Results 41 to 50 of about 121 (117)
Dependence properties of bivariate copula families
Dependence ModelingMotivated 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
On rankings and top choices in random utility models with dependent utilities
60E15, 62P05, Arrangement increasing density, Multivariate joint stochastic order, Aggregate preference order, Ranking, Random utility model,
José Ruiz +3 more
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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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A probabilistic inequality related to negative definite functions
, 2020 . We prove that for any pair of i.i.d. random vectors , in ℝ and any real-valued continuous negative definite function : ℝ → ℝ the inequality ( − ) ⩽ ( + ). holds. In particular, for ∈ (0, 2] and the Euclidean norm ∥ ⋅ ∥2 one has The latter inequality is
Mikhail Lifshits +2 more
core
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.
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Evaluations of generalized order statistics from bounded populations
Generalized order statistic, Progressively type II censored order statistic, Bounded population, Optimal bound, 60E15, 62G30,
Tomasz Rychlik
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Convex transformation on survival functions and related dependence concepts
Convex ordering, Positive dependence, Hazard rate, Dependence ordering, Primary 60E15, 62H99, Secondary 60K10,
Mehmet Yilmaz
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Burkholder’s inequality for multiindex martingales [PDF]
Multiindex versions of Khintchine’s and Burkholder’s inequalities are pre- sented. Key Words: Khintchine’s inequality, Burkholder’s inequality, random field, martingale.
Fazekas, István
core
Moments inequalities of aging families of distributions with hypotheses testing applications
, 2001 Nonparametric families of aging distributions have been the subject of investigation for more than three decades. Both probabilistic and statistical properties of these distributions were studied for such families as increasing failure rate , new ...
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On applications of Andrica-Badea and Nagy inequalities in spectral graph theory
, 2015 Applications of Andrica-Badea and Nagy inequalities for determining bounds of graph invariants of undirected, connected graphs are investigated. We consider bounds of the following invariants: the first Zagreb index, general Randic index, Laplacian ...
MILOVANOVIĆ, Igor +2 more
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