Results 131 to 140 of about 122,069 (234)

A Markov approach to credit rating migration conditional on economic states

open access: yesCanadian Journal of Statistics, EarlyView.
Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley   +1 more source

Bayesian clustering of multivariate extremes

open access: yesCanadian Journal of Statistics, EarlyView.
Abstract The asymptotic dependence structure between multivariate extreme values is fully characterized by their projections on the unit simplex. Under mild conditions, the only constraint on the resulting distributions is that their marginal means must be equal, which results in a nonparametric model that can be difficult to use in applications ...
Sonia Alouini, Anthony C. Davison
wiley   +1 more source

A goodness‐of‐fit test for regression models with discrete outcomes

open access: yesCanadian Journal of Statistics, EarlyView.
Abstract Regression models are often used to analyze discrete outcomes, but classical goodness‐of‐fit tests such as those based on the deviance or Pearson's statistic can be misleading or have little power in this context. To address this issue, we propose a new test, inspired by the work of Czado et al.
Lu Yang   +2 more
wiley   +1 more source

Fourier Mass Lower Bounds for Batchelor‐Regime Passive Scalars

open access: yesCommunications on Pure and Applied Mathematics, EarlyView.
ABSTRACT Batchelor predicted that a passive scalar ψν$\psi ^\nu$ with diffusivity ν$\nu$, advected by a smooth fluid velocity, should typically have Fourier mass distributed as |ψ̂ν|2(k)≈|k|−d$|\widehat{\psi }^\nu |^2(k) \approx |k|^{-d}$ for |k|≪ν−1/2$|k| \ll \nu ^{-1/2}$.
William Cooperman, Keefer Rowan
wiley   +1 more source

The Huang–Yang Formula for the Low‐Density Fermi Gas: Upper Bound

open access: yesCommunications on Pure and Applied Mathematics, EarlyView.
ABSTRACT We study the ground state energy of a gas of spin 1/2$1/2$ fermions with repulsive short‐range interactions. We derive an upper bound that agrees, at low density ϱ$\varrho$, with the Huang–Yang conjecture. The latter captures the first three terms in an asymptotic low‐density expansion, and in particular the Huang–Yang correction term of order
Emanuela L. Giacomelli   +3 more
wiley   +1 more source

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