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Probability distributions and estimation of Ali-Mikhail-Haq copula
Dependence measure Tail dependence
2010/9/21
The Pearson product-moment correlation commonly used as statistical dependence measure was developed assuming normal marginal and addresses only linear dependence. In most applications, the distributi...
$t$-Covering Arrays Generated by a Tiling Probability Model
$t$-Covering Arrays Tiling Probability Model
2010/11/8
A $t-\a$ covering array is an $m\times n$ matrix, with entries from an alphabet of size $\alpha$, such that for any choice of $t$ rows, and any ordered string of $t$ letters of the alphabet, there ex...
Prize insights in probability, and one goat of a recycled error: Jason Rosenhouse's The Monty Hall Problem
Prize insights in probability recycled error
2010/11/22
The Monty Hall problem is the TV game scenario where you, the contestant, are presented with three doors, with a car hidden behind one and goats hidden behind the other two. After you select a door, t...
Construction of the minimal entropy martingale measure in finite probability market models
Relative entropy Minimal entropy martingale measure
2010/9/13
The principle of minimization of relative entropy is used to construct a minimal entropy martingale measure for a finite probability/multiperiod market model.
Sequential probability ratio tests for fuzzy hypotheses testing
Fuzzy hypothesis critical region
2010/9/14
In hypotheses testing, such as other statistical problems, we may confront imprecise concepts. One case is a situation in which hypotheses are imprecise. In this paper, we redefine some concepts about...
Determination of maximum entropy probability distribution via Burg's measure of entropy
Burg’s measure of entropy Maximum entropy principle Wavelet
2010/9/14
In this paper, we consider the methods of obtaining maximum entropy multivariate distributions via Burg’s measure of entropy under the constraints that the marginal distributions or the marginals and ...
Determination of maximum entropy multivariate probability distribution under some constraints
Entropy Maximum entropy principle Density estimation
2010/9/14
In this paper, the methods of obtaining maximum entropy bivariate distributions under the constraints, that one of the marginal distributions, both of marginals, or the marginals and correlation betwe...
Minimizing the probability of ruin under interest force
The probability of ruin Interest rate Compound poisson process
2010/9/10
In this paper, we consider a classical risk process model and allow investment into a risk-free asset as well as proportional reinsurance. The optimal proportional reinsurance strategy is found to min...
Parametric probability densities and distribution functions for Tukey g-and-h transformations and their use for fitting data
Distribution fitting Moments Monte Carlo Non-normality
2010/9/10
The family of g-and-h transformations are popular algorithms used for simulating non-normal distributions because of their simplicity and ease of execution. In general, two limitations associated with...
A Bound on the Deviation Probability for Sums of Non-Negative Random Variables
Deviation bounds Bernstein's inequality Hoeffdings inequality
2008/7/3
A simple bound is presented for the probability that the sum of nonnegative independent random variables is exceeded by its expectation by more than a positive number t. If the variables have the same...
A Note On Probability Weighted Moment Inequalities For Reliability Measures
Stochastic inequalities Weighted distribution functions Bounds
2008/7/3
Weighted distributions in general and length-biased distributions in particular are very useful and convenient for the analysis of lifetime data. These distributions occur naturally for some sampling ...
L'Hospital Type Rules for Monotonicity: Applications to Probability Inequalities for Sums of Bounded Random Variables
L'Hospital's Rule Monotonicity Probability inequalities Sums of independent random variables Student's statistic
2008/7/1
This paper continues a series of results begun by a l'Hospital type rule for monotonicity, which is used here to obtain refinements of the Eaton-Pinelis inequalities for sums of bounded independent ra...
Oriented Site Percolation, Phase Transitions and Probability Bounds
Oriented site percolation Critical probability Phase transition Positive term power series
2008/6/27
We show that one half is a lower bound for the critical probability of an oriented site percolation process of Grimmett and Hiemer. This value improves the known lower bound of one third. We employ an...
Some Inequalities Between Moments of Probability Distributions
Random variate Finite interval Power means Moments
2008/6/27
In this paper inequalities between univariate moments are obtained when the random variate, discrete or continuous, takes values on a finite interval. Further some inequalities are given for the momen...
Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model
delayed renewal risk model heavy-tails ruin probability
2007/12/11
Embrechts and Veraverbeke~[2] investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities ψ(x) under the assumption that the claim size is heavy-tailed, whic...