相关论文: Estimation of bivariate excess probabilities for e…

We propose and analyze a generalized splitting method to sample approximately from a distribution conditional on the occurrence of a rare event. This has important applications in a variety of contexts in operations research, engineering,…

We analyze selected iterated conditionals in the framework of conditional random quantities. We point out that it is instructive to examine Lewis's triviality result, which shows the conditions a conditional must satisfy for its probability…

The conditional maximum-entropy method (abbreviated here as C-MaxEnt) is formulated for selecting prior probability distributions in Bayesian statistics for parameter estimation. This method is inspired by a statistical-mechanical approach…

This article describes a robust algorithm to estimate a conditional probability density f(t|x) as a non-parametric smooth regression function. It is based on a neural network and the Bayesian interpretation of the network output as a…

Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form…

We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponentially tilted empirical likelihood function is constructed…

Multivariate circular observations, i.e. points on a torus are nowadays very common. Multivariate wrapped models are often appropriate to describe data points scattered on p-dimensional torus. However, statistical inference based on this…

We give a finite-sample analysis of predictive inference procedures after model selection in regression with random design. The analysis is focused on a statistically challenging scenario where the number of potentially important…

In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…

When a mathematical or computational model is used to analyse some system, it is usual that some parameters resp.\ functions or fields in the model are not known, and hence uncertain. These parametric quantities are then identified by…

A new variational approach to solve the problem of estimating the (possibly discontinuous) coefficient functions $p$, $q$ and $f$ in elliptic equations of the form $-\nabla \cdot (p(x)\nabla u) + \lambda q(x) u = f$, $x \in \Omega \subset…

We extend known saddlepoint tail probability approximations to multivariate cases, including multivariate conditional cases. Our approximation applies to both continuous and lattice variables, and requires the existence of a cumulant…

We consider a random variable $Y$ and approximations $Y\_n$, defined on the same probability space with values in the same measurable space as $Y$. We are interested in situations where the approximations $Y\_n$ allow to define a Dirichlet…

In this paper, we investigate the extreme-value methodology, to propose an improved estimator of the conditional tail expectation ($CTE$) for a loss distribution with a finite mean but infinite variance. The present work introduces a new…

Extropy, a complementary dual of entropy, (proposed by Lad et al. \cite{lad2015extropy} in 2015) has attracted considerable interest from the research community. In this study, we focus on discrete random variables and define conditional…

Estimation of extreme quantile regions, spaces in which future extreme events can occur with a given low probability, even beyond the range of the observed data, is an important task in the analysis of extremes. Existing methods to estimate…

We explore some properties of the conditional distribution of an i.i.d. sample under large exceedances of its sum. Thresholds for the asymptotic independance of the summands are observed, in contrast with the classical case when the…

Consider bivariate observations $(X_1,Y_1), \ldots, (X_n,Y_n) \in \mathbb{R}\times \mathbb{R}$ with unknown conditional distributions $Q_x$ of $Y$, given that $X = x$. The goal is to estimate these distributions under the sole assumption…

Computing the probability of a formula given the probabilities or weights associated with other formulas is a natural extension of logical inference to the probabilistic setting. Surprisingly, this problem has received little attention in…

We present an algorithm to obtain the maximum likelihood estimates of the correlation parameters of elliptical copulas. Previously existing methods for this task were either fast but only approximate or exact but very time-consuming,…