相关论文: A closed-form expression for the variance of trunc…
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
We provide in this paper simulation algorithms for one-sided and two-sided truncated normal distributions. These algorithms are then used to simulate multivariate normal variables with restricted parameter space for any covariance…
We consider the classical problem of discrete distribution estimation using i.i.d. samples in a novel scenario where additional side information is available on the distribution. In large alphabet datasets such as text corpora, such side…
This paper gives a review of concentration inequalities which are widely employed in non-asymptotical analyses of mathematical statistics in a wide range of settings, from distribution-free to distribution-dependent, from sub-Gaussian to…
Obtaining a closed-form sampling distribution for the coalescent with recombination is a challenging problem. In the case of two loci, a new framework based on asymptotic series has recently been developed to derive closed-form results when…
We study the probability distribution $P$ of the sum of a large number of non-identically distributed random variables $n_m$. Condensation of fluctuations, the phenomenon whereby one of such variables provides a macroscopic contribution to…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
If the rounding errors are assumed to be distributed independently from the intrinsic distribution of the random variable, the sample variance $s^2$ of the rounded variable is given by the sum of the true variance $\sigma^2$ and the…
We consider the approximation of a convolution of possibly different probability measures by (compound) Poisson distributions and also by related signed measures of higher order. We present new total variation bounds having a better…
In many areas of engineering and sciences, decision rules and control strategies are usually designed based on nominal values of relevant system parameters. To ensure that a control strategy or decision rule will work properly when the…
This article proposes a bivariate Simplex distribution for modeling continuous outcomes constrained to the interval $(0,1)$, which can represent proportions, rates, or indices. We derive analytical expressions to calculate the dependence…
Distorted distributions were introduced in the context of actuarial science for several variety of insurance problems. In this paper we consider the quantile-based probabilistic mean value theorem given in Di Crescenzo et al. [4] and…
A general piecewise (including pointwise) probability distribution with space-saving notation and its hierarchical particular cases are considered. The explicit closed-form normalization, expectation, and variance formulas along with the…
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random vectors whose components are not always simultaneously…
A new distribution on (0, 1), generalized Log-Lindley distribution, is proposed by extending the Log-Lindley distribution. This new distribution is shown to be a weighted Log-Lindley distribution. Important probabilistic and statistical…
In this paper, we derive closed-form exact expressions for the main statistics of the ratio of squared alpha-mu random variables, which are of interest in many scenarios for future wireless networks where generalized distributions are more…
We obtain new closed-form formulas for the moments and absolute moments of the variance-gamma distribution. We thus deduce new formulas for the moments and absolute moments of the product of two correlated zero mean normal random variables.
A standard approach to computing expectations with respect to a given target measure is to introduce an overdamped Langevin equation which is reversible with respect to the target distribution, and to approximate the expectation by a…
Invariant ensembles of random matrices are characterized by the distribution of their eigenvalues $\{\lambda_1,\cdots,\lambda_N\}$. We study the distribution of truncated linear statistics of the form $\tilde{L}=\sum_{i=1}^p f(\lambda_i)$…
The Pareto probability distribution is widely applied in different fields such us finance, physics, hydrology, geology and astronomy. This note deals with an application of the Pareto distribution to astrophysics and more precisely to the…