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Estimating Random Variables from Random Sparse Observations
Discrete random variable random function decoupling principle
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2015/8/21
Let X1, . . . ,Xn be a collection of iid discrete random variables, and Y1, . . . , Ym a set of noisy observations of such variables. Assume each observation Ya to be a random function of some a rando...
Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes
Markov Decision Processes Conditional Value-at-Risk Risk Optimal Policy Inventory Model
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2013/1/30
We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced usi...
Precise Large Deviations for Sums of Negatively Associated Random Variables with Common Dominatedly Varying Tails
negatively associated dominatedly varying tail precise large deviation
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2007/12/12
In this paper, we obtain results on precise large deviations for non-random and random sums of negatively associated nonnegative random variables with common dominatedly varying tail distribution func...
Moderate Deviations for Random Sums of Heavy-Tailed Random Variables
large deviations moderate deviations extended regular variation Poisson process
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2007/12/11
Let $\{X_n ; n\geq 1\}$ be a sequence of independent non-negative random variables with common distribution function $F$ having extended regularly varying tail and finite mean $\mu=E(X_1)$ and let $\{...