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Conditional expectations given the sum of independent random variables with regularly varying densities

Denuit, Michel; Ortega-Jiménez, Patricia; Robert, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015450049

Nonlinear fuzzy chance constrained approach for multi-objective mixed fuzzy-stochastic optimization problem

Kumar, Ajeet; Mishra, Babita - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015127174

Random utility and limited consideration

Aguiar, Victor H.; Boccardi, Maria Jose; Kashaev, Nail; … - 2023

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014306354

Distributionally robust views on queues and related stochastic models

Eekelen, Wouter van - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014439392

The Monte Carlo integral of a continuum of independent random variables

Hammond, Peter J. - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014428859

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The monte carlo integral of a continuum of independent random variables

Hammond, Peter J. - 2023

Book / Working Paper

On the joint tail behavior of randomly weighted sums of dependent random variables with applications to risk theory

Chen, Zhangting; Cheng, Dongya; Zheng, Haoer - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015555074

Ranges of randomization

Agranov, Marina; Ortoleva, Pietro - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675634

A Fast Algorithm for Computing Product Moments of Multivariate Normal Random Variables

Kan, Raymond; Pan, Jiening - 2023

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014346587

Uncertainty of market graph identification

P. A., Koldanov; A. P., Koldanov; V. V., Tsygankov - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676068

The elasticity of a random variable as a tool for measuring and assessing risks

Veres-Ferrer, Ernesto-Jesús; Pavia, José Manuel - 2022

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013161568

Random Feature Selection using Random Subspace Logistic Regression

Wichitaksorn, Nuttanan; Kang, Yingyue; Zhang, Faqiang - 2022

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013289183

Market efficiency and random number generators in Solvency II

Strati, Francesco - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013367555

A note on symmetric random vectors with an application to discrete choice

Hefti, Andreas - 2022

This paper studies random vectors X featuring symmetric distributions in that i) the order of the random variables in X does not affect its distribution, or ii) the distribution of X is symmetric at zero. We derive a number of characterization results for such random vectors, thereby connecting...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013440050

Finding weakly correlated nodes in random variable networks

Koldanov, Petr; Koldanov, Alexander P.; Semenov, Dmitry - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015182089

Order statistics from independent non-identical exponentiated and proportional hazard Rate random variables

Espín-Sánchez, José-Antonio; Wu, Tianhao - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013464249

Optimal decisions in stochastic graphs with uncorrelated and correlated edge weights

Buchholz, Peter; Dohndorf, Iryna - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013485784

A new stochastic dominance criterion for dependent random variables with applications

Belzunce, Félix; Martinez-Riquelme, Carolina - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013534518

Tail Approximations for Sum of Randomly Weighted Dependent Random Variables with Applications

Roozegar, Rasool; Toghdori, Abdolsaleh - 2022

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014240361

Implementing and Documenting Random Number Generators

Hoaglin, David C. - 2021

As simulation arid Monte Carlo continue to play an increasing role in statistical research, careful attention must be given to problems which arise in implementing and documenting collect ions of random number generators. This paper examines the value of theoretical as well as empirical evidence...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013212606

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Implementing and Documenting Random Number Generators

Hoaglin, David C. - 1975

Book / Working Paper

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

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - 2019

Determining distributions of the functions of random variables is a very important problem with a wide range of applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density and distribution functions for the quotient Y=X1X2...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012022301

Determining distribution for the product of random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - 2019

Determining distributions of the functions of random variables is one of the most important problems in statistics and applied mathematics because distributions of functions have wide range of applications in numerous areas in economics, finance, risk management, science, and others. However,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012015948

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Determining Distribution for the Product of Random Variables by Using Copulas

Ly, Sel - 2019

Book / Working Paper

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables : the F-Riesz Distribution

Blasques, Francisco; Lucas, André; Opschoor, Anne; … - 2021

We introduce the new F-Riesz distribution to model tail-heterogeneity in fat-tailed covariance matrix observations. In contrast to the typical matrix-valued distributions from the econometric literature, the F-Riesz distribution allows for different tail behavior across all variables in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013240359

A stochastic Gauss-Newton algorithm for regularized semi-discrete optimal transport

Bercu, Bernard; Bigot, Jérémie; Gadat, Sébastien; … - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012596536

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

Hanbali, Hamza; Dhaene, Jan; Linders, Daniël - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013471096

Multiple streams with recurrence-based, counter-based, and splittable random number generators

L'Ecuyer, Pierre; Nadeau-Chamard, Olivier; Chen, Yi-Fan; … - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012599472

Bayesian optimization allowing for common random numbers

Pearce, Michael Arthur Leopold; Poloczek, Matthias; … - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014307875

Asymptotic study of stochastic adaptive algorithm in non-convex landscape

Gadat, Sébastien; Gavra, Ioana - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012434763

New Deterministic Solution to a chance constrained linear programming model with Weibull Random Coefficients

Ismail, Maha; El-Hefnawy, Ali; Saad, Abd El-Naser - 2018

Linear Programming model is an important tool used to solve constrained optimization problems. In fact, the real life problems are usually occurring in the presence of uncertainty. For instance, in managerial problems of assigning employees to different tasks with the aim of minimizing the total...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011862381

Stable Randomization

Agranov, Marina; Healy, Paul J.; Nielsen, Kirby - 2020

We design a laboratory experiment to identify whether a preference for randomization defines a stable type across different choice environments. In games and individual decisions, subjects face twenty simultaneous repetitions of the same choice. Subjects can randomize by making different choices...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014101545

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

Correa, José R.; Romero, Matías - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013207447

Evaluating ambiguous random variables from Choquet to maxmin expected utility

Gul, Faruk; Pesendorfer, Wolfgang - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012805375

Sampling hierarchies of discrete random structures

Lijoi, Antonio; Prünster, Igor; Rigon, Tommaso - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012512412

Simulation of a random variable and its application to game theory

Valizadeh, Mehrdad; Gohari, Amin - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012582176

A True Extension of the Markov Inequality to Negative Random Variables

de Mesnard, Louis - 2020

The Markov inequality is a classical nice result in statistics that serves to demonstrate other important results as the Chebyshev inequality and the weak law of large numbers, and that has useful applications in the real world, when the random variable is unspecified, to know an upper bound for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012843378

Limit theorems for network dependent random variables

Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012619804

A Note on the Kesten-Type Inequality for Sums of Randomly Weighted Dependent Sub-exponential Random Variables

Gong, Yishan - 2020

This paper considers the randomly weighted sums generated by some dependent sub-exponential primary random variables and some arbitrarily dependent random weights. To study the randomly weighted sums with infinitely many terms, we establish a Kesten-type upper bound for their tail probabilities...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012833359

Heads or tails : the impact of a coin toss on major life decisions and subsequent happiness

Levitt, Steven D. - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012434778

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Heads or tails : the impact of a coin toss on major life decisions and subsequent happiness

Levitt, Steven D. - 2016

Book / Working Paper

Heads or Tails : The Impact of a Coin Toss on Major Life Decisions and Subsequent Happiness

Levitt, Steven D. - 2016

Book / Working Paper

Heads or Tails : The Impact of a Coin Toss on Major Life Decisions and Subsequent Happiness

Levitt, Steven D. - 2016

Book / Working Paper

Distribution of Quotient of Dependent and Independent Random Variables Using Copulas

Ly, Sel - 2019

Determining distributions of the functions of random variables is a very important problem with wide applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density and distribution functions for the quotient Y = X<sub>1</sub>/X <sub>2</sub> and the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012865412

Chance constrained programming with some non-normal continuous random variables

Mohanty, D. K.; Pradhan, Avik; Biswal, M. P. - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012302545

Strong Convergence for Weighted Sums of Fuzzy Random Variables

Joo, Sang Yeol - 2018

In this paper, we establish some results on strong convergence for sums and weighted sums of uniformly integrable fuzzy random variables taking values in the space of upper-semicontinuous fuzzy sets in

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012918760

Harmonizing two approaches to fuzzy random variables

Fuente, Miriam Alonso de la; Terán, Pedro - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012225076

On a New Measure of Covariation for Stable Random Variables

d’Estampes, Ludovic - 2018

We consider possible measures of dependence for two symmetric alpha-stable (SαS) random variables. Some results are given which enlighten a few deficiencies of these measures. We propose a new measure which partially solve these problems. The results are illustrated by simulations

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012924670

An Algorithm for Generating Positively Correlated Beta Distributed Random Variables

magnussen, steen - 2018

An exact algorithm for generating two positively correlated Beta-distributed random variables is provided. The paired Beta-distributed random variables are generated from ratios of independent standard Gamma distributions. A positive correlation is achieved by introducing two shared standard...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012925367

Random optimization on random sets

Lepinette, Emmanuel - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012229497

Parameter Estimation and Random Number Generation from a Zipf-Related Lerch Distribution

Aksenov, Sergej V. - 2018

The Lerch family of three-parameter, discrete univariate distributions includes as special cases the well known Zipf, Zipf-Mandelbrot, and Good distributions that are used as models in ecology, linguistics, information science, and statistical physics. The Lerch distribution was originally...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012925428

Spectral analysis of the MIXMAX random number generators

L'Ecuyer, Pierre; Wambergue, Paul; Bourceret, Erwan - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012182996

The Foster-Hart measure of riskiness for general gambles

Hellmann, Tobias; Riedel, Frank - 2015

Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011674068

A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Boudt, Kris - 2018

Supplementary Appendix is available at: "https://ssrn.com/abstract=2970015" https://ssrn.com/abstract=2970015. Decision making in finance often requires an accurate estimate of the coskewness matrix to optimize the allocation to random variables with asymmetric distributions. The classical...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012935536

Wooldridge, Jeffrey M. - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012303605

On the minimum correlation between symmetrically distributed random variables

Hörnig, Steffen - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011916313

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On the Minimum Correlation between Symmetrically Distributed Random Variables

Hörnig, Steffen - 2018

Book / Working Paper

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