USC Department of Mathematics Probability & Statistics Seminar

Griffith Conrad Evans

Any opinions expressed in this memoir are those of the author(s) and do not necessarily reflect the views of the National Academy of Sciences. University of Rome on a Sheldon Traveling Fellowship from Harvard. He began his teaching career in 1912 as assistant professor of mathematics at the newly established Rice Institute , now Rice University, in Houston, Texas. He became professor there in 1...

Department of Mathematics Statistics Seminar

08201 Abstracts Collection - Design and Analysis of Randomized and Approximation Algorithms

The Dagstuhl Seminar on “Design and Analysis of Randomized and Approximation Algorithms” (Seminar 11241) was held at Schloss Dagstuhl between June 13–17, 2011. There were 26 regular talks and several informal and open problem session contributions presented during this seminar. Abstracts of the presentations have been put together in this seminar proceedings document together with some links to...

Testing a Point Null Hypothesis against One-Sided for Non Regular and Exponential Families: The Reconcilability Condition to P-values and Posterior Probability

In this paper, the reconcilability between the P-value and the posterior probability in testing a point null hypothesis against the one-sided hypothesis is considered. Two essential families, non regular and exponential family of distributions, are studied. It was shown in a non regular family of distributions; in some cases, it is possible to find a prior distribution function under which P-va...

A Mixture Model for Stock Prices

Building on a Lucas tree asset pricing model, this paper relates the tail risk of asset prices to the component-density of a Normal-Laplace mixture distribution and proposes a new method to measure extreme event behavior in financial markets. The hidden state of the model represents the underlying state of the macroeconomy, which follows a two-state Markov regime switching process. Conditional ...