Search Results - subject:"random variables"

Determining distribution for the quotients of dependent and independent random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-27

Determining distributions of the functions of random variables is a very important problem with a wide range of … of two dependent or independent random variables X1 and X2 by using copulas to capture the structures between X1 and X2 … two dependent normal random variables X1 and X2 in the case of Gaussian copulas. We then develop the theory on the median …

Persistent link: https://www.econbiz.de/10012611156

The One-way Fubini Property and Conditional Independence : an equivalence result

Hammond, Peter J.; Sun, Yeneng - 2019 - Revised July 2019

Persistent link: https://www.econbiz.de/10012267179

Determining distribution for the product of random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Risks : open access journal 7 (2019) 1/23, pp. 1-20

Determining distributions of the functions of random variables is one of the most important problems in statistics and … and distribution of the product for two or more random variables via copulas to capture the dependence structures among … density and distribution of the product for two log-normal random variables on several different copulas, including Gaussian …

Persistent link: https://www.econbiz.de/10012015948

Determining distribution for the quotients of dependent and independent random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 12 (2019) 1/42, pp. 1-27

Persistent link: https://www.econbiz.de/10012022301

A robustness comparison of two market network models

Semenov, D. P.; Koldanov, Alexander P.; Koldanov, Petr; … - In: IMA journal of management mathematics 33 (2022) 1, pp. 123-137

Persistent link: https://www.econbiz.de/10012654795

Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables

Hanbali, Hamza; Dhaene, Jan; Linders, Daniël - In: Insurance / Mathematics & economics 107 (2022), pp. 22-37

Persistent link: https://www.econbiz.de/10013471096

IRB PD model accuracy validation in the presence of default correlation : a twin confidence interval approach

Borzykh, Dmitriy; Penikas, Henry - In: Risk management : an international journal 23 (2021) 4, pp. 282-300

Persistent link: https://www.econbiz.de/10012792821

Ergodic theorems for queuing systems with dependent inter-arrival times

Lovas, Attila; Rásonyi, Miklós - In: Operations research letters 49 (2021) 5, pp. 682-687

Persistent link: https://www.econbiz.de/10013207427

On the asymptotic behavior of the expectation of the maximum of i.i.d. random variables

Correa, José R.; Romero, Matías - In: Operations research letters 49 (2021) 5, pp. 785-786

Persistent link: https://www.econbiz.de/10013207447

Sums, Products and Ratios for Crovelli’s Bivariate Gamma Distribution

Silva, Ana; Rodrigues, Jailson; Chaves, Lucas; Souza, … - In: Water Resources Management 27 (2013) 5, pp. 1363-1376

Bivariate gamma distributions have been used successfully on modeling hydrological processes. In this work, supposing that X and Y follow the Crovelli’s bivariate gamma model, we deduce the exact distributions of the functions U = X + Y, P = XY and Q = X/(X + Y), as well as...

Persistent link: https://www.econbiz.de/10010998123