methods for learning predictions in multi-step prediction problems, parameterized by a recency factor lambda. Currently the most important application of these methods is to temporal…
We derive evolution equations satisfied by moments of parton distributions when the integration over the Bjorken variable is restricted to a subset (x_0 <= x <= 1) of the allowed kinematical range 0<= x<= 1. The corresponding anomalous…
The notion of weighted Renyi's entropy for truncated random variables has recently been proposed in the information-theoretic literature. In this paper, we introduce a generalized measure of it for double truncated distribution, namely…
Randomized clinical trials often require large patient cohorts before drawing definitive conclusions, yet abundant observational data from parallel studies remains underutilized due to confounding and hidden biases. To bridge this gap, we…
Expressions are given for the truncated fractional moments $E X_+^p$ of a general stable law. These involve families of special functions that arose out of the study of multivariate stable densities and probabilities. As a particular case,…
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment…
Drawdown risk, an important metric in financial risk management, poses significant computational challenges due to its highly path-dependent nature. This paper proposes a unified framework for computing five important drawdown quantities…
The computation of the distance of two time series is time-consuming for any elastic distance function that accounts for misalignments. Among those functions, DTW is the most prominent. However, a recent extensive evaluation has shown that…
We derived a number of numerical methods to treat biomolecular systems with multiple time scales. Based on the splitting of the operators associated with the slow-varying and fast-varying forces, new multiple time-stepping (MTS) methods are…
Parameter estimation for the truncated skew-normal distribution is challenging, as truncation introduces additional nonlinearity into the likelihood function and often leads to numerical instability in existing estimation procedures. In…
This work proposes a parametric probabilistic approach to model damage accumulation using the double linear damage rule (DLDR) considering the existence of limited experimental fatigue data. A probabilistic version of DLDR is developed in…
In this paper we consider the diversity-multiplexing gain tradeoff (DMT) of so-called minimum delay asymmetric space-time codes. Such codes are less than full dimensional lattices in their natural ambient space. Apart from the multiple…
We provide faster randomized algorithms for computing an $\epsilon$-optimal policy in a discounted Markov decision process with $A_{\text{tot}}$-state-action pairs, bounded rewards, and discount factor $\gamma$. We provide an…
Total variation distance (TV distance) is an important measure for the difference between two distributions. Recently, there has been progress in approximating the TV distance between product distributions: a deterministic algorithm for a…