High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The accuracy of the approximation as well as its speed are compared to and shown to be superior to those of Monte Carlo simulation.

This work is concerned with finite range bounds on the variance of individual eigenvalues of Wigner random matrices, in the bulk and at the edge of the spectrum, as well as for some intermediate eigenvalues. Relying on the GUE example, which needs to be investigated first, the main bounds are extended to families of Hermitian Wigner matrices by means of the Tao and Vu Four Moment Theorem and re...

Determining how genetic variance changes under selection in natural populations has proved to be a very resilient problem in evolutionary genetics. In the same way that understanding the availability of genetic variance within populations requires the simultaneous consideration of genetic variance in sets of functionally related traits, determining how genetic variance changes under selection i...

We present an analysis of the spatial covariance structure of an articulated motion prior in which joint angles have a known covariance structure. From this, a well-known, but often ignored, deficiency of the kinematic skeleton representation becomes clear: spatial variance not only depends on limb lengths, but also increases as the kinematic chains are traversed. We then present two similar Ga...

This work deals with the Monte Carlo method for stationary device simulation, known as the Single-Particle Monte Carlo method. A thorough mathematical analysis of this method clearly identifies the independent, identically distributed random variables of the simulated process. Knowledge of these random variables allows usage of straight-forward estimates of the stochastic error. The presented m...

Determining the dimensionality of G provides an important perspective on the genetic basis of a multivariate suite of traits. Since the introduction of Fisher's geometric model, the number of genetically independent traits underlying a set of functionally related phenotypic traits has been recognized as an important factor influencing the response to selection. Here, we show how the effective d...

In 2001 we introduced the notions of possibilistic mean value and variance of fuzzy numbers. In this paper we list some works that use these notions. We shall mention some application areas as well. 1 Possibilistic mean value, variance, covariance and correlation A fuzzy number A is a fuzzy set R with a normal, fuzzy convex and continuous membership function of bounded support. The family of fu...

Brain activation studies based on PET or fMRI seek to explore neuroscience questions by statistically analyzing the acquired images to produce statistical parametric images (SPIs). An increasingly wide range of univariate and multivariate analysis techniques are used to generate SPIs in order to detect mean-signal activations and/or long-range spatial interactions. However, little is known abou...

The central moments of the multivariate normal distribution are functions of its n×n variance-covariance matrix Σ. These moments can be expressed symbolically as linear combinations of products of powers of the elements of Σ. A formula for these moments derived by differentiating the characteristic function is developed. The formula requires searching integer matrices for matrices whose n succe...