Results 51 to 60 of about 216 (90)

Some generalizations and probability versions of Samuelson's inequality

, 2017
Several generalizations of Samuelson’s inequality are given, including complex data and inequalities concerning random variables in a probability space.
Hongwei Jin, Julio Benítez
semanticscholar   +1 more source

ON THE TAIL BEHAVIOR OF FUNCTIONS OF RANDOM VARIABLES

, 2016
It is shown that the tail behavior of the function of nonnegative random variables can be characterized using deterministic functions satisfying certain properties.
Arun Kumar, Neelesh Shankar Upadhye
semanticscholar   +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
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
doaj   +1 more source

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

Ultra-log-concavity and discrete degrees of freedom

arXiv.org, 2022
P. Nayar, S. Słobodianiuk
semanticscholar   +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

Statistical inference for a relaxation index of stochastic dominance under density ratio model. [PDF]

J Appl Stat, 2022
Zhuang W, Li Y, Qiu G.
europepmc   +1 more source

Using sums-of-squares to prove Gaussian product inequalities

Dependence Modeling
The long-standing Gaussian product inequality (GPI) conjecture states that E[∏j=1n∣Xj∣yj]≥∏j=1nE[∣Xj∣yj]E\left[{\prod }_{j=1}^{n}{| {X}_{j}| }^{{y}_{j}}]\ge {\prod }_{j=1}^{n}E\left[{| {X}_{j}| }^{{y}_{j}}] for any centered Gaussian random vector (X1 ...
Russell Oliver, Sun Wei
doaj   +1 more source