We provide a simple identity that decomposes a product moment of multivariate normal random variables as a sum of various products of univariate moments of one of the random variables and multivariate moments of the other random variables. The new identity allows for much faster computation of...

The random utility model (RUM, McFadden and Richter (1990)) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a choice set. This assumption may fail when consideration of...

There has been much work on the approximation of independent or dependent random variables. But we are not aware of any work giving exact results for the approximation of the sum of randomly weighted random variables. In this paper, we derive results for the randomly weighted sum of dependent...

Elasticity is a very popular concept in economics and physics, recently exported and reinterpreted in the statistical field, where it has given form to the so-called elasticity function. This function has proved to be a very useful tool for quantifying and evaluating risks, with applications in...

Feature selection becomes a prominent method in the big data era. The logistic regression model is a wrapper method that provides better classification or prediction accuracy but it is computationally expensive. In this study, we propose the random subspace logistic regression where features are...