4 papers
The Elliptically Optimal Confidence Interval: A Bivariate Extension of Wilson's Score Method
Nawaf Mohammed
Constructing a confidence interval for the difference between two independent binomial proportions involves a nuisance direction that is not identified by the estimand. The one-sam…
Joint Exclusivity
Nawaf Mohammed
We introduce \emph{joint exclusivity} (JE), a flexible extension of mutual exclusivity for non-negative random vectors that prohibits only the simultaneous positivity of all co…
Tail Structure and the Ordering of the Standard Deviation and Gini Mean Difference
Nawaf Mohammed
We investigate the ordering between two fundamental measures of dispersion for real-valued risks: the standard deviation (SD) and the Gini mean difference (GMD). Our analysis is dr…
VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables
Nawaf Mohammed
We investigate the extremal aggregation behavior of Value-at-Risk (VaR) -- that is, its additivity properties across all probability levels -- for sums of one-sided random variable…