Results 31 to 40 of about 81 (81)

Generalized Hoeffding-Fréchet functionals and mass transportation

Dependence Modeling
This note is concerned with some historical remarks on and a partial review of two interesting mathematical subjects, the generalized Hoeffding-Fréchet functionals and the Monge-Kantorovich mass transportation problem.
Rüschendorf Ludger
doaj   +1 more source

On the asymptotic covariance of the multivariate empirical copula process

Dependence Modeling, 2019
Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample ...
Genest Christian, Mesfioui Mhamed, Nešlehová Johanna G.   +2 more
doaj   +1 more source

Maximal ϕ-inequalities for demimartingales

Journal of Inequalities and Applications, 2011
In this paper, we establish some maximal ϕ-inequalities for demimartingales that generalize the results of Wang (Stat. Probab. Lett. 66, 347-354, 2004) and Wang et al. (J. Inequal. Appl. 2010(838301), 11, 2010) and improve Doob's type inequality for
Gong Xiaobing
doaj  

The 123 theorem of Probability Theory and Copositive Matrices

Special Matrices, 2014
Alon and Yuster give for independent identically distributed real or vector valued random variablesX, Y combinatorially proved estimates of the form Prob(∥X − Y∥ ≤ b) ≤ c Prob(∥X − Y∥ ≤ a). We derivethese using copositive matrices instead.
Kovačec Alexander, Moreira Miguel M. R., Martins David P.   +2 more
doaj   +1 more source

Antisymmetry of the Stochastical Order on all Ordered Topological Spaces

Analysis and Geometry in Metric Spaces, 2019
In this short note, we prove that the stochastic order of Radon probability measures on any ordered topological space is antisymmetric. This has been known before in various special cases. We give a simple and elementary proof of the general result.
Fritz Tobias
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Dependence properties of bivariate copula families

Dependence Modeling
Motivated by recently investigated results on dependence measures and robust risk models, this article provides an overview of dependence properties of many well known bivariate copula families, where the focus is on the Schur order for conditional ...
Ansari Jonathan, Rockel Marcus
doaj   +1 more source

VaR bounds in models with partial dependence information on subgroups

Dependence Modeling, 2017
We derive improved estimates for the model risk of risk portfolios when additional to the marginals some partial dependence information is available.We consider models which are split into k subgroups and consider various classes of dependence ...
Rüschendorf Ludger, Witting Julian
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Risk bounds with additional information on functionals of the risk vector

Dependence Modeling, 2018
We consider the problem of determining risk bounds for the Value at Risk for risk vectors X where besides the marginal distributions also information on the distribution or on the expectation of some functionals Tj(X), 1 ≤ j ≤ m, is available.
Rüschendorf L.
doaj   +1 more source

Stochastic ordering of discrete multivariate distributions. Algorithm in C++ with applications in the comparison of number of claims and extremes order statistics

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica
In this article we present a stochastic ordering verification algorithm between multivariate discrete distributions implemented in the C++ programming language.
Catana Luigi-Ionut
doaj   +1 more source

Two Features of the GINAR(1) Process and Their Impact on the Run-Length Performance of Geometric Control Charts. [PDF]

Entropy (Basel), 2023
Morais MC.
europepmc   +1 more source