We investigate a quantitative Aumann's Agreement Theorem and provide a generalization of the characterization in Arieli et al. (2021) from binary state spaces to arbitrary finite state spaces. Using a network flow approach, we show that the cut condition for a feasible multiflow problem gives...

We study the tail probability of linear factor models generated from non-identically distributed components with regularly-varying tails, a large subclass of heavy-tailed distributions. An efficient sampling method for tail probability estimation for this class is introduced and theoretically...

We study average topological summaries of Vietoris–Rips complexes built on top of random point clouds in the D-dimensional Euclidian space in two setups: i) a homogeneous Poisson point process (HPPP) with intensity n and ii) N i.i.d. points sampled from a uniform elliptical distribution. In...

Based on the method proposed by Aly and Benkherouf (2011) to generate new distributionfamilies, a new distribution based on the Lomax (Lomax, 1954) and Harris (Harris, 1948)distributions is defined and analyzed in this article. The proposed distribution, called theHarris Lomax distribution, can...

Infiltration of machine learning (ML) methods into econometrics has remained relatively slow, compared with their extensive applications in many other disciplines. The bottleneck is traced to two key factors – a communal nescience of the theoretical foundation of ML and an outdated probability...

This paper studies in detail simulation methods for simulating tail probability and tail mean of both univariate and bivariate compound variables. We first reviewed some basic variance reduction methods, then we proposed several novel combinations of variance reduction methods specifically for...

Suppose populations of economic agents that are parameterized by skewness preference. For stated agents, increasing marginal utility for wealth necessarily is facilitated by a risk premium function that only robustly is parameterized with reference to `relative safety', as opposed to `relative...

In Section 2 of Bernard et al. (2020), we study bounds on Range Value-at-Risk (RVaR) under the assumption of non-negative risk. However, Proposition 3 is erroneous, and hence Theorems 3, 4, and 5 and Corollary 5 are no longer valid. In this corrigendum, we provide a direct replacement of these...

n this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing methodology relies on the characteristic function of the...

Under certain parameter restrictions, the exact solution of the Cox-Ingersoll-Ross (CIR) equation is obtained in closed form. This explicit solution is used to study several well-known numerical methods specifically proposed in the literature for approximating the solution to the CIR problem....