53 citations · 65 across the 13 of their papers we have counts for
3 papers · 1 filter
Prediction and estimation of random variables with infinite mean or variance
Victor de la Pena, Henryk Gzyl, Silvia Mayoral +2
In this paper we propose an optimal predictor of a random variable that has either an infinite mean or an infinite variance. The method consists of transforming the random variable…
On the relationship between beta-Bartlett and Uhlig extended processes
Víctor Peña, Kaoru Irie
Stochastic volatility processes are used in multivariate time-series analysis to track time-varying patterns in covariance matrices. Uhlig extended and beta-Bartlett processes are…
Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series
Victor H. de la Peña, Rustam Ibragimov, Shaturgun Sharakhmetov
In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product o…