Now showing items 1-11 of 11

• #### Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions. ﻿

(Cambridge University Press, 2007)
This paper focuses on the analysis of efficiency, peakedness, and majorization properties of linear estimators under heavy-tailedness assumptions. We demonstrate that peakedness and majorization properties of log-concavely ...
• #### The exact constant in the Rosenthal inequality for random variables with mean zero ﻿

(Society for Industrial and Applied Mathematics, 2002)
Let $\xi_1, \ldots, \xi_n$ be independent random variables with ${\bf E}\xi_i=0,$ ${\bf E}|\xi_i|^t<\infty$, $t>2$, $i=1,\ldots, n,$ and let $S_n=\sum_{i=1}^n \xi_i.$ In the present paper we prove that the exact constant ...
• #### Heavy-tailedness and Threshold Sex Determination. ﻿

(Elsevier, 2008)
This paper studies the properties of the sex ratio in two-period models of threshold (e.g., polygenic or temperature-dependent) sex determination under heavy-tailedness in the framework of possibly skewed stable distributions ...
• #### The limits of diversification when losses may be large. ﻿

(Elsevier, 2007)
Recent results in value at risk analysis show that, for extremely heavy-tailed risks with unbounded distribution support, diversification may increase value at risk, and that generally it is difficult to construct an ...
• #### Market Demand Elasticity and Income Inequality ﻿

(Springer Verlag, 2007)
This paper deals with the analysis of the relation between aggregate demand for a consumption good and the distribution of income across consumers. We obtain sufficient conditions under which changes in income inequality ...
• #### On Extremal Distributions and Sharp L[sub]p-Bounds For Sums of Multilinear Forms. ﻿

(The Institute of Mathematical Statistics, 2003)
In this paper we present a study of the problem of approximating the expectations of functions of statistics in independent and dependent random variables in terms of the expectations of functions of the component random ...
• #### Optimal Constants in the Rosenthal Inequality for Random Variables with Zero Odd Moments. ﻿

(Elsevier Science B.V., Amsterdam, 2008)
We obtain estimates for the best constant in the Rosenthal inequality View the MathML source for independent random variables ξ1,…,ξn with l zero first odd moments, lgreater-or-equal, slanted1. The estimates are sharp in ...
• #### Portfolio Diversification under Local and Moderate Deviations from Power Laws. ﻿

(Elsevier, 2008)
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. It is shown that diversification of a portfolio of convex functions of heavy-tailed risks increases the portfolio’s riskiness ...
• #### Regression asymptotics using martingale convergence methods. ﻿

(Cambridge University Press, 2008)
Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has ...
• #### A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory. ﻿

(Springer International, 2008)
In this paper, we study transmission of traits through generations in multifactorial inheritance models with sex- and time-dependent heritability. We further analyze the implications of these models under heavy-tailedness ...
• #### Thou shalt not diversity: Why "Two of Every Sort"? ﻿

(Apt (Applied Probability Trust), 2007)
This paper presents a study of the intertemporal propagation of distributional properties of phenotypes in general polygenic multisex inheritance models with sex- and time-dependent heritabilities. It further analyzes the ...