Multivariate copula models are commonly used in place of Gaussian dependence models when plots of the data suggest tail dependence and tail asymmetry. In these cases, it is useful to have simple statistics to summarize the strength of dependence in different joint tails. Measures of monotone...

We investigate the problem of dynamic optimal capital growth of diversified investment. A general framework that the trader maximize the expected log utility of long-term growth rate of initial wealth was developed. We show that the trader's fortune will exceed any fixed bound when the fraction...

In practice, it often happens that we have a number of base methods of classification. We are not able to clearly determine which method is optimal in the sense of the smallest error rate. Then we have a combined method that allows us to consolidate information from multiple sources in a better...

In this paper, we propose a model with a Dirichlet process mixture of gamma densities in the bulk part below threshold and a generalized Pareto density in the tail for extreme value estimation. The proposed model is simple and flexible for posterior density estimation and posterior inference for...

Traditional statistical modeling of continuous outcome variables relies heavily on the assumption of a normal distribution. However, in some applications, such as analysis of microRNA (miRNA) data, normality may not hold. Skewed distributions play an important role in such studies and might lead...

For the analysis of square contingency tables with ordered categories, this paper proposes a model which indicates the structure of marginal asymmetry. The model states that the absolute values of logarithm of ratio of the cumulative probability that an observation will fall in row category <italic>i</italic> or...

The purpose of this paper is to build a model for aggregate losses which constitutes a crucial step in evaluating premiums for health insurance systems. It aims at obtaining the predictive distribution of the aggregate loss within each age class of insured persons over the time horizon involved...