Now showing items 1-11 of 11

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

      Ibragimov, Rustam (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 

      Ibragimov, Rustam; Sharakhmetov, Shaturgun (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. 

      Ibragimov, Rustam (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. 

      Ibragimov, Rustam; Walden, Johan (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 

      Ibragimov, Rustam; Ibragimov, Marat (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. 

      de la Peña, Victor H.; Ibragimov, Rustam; Sharakhmetov, Shaturgun (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. 

      Ibragimov, Rustam; Ibragimov, Marat (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. 

      Ibragimov, Rustam; Walden, Johan (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. 

      Ibragimov, Rustam; Phillips, Peter C.B. (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. 

      Ibragimov, Rustam (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"? 

      Ibragimov, Rustam (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 ...