We consider a multivariate survival distribution derived from an inverse Gaussian mixture of exponential distributions. The variables of this multivariate distribution are shown to exhibit total ...

Often the time derivative of a measured variable is of as much interest as the variable itself. For a growing population of biological cells, for example, the population’s growth rate is typically ...

Methods for simulation from multivariate Gaussian distributions restricted to be from outside an arbitrary ellipsoidal region are often needed in applications. A standard rejection algorithm that ...

All sorts of physical processes in this analog world exhibit some degree of randomness. Think of noise, for example. Many noisy processes are described by Gaussian probability distributions. We should ...

This paper compares methods for computing the distribution of loss from defaults in a credit portfolio. The methods are applied in the Gaussian copula framework for credit risk and take advantage of ...