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A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2020 This paper derives a simple closed-form formula for the n th conditional moment of the Ornstein-Uhlenbeck (O-U) process, for any positive integer n. The system of recursive ordinary differential equations (ODEs) associated with the n th conditional ...
Kittisak Chumpong +2 more
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Conditional Expectation, Entropy, and Transport for Convex Gibbs Laws in Free Probability [PDF]
International mathematics research notices, 2019 Let $(X_1,\dots ,X_m)$ be self-adjoint noncommutative random variables distributed according to the free Gibbs law given by a sufficiently regular convex and semi-concave potential $V$, and let $(S_1,\dots ,S_m)$ be a free semicircular family. For $k <
David Jekel
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Kernel regression utilizing heterogeneous datasets
Statistical Theory and Related Fields, 2023 Data analysis in modern scientific research and practice has shifted from analysing a single dataset to coupling several datasets. We propose and study a kernel regression method that can handle the challenge of heterogeneous populations.
Chi-Shian Dai, Jun Shao
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Time-Consistent Conditional Expectation Under Probability Distortion [PDF]
Mathematics of Operations Research, 2018 We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not subadditive in general, so it is beyond the scope of Peng’s framework of nonlinear expectations. A more fundamental
Jingsheng Ma +2 more
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Mathematics, 2020 We jointly model amount of expenditure for outpatient visits and number of outpatient visits by considering both dependence and simultaneity by proposing a bivariate structural model that describes both variables, specified in terms of their conditional ...
Emilio Gómez-Déniz +1 more
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Conditional Evaluations of Sums of Sample Maxima and Records
Revstat Statistical Journal, 2023 We consider sequences of independent and identically absolutely continuously distributed random variables assuming that they have finite expectation and variance.
Tomasz Rychlik , Magdalena Szymkowiak
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Symmetry Constrained Decoherence of Conditional Expectation Values
Universe, 2019 Conditional expectation values of quantum mechanical observables reflect unique non-classical correlations, and are generally sensitive to decoherence. We consider the circumstances under which such sensitivity to decoherence is removed, namely, when the
M. Hamed Mohammady, Alessandro Romito
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Conditional Expectations for Unbounded Operator Algebras
International Journal of Mathematics and Mathematical Sciences, 2007 Two conditional expectations in unbounded operator algebras (O∗-algebras) are discussed. One is a vector conditional expectation defined by a linear map of an O∗-algebra into the Hilbert space on which the O∗-algebra acts.
Atsushi Inoue +2 more
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Modelling multiple quantiles together with the mean based on SA‐ConvLSTM for taxi pick‐up prediction
IET Intelligent Transport Systems, 2022 A more complete taxi pick‐ups prediction going beyond the conditional expectation would be more beneficial to allocate taxis effectively. Prior works have predicted the conditional expectation of taxi demand and improved the prediction accuracy.
Qixiang Chen +5 more
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A Hoeffding-Azuma Type Inequality for Random Processes
International Journal of Analysis and Applications, 2023 The subject of this paper is a Hoeffding-Azuma type estimation for the difference between an adapted random process and its conditional expectation given a related filtration.
Mahir Hasanov
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