Results 1 to 10 of about 451 (29)

Stochastic orders of log-epsilon-skew-normal distributions

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2022
The log-epsilon-skew-normal distributions family is generalized class of log-normal distribution. Is widely used to model non-negative data in many areas of applied research.
Catana Luigi-Ionut
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Stochastic orders for a multivariate Pareto distribution

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2021
In this article we give some theoretical results for equivalence between different stochastic orders of some kind multivariate Pareto distribution family.
Catana Luigi-Ionut
doaj   +1 more source

A combinatorial proof of the Gaussian product inequality beyond the MTP2 case

Dependence Modeling, 2022
A combinatorial proof of the Gaussian product inequality (GPI) is given under the assumption that each component of a centered Gaussian random vector X=(X1,…,Xd){\boldsymbol{X}}=\left({X}_{1},\ldots ,{X}_{d}) of arbitrary length can be written as a ...
Genest Christian, Ouimet Frédéric
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A Stochastic Gronwall Lemma [PDF]

, 2013
We prove a stochastic Gronwall lemma of the following type: if $Z$ is an adapted nonnegative continuous process which satisfies a linear integral inequality with an added continuous local martingale $M$ and a process $H$ on the right hand side, then for ...
Scheutzow, Michael
core   +1 more source

Sectorial convergence of U-statistics [PDF]

, 2005
In this note we show that almost sure convergence to zero of symmetrized U-statistics indexed by a linear sector in Z^d_+ is equivalent to convergence along the diagonal of Z^d_+, as it is considered in Lata\la and Zinn [Ann. Probab. 28 (2000) 1908-1924].
Gadidov, Anda
core   +5 more sources

Partial stochastic dominance for the multivariate Gaussian distribution [PDF]

, 2014
Gaussian comparison inequalities provide a way of bounding probabilities relating to multivariate Gaussian random vectors in terms of probabilities of random variables with simpler correlation structures.
Turner, Amanda, Whitehead, John
core   +2 more sources

Leibniz seminorms in probability spaces [PDF]

, 2014
In this paper we study the (strong) Leibniz property of centered moments of bounded random variables. We shall answer a question raised by M.
Besenyei, Adam, Leka, Zoltan
core   +2 more sources

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
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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.
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