Zobrazeno 1 - 10
of 213
pro vyhledávání: '"primary 60e15"'
Autor:
Adamczak, Radosław, Kutek, Dominik
We prove tail and moment inequalities for multiple stochastic integrals on the Poisson space and for Poisson $U$-statistics. We use them to demonstrate the Law of the Iterated Logarithm for these processes when the intensity of the Poisson process te
Externí odkaz:
http://arxiv.org/abs/2408.04090
Stochastic ordering of series and parallel systems lifetime in Archimedean copula under random shock
Autor:
Islam, Sarikul, Gupta, Nitin
In this manuscript, we studied the stochastic ordering behavior of series as well as parallel systems lifetimes comprising dependent and heterogeneous components, experiencing random shocks, and exhibiting distinct dependency structures. We establish
Externí odkaz:
http://arxiv.org/abs/2406.05834
We establish several convexity properties for the entropy and Fisher information of mixtures of centered Gaussian distributions. First, we prove that if $X_1, X_2$ are independent scalar Gaussian mixtures, then the entropy of $\sqrt{t}X_1 + \sqrt{1-t
Externí odkaz:
http://arxiv.org/abs/2308.15997
Autor:
Buterus, Paul, Sambale, Holger
We investigate the relation between moments and tails of heavy-tailed (in particular, Pareto-type) distributions. We also discuss the sharpness of our results in a number of examples under certain regularity conditions like log-convexity. Moreover, w
Externí odkaz:
http://arxiv.org/abs/2308.14410
Autor:
Kosov, Egor, Zhukova, Anastasia
The paper studies upper bounds for the total variation distance between two polynomials of a special form in random vectors satisfying the Doeblin-type condition. Our approach is based on the recent results concerning Nikolskii--Besov-type smoothness
Externí odkaz:
http://arxiv.org/abs/2308.02007
Autor:
Russell Oliver, Sun Wei
Publikováno v:
Dependence Modeling, Vol 12, Iss 1, Pp 395-408 (2024)
The long-standing Gaussian product inequality (GPI) conjecture states that E[∏j=1n∣Xj∣yj]≥∏j=1nE[∣Xj∣yj]E\left[{\prod }_{j=1}^{n}{| {X}_{j}| }^{{y}_{j}}]\ge {\prod }_{j=1}^{n}E\left[{| {X}_{j}| }^{{y}_{j}}] for any centered Gaussian ran
Externí odkaz:
https://doaj.org/article/e9e757a400e4471aa562bf5d0bba3c74
Autor:
Mattner, Lutz
The classical Berry-Esseen error bound, for the normal approximation to the law of a sum of independent and identically distributed random variables, is here improved by replacing the standardised third absolute moment by a weak norm distance to norm
Externí odkaz:
http://arxiv.org/abs/2210.04060
Autor:
Russell, Oliver, Sun, Wei
We prove the three-dimensional Gaussian product inequality (GPI) $E[X_1^{2}X_2^{2m_2}X_3^{2m_3}]\ge E[X_1^{2}]E[X_2^{2m_2}]E[X_3^{2m_3}]$ for any centered Gaussian random vector $(X_1,X_2,X_3)$ and $m_2,m_3\in\mathbb{N}$. We discover a novel inequali
Externí odkaz:
http://arxiv.org/abs/2208.13957
Autor:
Götze, Friedrich, Sambale, Holger
We prove higher order concentration bounds for functions on Stiefel and Grassmann manifolds equipped with the uniform distribution. This partially extends previous work for functions on the unit sphere. Technically, our results are based on logarithm
Externí odkaz:
http://arxiv.org/abs/2208.07641
Autor:
Catana Luigi-Ionut
Publikováno v:
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, Vol 32, Iss 1, Pp 127-140 (2024)
In this article we present a stochastic ordering verification algorithm between multivariate discrete distributions implemented in the C++ programming language. This algorithm is essential in problems of finding the optimal portfolio when dealing wit
Externí odkaz:
https://doaj.org/article/dc22d41f1831420b83006a3ccf8ad6e9