scholarly journals On the control of the difference between two Brownian motions: a dynamic copula approach

2016 ◽  
Vol 4 (1) ◽  
Author(s):  
Thomas Deschatre
Keyword(s):  
Cumulative Distribution Function ◽  
Survival Function ◽  
Random Variable ◽  
Cumulative Distribution ◽  
Gaussian Copula ◽  
Brownian Motions ◽  
Dynamic Copula ◽  
Copula Approach ◽  
The Difference ◽  
The Right

AbstractWe propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of admissible copulae for the Brownian motions are not limited to the class of Gaussian copulae and that it also contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right tail than in the Gaussian copula case. Considering two Brownian motions B1t and B2t, the main result is that the range of possible values for is the same for Markovian pairs and all pairs of Brownian motions, that is with φ being the cumulative distribution function of a standard Gaussian random variable.

scholarly journals Estimasi Fungsi Survival dan Fungsi Hazard Kumulatif Pada Data Survival Pederita Multiple Myeloma Serta Faktor-faktor yang Mempengaruhi Waktu Survivalnya

Intersections ◽  
2019 ◽  
Vol 4 (2) ◽  
pp. 33-43
Author(s):  
Toto Hermawan ◽  
Dwi Nurrohmah ◽  
Ismi Fathul Jannah
Keyword(s):  
Multiple Myeloma ◽  
Distribution Function ◽  
Data Analysis ◽  
Probability Density Function ◽  
Weibull Distribution ◽  
Hazard Function ◽  
Cumulative Distribution Function ◽  
Survival Function ◽  
Random Variable ◽  
Cumulative Distribution

Multiple myeloma is an infectious disease characterized by the accumulation of abnormal plasma cells, a type of white blood cell, in the bone marrow. The main objective of this data analysis is to investigate the effect of Bun, Ca, Pcells and Protein risk factors on the survival time of multiple myeloma patients from diagnosis to death. In the survival data analysis, the observed random variable T is the time needed to achieve success. To explain a random variable, the cumulative distribution function or the probability density function can be used. In survival analysis, the function of the random variable that becomes important is the survival function and the hazard function which can be derived using the cumulative distribution function or the probability density function. In general, it is difficult to determine the survival function or hazard function of a population group with certainty. However, the survival function or hazard function can still be approximated by certain estimation methods. The Kaplan-Meier method can be used to find estimators of the survival function of a population. Meanwhile, to find the estimator of the cumuative hazard function, the Nelson-Aalen method can be used. From the variables studied, it turned out that the one that gave the most significant effect was the Bun variable, namely blood urea nitrogen levels using both the exponential and weibull distribution. However, by using the weibull distribution, the presence of Bence Jones Protein in urine also has a quite real effect

scholarly journals On Distribution Characteristics of a Fuzzy Random Variable

2018 ◽  
Vol 47 (2) ◽  
pp. 53-67 ◽  
Author(s):  
Jalal Chachi
Keyword(s):  
Probability Theory ◽  
Distribution Function ◽  
Cumulative Distribution Function ◽  
Random Variables ◽  
Fuzzy Random Variable ◽  
Random Variable ◽  
Cumulative Distribution ◽  
Distribution Characteristics ◽  
Fuzzy Random Variables ◽  
Fuzzy Random

In this paper, rst a new notion of fuzzy random variables is introduced. Then, usingclassical techniques in Probability Theory, some aspects and results associated to a randomvariable (including expectation, variance, covariance, correlation coecient, etc.) will beextended to this new environment. Furthermore, within this framework, we can use thetools of general Probability Theory to dene fuzzy cumulative distribution function of afuzzy random variable.

Series expansions for the all-time maximum of α-stable random walks

2016 ◽  
Vol 48 (3) ◽  
pp. 744-767
Author(s):  
Clifford Hurvich ◽  
Josh Reed
Keyword(s):  
Random Walk ◽  
Random Walks ◽  
Queueing Theory ◽  
Cumulative Distribution Function ◽  
Random Variable ◽  
Cumulative Distribution ◽  
Series Expansions ◽  
Stable Random Variables ◽  
The Mean ◽  
The Stability

AbstractWe study random walks whose increments are α-stable distributions with shape parameter 1<α<2. Specifically, assuming a mean increment size which is negative, we provide series expansions in terms of the mean increment size for the probability that the all-time maximum of an α-stable random walk is equal to 0 and, in the totally skewed-to-the-left case of skewness parameter β=-1, for the expected value of the all-time maximum of an α-stable random walk. Our series expansions generalize previous results for Gaussian random walks. Key ingredients in our proofs are Spitzer's identity for random walks, the stability property of α-stable random variables, and Zolotarev's integral representation for the cumulative distribution function of an α-stable random variable. We also discuss an application of our results to a problem arising in queueing theory.

COMPARISON OF APPROXIMATIONS FOR COMPOUND POISSON PROCESSES

2015 ◽  
Vol 45 (3) ◽  
pp. 601-637 ◽  
Author(s):  
Raffaello Seri ◽  
Christine Choirat
Keyword(s):  
Random Variable ◽  
Cumulative Distribution ◽  
Claim Amount ◽  
Approximation Methods ◽  
Total Claim Amount ◽  
Aggregate Claim ◽  
Time Period ◽  
Total Claim ◽  
The Difference ◽  
Object Of Study

AbstractIn this paper, we compare the error in several approximation methods for the cumulative aggregate claim distribution customarily used in the collective model of insurance theory. In this model, it is usually supposed that a portfolio is at risk for a time period of length t. The occurrences of the claims are governed by a Poisson process of intensity μ so that the number of claims in [0,t] is a Poisson random variable with parameter λ = μ t. Each single claim is an independent replication of the random variable X, representing the claim severity. The aggregate claim or total claim amount process in [0,t] is represented by the random sum of N independent replications of X, whose cumulative distribution function (cdf) is the object of study. Due to its computational complexity, several approximation methods for this cdf have been proposed. In this paper, we consider 15 approximations put forward in the literature that only use information on the lower order moments of the involved distributions. For each approximation, we consider the difference between the true distribution and the approximating one and we propose to use expansions of this difference related to Edgeworth series to measure their accuracy as λ = μ t diverges to infinity. Using these expansions, several statements concerning the quality of approximations for the distribution of the aggregate claim process can find theoretical support. Other statements can be disproved on the same grounds. Finally, we investigate numerically the accuracy of the proposed formulas.

scholarly journals Asymptotics for the time of ruin in the war of attrition

2017 ◽  
Vol 49 (2) ◽  
pp. 388-410 ◽  
Author(s):  
Philip A. Ernst ◽  
Ilie Grigorescu
Keyword(s):  
Distribution Function ◽  
Explicit Formula ◽  
Cumulative Distribution Function ◽  
Cumulative Distribution ◽  
Fluid Limit ◽  
War Of Attrition ◽  
Time Of Ruin ◽  
Standard Normal ◽  
The Difference ◽  
The Time Of Ruin

AbstractWe consider two players, starting withmandnunits, respectively. In each round, the winner is decided with probability proportional to each player's fortune, and the opponent loses one unit. We prove an explicit formula for the probabilityp(m,n) that the first player wins. Whenm~Nx0,n~Ny0, we prove the fluid limit asN→ ∞. Whenx0=y0,z→p(N,N+z√N) converges to the standard normal cumulative distribution function and the difference in fortunes scales diffusively. The exact limit of the time of ruin τNis established as (T- τN) ~N-βW1/β, β = ¼,T=x0+y0. Modulo a constant,W~ χ21(z02/T2).

scholarly journals SYSTEM RELIABILITY AND WEIGHTED LATTICE POLYNOMIALS

2008 ◽  
Vol 22 (3) ◽  
pp. 373-388 ◽  
Author(s):  
Alexander Dukhovny ◽  
Jean-Luc Marichal
Keyword(s):  
System Reliability ◽  
Cumulative Distribution Function ◽  
Probability Generating Function ◽  
Joint Probability ◽  
Random Variable ◽  
Cumulative Distribution ◽  
Special Cases ◽  
Indicator Variables ◽  
Lattice Polynomials ◽  
Lattice Polynomial

The lifetime of a system of connected units under some natural assumptions can be represented as a random variable Y defined as a weighted lattice polynomial of random lifetimes of its components. As such, the concept of a random variable Y defined by a weighted lattice polynomial of (lattice-valued) random variables is considered in general and in some special cases. The central object of interest is the cumulative distribution function of Y. In particular, numerous results are obtained for lattice polynomials and weighted lattice polynomials in the case of independent arguments and in general. For the general case, the technique consists in considering the joint probability generating function of “indicator” variables. A connection is studied between Y and order statistics of the set of arguments.

scholarly journals Bin-Free Fitting of Probability Distributions Emphasizing DNA Histograms

2017 ◽  
Author(s):  
Nash Rochman
Keyword(s):  
Cumulative Distribution Function ◽  
Probability Distributions ◽  
Cumulative Distribution ◽  
Data Set ◽  
Cell Synchronization ◽  
Approximate Probability ◽  
A Cell ◽  
The Right ◽  
Probability Density Function Pdf ◽  
Dna Histograms

AbstractIt is often challenging to find the right bin size when constructing a histogram to represent a noisy experimental data set. This problem is frequently faced when assessing whether a cell synchronization experiment was successful or not. In this case the goal is to determine whether the DNA content is best represented by a unimodal, indicating successful synchronization, or bimodal, indicating unsuccessful synchronization, distribution. This choice of bin size can greatly affect the interpretation of the results; however, it can be avoided by fitting the data to a cumulative distribution function (CDF). Fitting data to a CDF removes the need for bin size selection. The sorted data can also be used to reconstruct an approximate probability density function (PDF) without selecting a bin size. A simple CDF-based approach is presented and the benefits and drawbacks relative to usual methods are discussed.

scholarly journals Nondecreasing Lower Bound on the Poisson Cumulative Distribution Function for z Standard Deviations Above the Mean

2013 ◽  
Vol 50 (4) ◽  
pp. 909-917
Author(s):  
M. Bondareva
Keyword(s):  
Distribution Function ◽  
Lower Bound ◽  
Cumulative Distribution Function ◽  
Random Variable ◽  
Step Function ◽  
Cumulative Distribution ◽  
Control Parameters ◽  
Poisson Random Variable ◽  
The Mean ◽  
Standard Deviations

In this paper we discuss a nondecreasing lower bound for the Poisson cumulative distribution function (CDF) at z standard deviations above the mean λ, where z and λ are parameters. This is important because the normal distribution as an approximation for the Poisson CDF may overestimate or underestimate its value. A sharp nondecreasing lower bound in the form of a step function is constructed. As a corollary of the bound's properties, for a given percent α and parameter λ, the minimal z is obtained such that, for any Poisson random variable with the mean greater or equal to λ, its αth percentile is at most z standard deviations above its mean. For Poisson distributed control parameters, the corollary allows simple policies measuring performance in terms of standard deviations from a benchmark.

The joint asymptotic distribution of the k-smallest sample spacings

1969 ◽  
Vol 6 (02) ◽  
pp. 442-448
Author(s):  
Lionel Weiss
Keyword(s):  
Distribution Function ◽  
Probability Density Function ◽  
Probability Density ◽  
Density Function ◽  
Cumulative Distribution Function ◽  
Open Interval ◽  
Cumulative Distribution ◽  
The Right ◽  
Sample Spacings ◽  
Independent Identically Distributed

Suppose Q 1 ⋆, … Q n ⋆ are independent, identically distributed random variables, each with probability density function f(x), cumulative distribution function F(x), where F(1) – F(0) = 1, f(x) is continuous in the open interval (0, 1) and continuous on the right at x = 0 and on the left at x = 1, and there exists a positive C such that f(x) &gt; C for all x in (0, l). f(0) is defined as f(0+), f(1) is defined as f(1–).

NONPARAMETRIC KERNEL DISTRIBUTION FUNCTION ESTIMATION NEAR ENDPOINTS

2021 ◽  
Vol 10 (12) ◽  
pp. 3679-3697
Author(s):  
N. Almi ◽  
A. Sayah
Keyword(s):  
Distribution Function ◽  
Cumulative Distribution Function ◽  
Kernel Estimator ◽  
Real Data ◽  
Cumulative Distribution ◽  
Function Estimation ◽  
Distribution Function Estimation ◽  
The Right ◽  
Nonparametric Kernel ◽  
Better Than

In this paper, two kernel cumulative distribution function estimators are introduced and investigated in order to improve the boundary effects, we will restrict our attention to the right boundary. The first estimator uses a self-elimination between modify theoretical Bias term and the classical kernel estimator itself. The basic technique of construction the second estimator is kind of a generalized reflection method involving reflection a transformation of the observed data. The theoretical properties of our estimators turned out that the Bias has been reduced to the second power of the bandwidth, simulation studies and two real data applications were carried out to check these phenomena and are conducted that the proposed estimators are better than the existing boundary correction methods.

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