Zobrazeno 1 - 10
of 124
pro vyhledávání: '"Ilya Molchanov"'
Publikováno v:
International Journal of Approximate Reasoning. 128:129-150
This paper proposes a method to conduct local linear regression smoothing in the presence of set-valued outcome data. The proposed estimator is shown to be consistent, and its mean squared error and asymptotic distribution are derived. A method to bu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::78c0abce6c81c84a4280b2fc1ac1dc77
https://doi.org/10.1016/j.ijar.2020.10.005
https://doi.org/10.1016/j.ijar.2020.10.005
Autor:
Alexander Marynych, Ilya Molchanov
Publikováno v:
Marynych, Alexander; Molchanov, Ilya (2022). Facial structure of strongly convex sets generated by random samples. Advances in mathematics, 395, p. 108086. Elsevier 10.1016/j.aim.2021.108086
The $K$-hull of a compact set $A\subset\mathbb{R}^d$, where $K\subset \mathbb{R}^d$ is a fixed compact convex body, is the intersection of all translates of $K$ that contain $A$. A set is called $K$-strongly convex if it coincides with its $K$-hull.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::827d3cbdba04775f8a31540a3832f994
https://boris.unibe.ch/164486/1/1-s2.0-S0001870821005259-main.pdf
https://boris.unibe.ch/164486/1/1-s2.0-S0001870821005259-main.pdf
Autor:
Ilya Molchanov, Andreas Haier
Publikováno v:
Haier, Andreas; Molchanov, Ilya (2019). Multivariate risk measures in the non-convex setting. Statistics & risk modeling, 36(1-4), pp. 25-35. de Gruyter 10.1515/strm-2019-0002
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite number of t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ae3e43fa4d521261848f2eacccb3d70f
https://doi.org/10.1515/strm-2019-0002
https://doi.org/10.1515/strm-2019-0002
Autor:
Chinmoy Bhattacharjee, Ilya Molchanov
We consider the Gaussian approximation for functionals of a Poisson process that are expressible as sums of region-stabilizing (determined by the points of the process within some specified regions) score functions and provide a bound on the rate of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::807d48b118e6dbfd92d454491e5a9696
http://arxiv.org/abs/2101.05103
http://arxiv.org/abs/2101.05103
Autor:
Ilya Molchanov, Alexander Marynych
Publikováno v:
Bernoulli 27, no. 1 (2021), 34-65
It is known that backward iterations of independent copies of a contractive random Lipschitz function converge almost surely under mild assumptions. By a sieving (or thinning) procedure based on adding to the functions time and space components, it i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f38a2b2cdb9f8c6226f4d211444c2ec
Autor:
Anja Mühlemann, Ilya Molchanov
Publikováno v:
Molchanov, Ilya; Mühlemann, Anja (2021). Nonlinear expectations of random sets. Finance and stochastics, 25(1), pp. 5-41. Springer-Verlag 10.1007/s00780-020-00442-3
Sublinear functionals of random variables are known as sublinear expectations; they are convex homogeneous functionals on infinite-dimensional linear spaces. We extend this concept for set-valued functionals defined on measurable set-valued functions
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::890511cfb4531c631df623e54765f7da
Autor:
Emmanuel Lépinette, Ilya Molchanov
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction costs and as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6aac6d3d1c8c4dd6a0777b931e95393d
Autor:
Riccardo Turin, Ilya Molchanov
Publikováno v:
Molchanov, Ilya; Turin, Riccardo (2021). Convex bodies generated by sublinear expectations of random vectors. Advances in applied mathematics, 131, p. 102251. Elsevier 10.1016/j.aam.2021.102251
We show that many well-known transforms in convex geometry (in particular, centroid body, convex floating body, and Ulam floating body) are special instances of a general construction, relying on applying sublinear expectations to random vectors in E
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5799f0a9b433c25fa0876ba8e3045e41
Autor:
Oleg I. Klesov, Ilya Molchanov
Publikováno v:
Statistics & Probability Letters. 131:56-63
The validity of the strong law of large numbers for multiple sums S n of independent identically distributed random variables Z k , k ≤ n , with r -dimensional indices is equivalent to the integrability of | Z | ( log + | Z | ) r − 1 , where Z is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e5690ba20330c325fefe8dd92152984
https://doi.org/10.1016/j.spl.2017.08.007
https://doi.org/10.1016/j.spl.2017.08.007