Results 41 to 50 of about 138 (124)
Extreme values of random or chaotic discretization steps and connected networks
, 2012 Classification AMS : 60E15; 60F99; 62H05. Consultable en ligne sur le site : http://www.m-hikari.com/ams/ams-2012/ams-117-120-2012/index.htmlBy sorting independent random variables and considering the difference between two consecutive order statistics ...
Guegan, Dominique, Garcin, Matthieu
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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
Reversed preservation properties of some negative aging conceptions and stochastic orders
IMRL, NWUC, NWU(2), Parallel system, RS order, Series system, TTT transform order, Primary 60E15, Secondary 60K10, 62N05,
Xiaohu Li, Richard Yam
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Behavior of the empirical Wasserstein distance in R^d under moment conditions
, 2019 International audienceWe establish some deviation inequalities, moment bounds and almost sure results for the Wasserstein distance of order p ∈ [1, ∞) between the empirical measure of independent and identically distributed R d-valued random variables ...
Dedecker, Jérôme, Merlevède, Florence
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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
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Bernstein’s inequality with a proper cover and upper bound of portfolio VaR and TVaR
Dependence ModelingThis study develops a concentration inequality for random variables that satisfy Bernstein’s condition when an appropriate cover is present. This inequality generalizes standard concentration results for common distributions, including Gamma, Exponential,
Tanoue Yuta
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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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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
A Note on the Portfolio Selection Problem
, 2005 In this note we provide new results of interest in the portfolio choice problem when the risky opportunities are correlated: for a general vector (X 1 , X 2 ,..., X n ) of risky opportunities we give new conditions for stochastic comparison among ...
Franco Pellerey +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
doaj +1 more source