相关论文: A traffic lights approach to PD validation

Considering two independent Poisson processes, we address the question of testing equality of their respective intensities. We first propose single tests whose test statistics are U-statistics based on general kernel functions. The…

Classification is a fundamental problem in machine learning and data mining. During the past decades, numerous classification methods have been presented based on different principles. However, most existing classifiers cast the…

Deciding in an efficient way weak probabilistic bisimulation in the context of Probabilistic Automata is an open problem for about a decade. In this work we close this problem by proposing a procedure that checks in polynomial time the…

The purpose of this paper is to utilize statistical methodologies to infer from market prices of assets and their derivatives the magnitude of the set of a measure M that defines acceptance sets of risky future cash flows. Specifically, we…

We introduce a new approach to modeling uncertainty based on plausibility measures. This approach is easily seen to generalize other approaches to modeling uncertainty, such as probability measures, belief functions, and possibility…

We introduce a new framework for creating point-wise confidence intervals for the distribution of event times for current status data. Existing methods are based on asymptotics. Our framework is based on binomial properties and motivates…

External controls from historical trials or observational data can augment randomized controlled trials when large-scale randomization is impractical or unethical, such as in drug evaluation for rare diseases. However, non-randomized…

This work examines the problem of sequential detection of a change in the drift of a Brownian motion in the case of two-sided alternatives. Applications to real life situations in which two-sided changes can occur are discussed.…

Following our previous work on copula-based nonsymmetric dependence measures, we introduce similar measures for discrete random variables. The measures cover the range between two extremes: independence and complete dependence, which take…

In this paper, with the parametric symmetric coercive elliptic boundary value problem as an example of the primal-dual variational problems satisfying the strong duality, we develop primal-dual reduced basis methods (PD-RBM) with robust…

We discuss the parameter estimation of the probability of default (PD), the correlation between the obligors, and a phase transition. In our previous work, we studied the problem using the beta-binomial distribution. A non-equilibrium phase…

Axiomatization has been widely used for testing logical implications. This paper suggests a non-axiomatic method, the chase, to test if a new dependency follows from a given set of probabilistic dependencies. Although the chase computation…

In modern multiple hypothesis testing, the availability of covariate information alongside the primary test statistics has motivated the development of more powerful and adaptive inference methods. However, most existing approaches rely on…

Many multiple testing procedures make use of the p-values from the individual pairs of hypothesis tests, and are valid if the p-value statistics are independent and uniformly distributed under the null hypotheses. However, it has recently…

We introduce a novel probabilistic group testing framework, termed Poisson group testing, in which the number of defectives follows a right-truncated Poisson distribution. The Poisson model has a number of new applications, including…

We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value…

Many transfer problems require re-using previously optimal decisions for solving new tasks, which suggests the need for learning algorithms that can modify the mechanisms for choosing certain actions independently of those for choosing…

We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to…

The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products…

The estimation of probabilities of default (PDs) for low default portfolios by means of upper confidence bounds is a well established procedure in many financial institutions. However, there are often discussions within the institutions or…