Search Results - subject:"random variables"

A note on random variables with an infinite absolute first moment

Hu, Tien-Chung; Rosalsky, Andrew - In: Statistics & Probability Letters 97 (2015) C, pp. 212-215

In this correspondence, we prove that if X is a random variable with P(X=0)=0 and E|X|=∞, then there exists a continuous function G on (0,∞) with 0G(x)↑∞ and xG(x)↑∞ as 0x↑∞ such that E(|X|/G(|X|))=∞. An application of this result pertaining to the Kolmogorov strong law of...

Persistent link: https://www.econbiz.de/10011189320

Subadditivity of Value-at-Risk for Bernoulli random variables

Hofert, Marius; McNeil, Alexander J. - In: Statistics & Probability Letters 98 (2015) C, pp. 79-88

Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.

Persistent link: https://www.econbiz.de/10011189346

Extremes of random variables observed in renewal times

Basrak, Bojan; Špoljarić, Drago - In: Statistics & Probability Letters 97 (2015) C, pp. 216-221

We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.

Persistent link: https://www.econbiz.de/10011189354

Coordination of combined heat and power-thermal-wind-photovoltaic units in economic load dispatch using chance-constrained and jointly distributed random variables methods

Azizipanah-Abarghooee, Rasoul; Niknam, Taher; Bina, … - In: Energy 79 (2015) C, pp. 50-67

and heat load demands. The proposed technique makes use of a jointly distributed random variables method to calculate …

Persistent link: https://www.econbiz.de/10011190876

Two-sided bounds for Lp-norms of combinations of products of independent random variables

Damek, Ewa; Latała, Rafał; Nayar, Piotr; Tkocz, Tomasz - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1688-1713

of i.i.d. random variables, whose moduli have a nondegenerate distribution with the p-norm one, is comparable to the lp …

Persistent link: https://www.econbiz.de/10011194117

On a fuzzy cash flow model with insurance applications

Ungureanu, Daniela; Vernic, Raluca - In: Decisions in Economics and Finance 38 (2015) 1, pp. 39-54

random variables, while the return rates are fuzzy numbers. We choose the shape of these fuzzy numbers trapezoidal, Gaussian …

Persistent link: https://www.econbiz.de/10011240818

Complete convergence for weighted sums of NSD random variables and its application in the EV regression model

Wang, Xuejun; Shen, Aiting; Chen, Zhiyong; Hu, Shuhe - In: TEST: An Official Journal of the Spanish Society of … 24 (2015) 1, pp. 166-184

properties, we further study the complete convergence for weighted sums of NSD random variables, which generalizes and improves … some corresponding ones for independent random variables and negatively associated random variables. Some sufficient … conditions to prove the complete convergence for weighted sums of NSD random variables are provided. As an application, the …

Persistent link: https://www.econbiz.de/10011240915

Applications of the Rosenthal-type inequality for negatively superadditive dependent random variables

Shen, Aiting; Zhang, Ying; Volodin, Andrei - In: Metrika 78 (2015) 3, pp. 295-311

dependent (NSD) random variables, which includes sequences of negatively associated random variables as a special case. The … extend Feller’s weak law of large numbers for independent and identically distributed random variables to the case of NSD … random variables by using the Rosenthal-type inequality. Copyright Springer-Verlag Berlin Heidelberg 2015 …

Persistent link: https://www.econbiz.de/10011241001

The distribution of the quotient of two triangularly distributed random variables

Gündüz, Selim; Genç, Ali - In: Statistical Papers 56 (2015) 2, pp. 291-310

random variables are obtained. These quotients are useful especially in operations research and reliability engineering, and …

Persistent link: https://www.econbiz.de/10011241315

Compound Poisson approximation to weighted sums of symmetric discrete variables

Elijio, A.; Čekanavičius, V. - In: Annals of the Institute of Statistical Mathematics 67 (2015) 1, pp. 195-210

symmetric independent identically distributed discrete random variables, and <InlineEquation ID="IEq3"> <EquationSource Format …

Persistent link: https://www.econbiz.de/10011152091