scholarly journals Independence test of a continuous random variable and a discrete random variable

2020 ◽  
Vol 27 (3) ◽  
pp. 285-299
Author(s):  
Jinyoung Yanga ◽  
Mijeong Kim
Author(s):  
Viktor Afonin ◽  
Vladimir Valer'evich Nikulin

The article focuses on attempt to optimize two well-known Markov systems of queueing: a multichannel queueing system with finite storage, and a multichannel queueing system with limited queue time. In the Markov queuing systems, the intensity of the input stream of requests (requirements, calls, customers, demands) is subject to the Poisson law of the probability distribution of the number of applications in the stream; the intensity of service, as well as the intensity of leaving the application queue is subject to exponential distribution. In a Poisson flow, the time intervals between requirements are subject to the exponential law of a continuous random variable. In the context of Markov queueing systems, there have been obtained significant results, which are expressed in the form of analytical dependencies. These dependencies are used for setting up and numerical solution of the problem stated. The probability of failure in service is taken as a task function; it should be minimized and depends on the intensity of input flow of requests, on the intensity of service, and on the intensity of requests leaving the queue. This, in turn, allows to calculate the maximum relative throughput of a given queuing system. The mentioned algorithm was realized in MATLAB system. The results obtained in the form of descriptive algorithms can be used for testing queueing model systems during peak (unchanged) loads.


Entropy ◽  
2021 ◽  
Vol 23 (8) ◽  
pp. 1063
Author(s):  
Brendan K. Beare

A function which transforms a continuous random variable such that it has a specified distribution is called a replicating function. We suppose that functions may be assigned a price, and study an optimization problem in which the cheapest approximation to a replicating function is sought. Under suitable regularity conditions, including a bound on the entropy of the set of candidate approximations, we show that the optimal approximation comes close to achieving distributional replication, and close to achieving the minimum cost among replicating functions. We discuss the relevance of our results to the financial literature on hedge fund replication; in this case, the optimal approximation corresponds to the cheapest portfolio of market index options which delivers the hedge fund return distribution.


Filomat ◽  
2020 ◽  
Vol 34 (2) ◽  
pp. 543-549
Author(s):  
Buket Simsek

The aim of this present paper is to establish and study generating function associated with a characteristic function for the Bernstein polynomials. By this function, we derive many identities, relations and formulas relevant to moments of discrete random variable for the Bernstein polynomials (binomial distribution), Bernoulli numbers of negative order, Euler numbers of negative order and the Stirling numbers.


Author(s):  
Lacramioara Balan ◽  
Rajesh Paleti

Traditional crash databases that record police-reported injury severity data are prone to misclassification errors. Ignoring these errors in discrete ordered response models used for analyzing injury severity can lead to biased and inconsistent parameter estimates. In this study, a mixed generalized ordered response (MGOR) model that quantifies misclassification rates in the injury severity variable and adjusts the bias in parameter estimates associated with misclassification was developed. The proposed model does this by considering the observed injury severity outcome as a realization from a discrete random variable that depends on true latent injury severity that is unobservable to the analyst. The model was used to analyze misclassification rates in police-reported injury severity in the 2014 General Estimates System (GES) data. The model found that only 68.23% and 62.75% of possible and non-incapacitating injuries were correctly recorded in the GES data. Moreover, comparative analysis with the MGOR model that ignores misclassification not only has lower data fit but also considerable bias in both the parameter and elasticity estimates. The model developed in this study can be used to analyze misclassification errors in ordinal response variables in other empirical contexts.


2019 ◽  
Vol 51 (4) ◽  
pp. 1209-1235
Author(s):  
M. Ferreira ◽  
D. Pinheiro ◽  
S. Pinheiro

AbstractWe consider a two-player zero-sum stochastic differential game with a random planning horizon and diffusive state variable dynamics. The random planning horizon is a function of a non-negative continuous random variable, which is assumed to be independent of the Brownian motion driving the state variable dynamics. We study this game using a combination of dynamic programming and viscosity solution techniques. Under some mild assumptions, we prove that the value of the game exists and is the unique viscosity solution of a certain nonlinear partial differential equation of Hamilton–Jacobi–Bellman–Isaacs type.


1973 ◽  
Vol 11 (3) ◽  
pp. 362-364 ◽  
Author(s):  
P. A. Parker ◽  
R. N. Scott

2018 ◽  
Vol 10 (03) ◽  
pp. 1850030
Author(s):  
N. K. Sudev ◽  
K. P. Chithra ◽  
K. A. Germina ◽  
S. Satheesh ◽  
Johan Kok

Coloring the vertices of a graph [Formula: see text] according to certain conditions can be considered as a random experiment and a discrete random variable [Formula: see text] can be defined as the number of vertices having a particular color in the proper coloring of [Formula: see text]. The concepts of mean and variance, two important statistical measures, have also been introduced to the theory of graph coloring and determined the values of these parameters for a number of standard graphs. In this paper, we discuss the coloring parameters of the Mycielskian of certain standard graphs.


2020 ◽  
Vol 07 (01) ◽  
pp. 2050009
Author(s):  
Francesco Strati ◽  
Luca G. Trussoni

In this paper, we shall propose a Monte Carlo simulation technique applied to a G2++ model: even when the number of simulated paths is small, our technique allows to find a precise simulated deflator. In particular, we shall study the transition law of the discrete random variable :[Formula: see text] in the time span [Formula: see text] conditional on the observation at time [Formula: see text], and we apply it in a recursive way to build the different paths of the simulation. We shall apply the proposed technique to the insurance industry, and in particular to the issue of pricing insurance contracts with embedded options and guarantees.


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