Skew Models II

If g and G are the pdf and the cdf of a distribution symmetric around 0 then the pdf 2g(u)G(λ u) is said to define a skew distribution. In this paper, we provide a mathematical treatment of the skew distributions when g and G are taken to come from one of Pearson type II, Pearson type VII or the generalized t distribution.      

Bayesian Copulae Distributions, with Application to Operational Risk Management

The aim of this paper is to introduce a new methodology for operational risk management, based on Bayesian copulae. One of the main problems related to operational risk management is understanding the complex dependence structure of the associated variables. In order to model this structure in a flexible way, we construct a method based on copulae. This allows us to split the joint multivariate probability distribution of a random vector of losses into individual components characterized by univariate marginals. Thus, copula functions embody all the information about the correlation between variables and provide a useful technique for modelling the dependency of a high number of marginals. Another important problem in operational risk modelling is the lack of loss data. This suggests the use of Bayesian models, computed via simulation methods and, in particular, Markov chain Monte Carlo. We propose a new methodology for modelling operational risk and for estimating the required capital. This methodology combines the use of copulae and Bayesian models.      

The sharp Jackson inequality in the spaceL p on the sphere

The sharp Jackson inequality in the spaceL _p, 1≤p<2, on the unit Euclidean sphereS ⁿ⁻¹ ,n≥3, is proved. Forn=2, it was established by N. I. Chernykh. Translated fromMatematicheskie Zametki, Vol. 66, No. 1, pp. 50–62, July, 1999.     

On the Equivalence and Generalized of Weyl Theorem Weyl Theorem

We know that an operator T acting on a Banach space satisfying generalized Weyl＇s theorem also satisfies Weyl＇s theorem. Conversely we show that if all isolated eigenvalues of T are poles of its resolvent and if T satisfies Weyl＇s theorem, then it also satisfies generalized Weyl＇s theorem. We give also a sinlilar result for the equivalence of a-Weyl＇s theorem and generalized a-Weyl＇s theorem. Using these results, we study the case of polaroid operators, and in particular paranormal operators.     

Weyl’s Theorem for Algebraically Quasi-class A Operators

If T or T* is an algebraically quasi-class A operator acting on an infinite dimensional separable Hilbert space then we prove that Weyl’s theorem holds for f(T) for every f ∈ H(σ(T)), where H(σ(T)) denotes the set of all analytic functions in an open neighborhood of σ(T). Moreover, if T* is algebraically quasi-class A then a-Weyl’s theorem holds for f(T). Also, if T or T* is an algebraically quasi-class A operator then we establish that the spectral mapping theorems for the Weyl spectrum and the essential approximate point spectrum of T for every f ∈ H(σ(T)), respectively. This research was supported by the Kyung Hee University Research Fund in 2007 (KHU- 20071605).     

Random Flights in Higher Spaces

We consider in this paper random flights in ℝ ^d performed by a particle changing direction of motion at Poisson times. Directions are uniformly distributed on hyperspheres S ₁ ^d . We obtain the conditional characteristic function of the position of the particle after n changes of direction. From this characteristic function we extract the conditional distributions in terms of (n+1)−fold integrals of products of Bessel functions. These integrals can be worked out in simple terms for spaces of dimension d=2 and d=4. In these two cases also the unconditional distribution is determined in explicit form. Some distributions connected with random flights in ℝ³ are discussed and in some special cases are analyzed in full detail. We point out that a strict connection between these types of motions with infinite directions and the equation of damped waves holds only for d=2. Related motions with random velocity in spaces of lower dimension are analyzed and their distributions derived.     

Bessel (Riesz) potentials on banach function spaces and their applications I theory

In this paper, we shall introduce the concept of the Bessel (Riesz) potential Köthe function spacesX ^s (X ^s ) and give some dual estimates for a class of operators determined by a semi-group in the spacesL ^q (?T, T; X ^s ) (L ^q (?T, T; X ^s )). Moreover, some time-spaceL ^p ?L ^p′ estimates for the semi-group exp(it(-Δ) ^m/2) and the operatorA:=∫ ₀ ^t exp(i(t-τ)(-Δ) ^m/2)·dτ in the Lebesgue-Besov spacesL ^q (?T,T;B _p,2 ^s are given. On the basis of these results, in a subsequent paper we shall present some further applications to a class of nonlinear wave equations.     

On the law S ( S ( x , y ), T ( x , y )) = S ( x , y ) of fuzzy logic

Motivated by some functional models arising in fuzzy logic, when classical boolean relations between sets are generalized, we study the functional equation S(S(x, y), T(x, y)) = S(x, y), where S is a continuous t-conorm and T is a continuous t-norm. Some interesting methods for solving this type of equations are introduced.     

A double generalized Pareto distribution

Papastathopoulos and Tawn [Papastathopoulos, I., Tawn, J.A., 2013. A generalized Student’s t$t$-distribution. Statistics & Probability Letters 83, 70–77] proposed a generalization of Student’s t$t$ distribution to account for negative degrees of freedom. Here, an alternative distribution that has simpler mathematical properties is discussed. Several advantages are established for using the alternative distribution over Papastathopoulos and Tawn’s generalization.     

Euler’s constant, q-logarithms, and formulas of Ramanujan and Gosper

The aim of the paper is to relate computational and arithmetic questions about Euler’s constant γ with properties of the values of the q-logarithm function, with natural choice of~q. By these means, we generalize a classical formula for γ due to Ramanujan, together with Vacca’s and Gosper’s series for γ, as well as deduce irrationality criteria and tests and new asymptotic formulas for computing Euler’s constant. The main tools are Euler-type integrals and hypergeometric series. 2000 Mathematics Subject Classification Primary—11Y60; Secondary—11J72, 33C20, 33D15 The work of the second author is supported by an Alexander von Humboldt research fellowship Dedication: To Leonhard Euler on his 300th birthday.     

On L 1 Bounds for Asymptotic Normality of Some Weakly Dependent Random Variables

In the present paper, we consider L ₁ bounds for asymptotic normality for the sequence of r.v.’s X ₁,X ₂,… (not necessarily stationary) satisfying the ψ-mixing condition. The L ₁ bounds have been obtained in terms of Lyapunov fractions which, in a particular case, under finiteness of the third moments of summands and the finiteness of ∑ _r≥1 r ² ψ(r), are of order O(n ^−1/2), where the function ψ participates in the definition of the ψ-mixing condition.      

Geometric Generalization of the Exponential Law

For the multivariate ℓ₁-norm symmetric distributions, which are generalizations of the n-dimensional exponential distribution with independent marginals, a geometric representation formula is given, together with some of its basic properties. This formula can especially be applied to a new developed and statistically well motivated system of sets. From that the distribution of a t-statistic adapted for the two-parameter exponential distribution and its generalizations is determined. Asymptotic normality of this adapted t-statistic is shown under certain conditions.     

Algebraic independence of the values ofE-functions at singular points and Siegel’s conjecture

We prove a generalization of Shidlovskii’s theorem on the algebraic independence of the values ofE-functions satisfying a system of linear differential equations that is well known in the theory of transcendental numbers. We consider the case in which the values ofE-functions are taken at singular points of these systems. Using the obtained results, we prove Siegel’s conjecture that, for the case of first-order differential equations, anyE-function satisfying a linear differential equation is representable as a polynomial in hypergeometricE-functions. Translated fromMatematicheskie Zametki, Vol. 67, No. 2, pp. 174–190, February, 2000.     

Some results involving Bessel function and Fox’s H-function of two variables

In this paper, we have presented two integrals and employed them to establish one Fourier Bessel expansion for Fox’s H-function of two variables.     

Jensen’s Inequality for Backward Stochastic Differential Equations

Abstract Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen’s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g(t, 0) ≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen’s inequality for g- expectation in [4, 7–9]. *Project supported by the National Natural Science Foundation of China (No.10325101) and the Science Foundation of China University of Mining and Technology.     

Family of multivariate generalized t distributions

In this paper, we introduce a new family of multivariate distributions as the scale mixture of the multivariate power exponential distribution introduced by Gómez et al. (Comm. Statist. Theory Methods 27(3) (1998) 589) and the inverse generalized gamma distribution. Since the resulting family includes the multivariate t distribution and the multivariate generalization of the univariate GT distribution introduced by McDonald and Newey (Econometric Theory 18 (11) (1988) 4039) we call this family as the “multivariate generalized t-distributions family”, or MGT for short. We show that this family of distributions belongs to the elliptically contoured distributions family, and investigate the properties. We give the stochastic representation of a random variable distributed as a multivariate generalized t distribution. We give the marginal distribution, the conditional distribution and the distribution of the quadratic forms. We also investigate the other properties, such as, asymmetry, kurtosis and the characteristic function.     

On the Gerber-Shiu discounted penalty function for subexponential claims

We obtain the asymptotics of the Gerber-Shiu discounted penalty function in the classical Lundberg model. We cosider claims from a class of subexponential distributions and find the asymptotics as the initial surplus x tends to infinity. The main term of the discounted penalty function ψ(x, δ) has different expressions in the cases where the interest rate δ > 0 and where δ = 0. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 4, pp. 598–605, October–December, 2006.     

On the distribution of the sequence of fractional parts of a slowly increasing exponential function

In this paper for a slowly increasing exponential function we study the degree of deviation of the distribution of the sequence of its fractional parts from the “ideal” uniform distribution. An estimate is given which can appropriately be called the measure of irregularity of the distribution of a given sequence. Translated fromMatematicheskie Zametki, Vol. 65, No. 1, pp. 148–152, January, 1999.     

Waring’s problem with restrictions on <Emphasis Type="Italic">q</Emphasis>-additive functions

In a paper of Thuswaldner and Tichy, a version of Waring’s problem with restrictions on the sum of digits was considered. This paper is devoted to a generalization of their result to arbitrary completely q-additive functions. This work was supported by Austrian Science Fund project no. S9611.     

Some more identities of the Rogers-Ramanujan type

In this we paper we prove several new identities of the Rogers-Ramanujan-Slater type. These identities were found as the result of computer searches. The proofs involve a variety of techniques, including series-series identities, Bailey pairs, a theorem of Watson on basic hypergeometric series, generating functions and miscellaneous methods. The research of the first author was partially supported by National Science Foundation grant DMS-0300126.