On the Relationship between the Conditional and Unconditional Distribution of a Random Variable

This paper studies the relationship between the unconditional and conditional distribution of the same random variable, say Y, when the distribution of the conditioning random variable X is of a known form. The problem is tackled in the general case where the distribution of Y and Y given X are mixed. Attention is focused to two particular cases. In the first X is assumed to follow a Poisson distribution; in the second X is allowed to have a mixed Poisson form. Potential applications are also discusse

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki’s (2005) poly-model SPEC algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that traders using the standardized prediction error criterion (SPEC) for deciding which model’s forecasts to use at any given point in time achieve the highest profits

Discrete uniform mixtures via posterior means

Beta-Pascal distribution, discrete uniform distribution, identification of mixtures, mixture, negative binomial distribution, negative hypergeometric distribution, posterior mean, primary 62H05, secondary 62F15,