Results 1 to 10 of about 180 (55)

ROC AND THE BOUNDS ON TAIL PROBABILITIES VIA THEOREMS OF DUBINS AND F. RIESZ. [PDF]

Ann Appl Probab, 2009
For independent $X$ and $Y$ in the inequality $P(X\leq Y+\mu)$, we give sharp lower bounds for unimodal distributions having finite variance, and sharp upper bounds assuming symmetric densities bounded by a finite constant.
Clarkson E, Denny JL, Shepp L.
europepmc   +2 more sources

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
doaj   +1 more source

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

On maximum likelihood estimation of the extreme value index [PDF]

, 2004
We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value ...
de Haan, Laurens, Drees, Holger, Ferreira, Ana   +2 more
core   +3 more sources

Asymptotically distribution-free goodness-of-fit testing for tail copulas [PDF]

, 2014
Let $(X_1,Y_1),\ldots,(X_n,Y_n)$ be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution.
Can, Sami Umut, Einmahl, John H. J., Khmaladze, Estate V., Laeven, Roger J. A.   +3 more
core   +3 more sources

Spatial aggregation of local likelihood estimates with applications to classification [PDF]

, 2006
This paper presents a new method for spatially adaptive local (constant) likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models.
Belomestny, Denis, Spokoiny, Vladimir
core   +5 more sources

Modeling the variability of rankings [PDF]

, 2010
For better or for worse, rankings of institutions, such as universities, schools and hospitals, play an important role today in conveying information about relative performance.
Hall, Peter, Miller, Hugh
core   +1 more source

Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data [PDF]

, 2003
We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric ...
Hsing, T., Klüppelberg, Claudia, Kuhn, Gabriel   +2 more
core   +2 more sources

A class of unbiased location invariant Hill-type estimators for heavy tailed distributions

, 2008
Based on the methods provided in Caeiro and Gomes (2002) and Fraga Alves (2001), a new class of location invariant Hill-type estimators is derived in this paper. Its asymptotic distributional representation and asymptotic normality are presented, and the
Li, Jiaona, Nadarajah, Saralees, Peng, Zuoxiang   +2 more
core   +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