Results 41 to 50 of about 1,048 (72)

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
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On the Wassertein distance for a martingale central limit theorem

, 2020
We prove an upper bound on the Wassertein distance between normalized martingales and the standard normal random variable, which extends a result of R\"ollin [Statist. Probabil. Lett. 138 (2018) 171-176]. The proof is based on a method of Bolthausen [Ann.
Fan, Xiequan, Ma, Xiaohui
core  

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
doaj   +1 more source

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
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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

Behavior of the empirical Wasserstein distance in R^d under moment conditions

, 2018
We establish some deviation inequalities, moment bounds and almost sure results for the Wasserstein distance of order p $\in$ [1, $\infty$) between the empirical measure of independent and identically distributed R d-valued random variables and the ...
Dedecker, Jérôme, Merlevède, Florence
core  

Estimates for the closeness of convolutions of probability distributions on convex polyhedra

, 2018
The aim of the present work is to show that the results obtained earlier on the approximation of distributions of sums of independent summands by the accompanying compound Poisson laws and the estimates of the proximity of sequential convolutions of ...
Götze, Friedrich, Zaitsev, Andrei Yu.
core  

A Parrondo Paradox in Reliability Theory

, 2007
Parrondo's paradox arises in sequences of games in which a winning expectation may be obtained by playing the games in a random order, even though each game in the sequence may be lost when played individually. We present a suitable version of Parrondo's
Di Crescenzo, Antonio
core  

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