Dembo, Amir
Overview
Works:  59 works in 134 publications in 1 language and 1,712 library holdings 

Genres:  Conference proceedings 
Roles:  Author, Thesis advisor, Editor 
Classifications:  QA273.67, 519.534 
Publication Timeline
.
Most widely held works by
Amir Dembo
Large deviations techniques and applications
by
Amir Dembo(
Book
)
35 editions published between 1992 and 2010 in English and held by 959 WorldCat member libraries worldwide
35 editions published between 1992 and 2010 in English and held by 959 WorldCat member libraries worldwide
Lectures on probability theory and statistics Ecole d'Eté de Probabilités de SaintFlour XXXIII2003
by
Amir Dembo(
)
26 editions published in 2005 in English and Undetermined and held by 612 WorldCat member libraries worldwide
Annotation
26 editions published in 2005 in English and Undetermined and held by 612 WorldCat member libraries worldwide
Annotation
Large portfolio losses
by
Amir Dembo(
Book
)
10 editions published in 2002 in English and held by 74 WorldCat member libraries worldwide
Abstract: This paper provide a largedeviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating exposure limits, and in allocating risk capital across different lines of business. Assuming that, for a given total loss, the distress caused by the loss is larger if the loss occurs within a smaller time period, we provide a largedeviations estimate of the likelihood that there will exist a subperiod of the future planning period during which a total loss of the critical severity occurs. Under conditions, this calculation is reduced to the calculation of the likelihood of the same sized loss over a fixed initial time interval whose length is a property of the portfolio and the critical loss level
10 editions published in 2002 in English and held by 74 WorldCat member libraries worldwide
Abstract: This paper provide a largedeviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating exposure limits, and in allocating risk capital across different lines of business. Assuming that, for a given total loss, the distress caused by the loss is larger if the loss occurs within a smaller time period, we provide a largedeviations estimate of the likelihood that there will exist a subperiod of the future planning period during which a total loss of the critical severity occurs. Under conditions, this calculation is reduced to the calculation of the likelihood of the same sized loss over a fixed initial time interval whose length is a property of the portfolio and the critical loss level
Large deviations and applications : the finite dimensional case
by
Amir Dembo(
Book
)
3 editions published in 1991 in English and held by 5 WorldCat member libraries worldwide
These notes, which form the first chapter of a forthcoming book, are intended to serve as lecture notes on the topic of large deviations and applications for students whose background and interests are in applications which involve finite dimensional spaces. Although narrow in their scope, these notes present a good deal of the methods available for more general situations. A glaring omission is the method of subadditivity, which will be discussed in another chapter in the book. Another deficiency of these notes is the sketchy bibliography and historical notes. We hope to correct this in the book
3 editions published in 1991 in English and held by 5 WorldCat member libraries worldwide
These notes, which form the first chapter of a forthcoming book, are intended to serve as lecture notes on the topic of large deviations and applications for students whose background and interests are in applications which involve finite dimensional spaces. Although narrow in their scope, these notes present a good deal of the methods available for more general situations. A glaring omission is the method of subadditivity, which will be discussed in another chapter in the book. Another deficiency of these notes is the sketchy bibliography and historical notes. We hope to correct this in the book
Maximum aposteriori estimation of random fields
by
Amir Dembo(
Book
)
2 editions published between 1988 and 1989 in English and held by 3 WorldCat member libraries worldwide
2 editions published between 1988 and 1989 in English and held by 3 WorldCat member libraries worldwide
Maximum aposteriori estimation of random fields : elliptic Gaussian fields observed via a noisy channel
by
Amir Dembo(
Book
)
2 editions published between 1988 and 1989 in English and held by 3 WorldCat member libraries worldwide
An extension of the "prior density for path" (OnsagerMachlup functional) is defined and shown to exist for Gaussian fields generated by solutions of elliptic Partial Differential Equations (PDEs) driven by white noise. This functional is then used to define and solve the MAP estimation of such fields observed via nonlinear noisy sensors. Existence results and a representation of the estimator are derived for this model
2 editions published between 1988 and 1989 in English and held by 3 WorldCat member libraries worldwide
An extension of the "prior density for path" (OnsagerMachlup functional) is defined and shown to exist for Gaussian fields generated by solutions of elliptic Partial Differential Equations (PDEs) driven by white noise. This functional is then used to define and solve the MAP estimation of such fields observed via nonlinear noisy sensors. Existence results and a representation of the estimator are derived for this model
Sanov's theorem for subsampling from individual sequences
by
Amir Dembo(
Book
)
2 editions published in 1994 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 1994 in English and held by 3 WorldCat member libraries worldwide
A large deviations analysis of range tracking loops
by
Amir Dembo(
Book
)
2 editions published in 1992 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 1992 in English and held by 3 WorldCat member libraries worldwide
Refinements of the gibbs conditioning principle
by
Amir Dembo(
Book
)
2 editions published in 1993 in English and held by 2 WorldCat member libraries worldwide
2 editions published in 1993 in English and held by 2 WorldCat member libraries worldwide
Lectures on Probability Theory and Statistics Ecole d ete de Probabilites de SaintFlour XXXIII  2003
by
Amir Dembo(
)
1 edition published in 2010 in English and held by 2 WorldCat member libraries worldwide
Annotation
1 edition published in 2010 in English and held by 2 WorldCat member libraries worldwide
Annotation
CugliandoloKurchan equations for dynamics of spinglasses
by
Gerard Ben Arous(
Book
)
1 edition published in 2004 in English and held by 1 WorldCat member library worldwide
1 edition published in 2004 in English and held by 1 WorldCat member library worldwide
The design of optimal uniform filter banks with specified composite response
by
Amir Dembo(
Book
)
1 edition published in 1985 in English and held by 1 WorldCat member library worldwide
1 edition published in 1985 in English and held by 1 WorldCat member library worldwide
High density associative memories
by
Amir Dembo(
Book
)
1 edition published in 1987 in English and held by 1 WorldCat member library worldwide
1 edition published in 1987 in English and held by 1 WorldCat member library worldwide
Cover times for Brownian motion and random walks in two dimensions
(
Book
)
1 edition published in 2002 in English and held by 1 WorldCat member library worldwide
1 edition published in 2002 in English and held by 1 WorldCat member library worldwide
Generalization of the window method for FIR digital filter design
by
Amir Dembo(
Book
)
1 edition published in 1983 in English and held by 1 WorldCat member library worldwide
1 edition published in 1983 in English and held by 1 WorldCat member library worldwide
Permutations with interval restrictions
by
Olena Bormashenko(
)
1 edition published in 2011 in English and held by 1 WorldCat member library worldwide
This thesis studies the problem of the random transposition walk on permutations with interval restrictions. The mixing time of this Markov chain is explored, and a number of different cases are considered. For the case of bounded interval restrictions, a polynomial bound for the mixing time is achieved. For a specific example of bounded interval restrictions called Fibonacci permutations, the correct order of the mixing time is derived. An example of a family of interval restriction matrices for which the random walk mixes in exponential time is provided, showing that the walk in general does not mix in polynomial time. The case of onesided interval restrictions is also studied, and cutoff is shown for a large class of onesided interval restriction matrices. Furthermore, examples are provided in which chisquared cutoff occurs, while total variation mixing occurs significantly earlier without cutoff. Finally, a coupling argument showing the correct order mixing time for the random transposition walk on the whole symmetric group is presented. This is achieved via projection to conjugacy classes and then a path coupling argument
1 edition published in 2011 in English and held by 1 WorldCat member library worldwide
This thesis studies the problem of the random transposition walk on permutations with interval restrictions. The mixing time of this Markov chain is explored, and a number of different cases are considered. For the case of bounded interval restrictions, a polynomial bound for the mixing time is achieved. For a specific example of bounded interval restrictions called Fibonacci permutations, the correct order of the mixing time is derived. An example of a family of interval restriction matrices for which the random walk mixes in exponential time is provided, showing that the walk in general does not mix in polynomial time. The case of onesided interval restrictions is also studied, and cutoff is shown for a large class of onesided interval restriction matrices. Furthermore, examples are provided in which chisquared cutoff occurs, while total variation mixing occurs significantly earlier without cutoff. Finally, a coupling argument showing the correct order mixing time for the random transposition walk on the whole symmetric group is presented. This is achieved via projection to conjugacy classes and then a path coupling argument
Some analyses of markov chains by the coupling method
by Aaron Matthew Smith(
)
1 edition published in 2012 in English and held by 1 WorldCat member library worldwide
This thesis is concerned with the nonasymptotic convergence rates of various Markov chains, and consists of two main sections. In the first section, I investigate the properties of random birth and death chains with fixed stationary distributions. The main results include a proof of the fact that random birth and death chains are in some sense less likely to exhibit cutoff than a certain natural family of birth and death chains, and conversely a proof that several natural families of random birth and death chains do exhibit cutoff. In the second section, I find accurate bounds for the convergence of Gibbs samplers on continuous state spaces. This includes a resolution of Aldous' conjecture on the mixing time of a sampler on the unit simplex, a generalization of work by Randall and Winkler on a related Gibbs sampler associated to a graph, and improvements on existing bounds on the convergence rates of Kac's walk on the sphere and a Gibbs sampler on narrow matrices with fixed row and column sums
1 edition published in 2012 in English and held by 1 WorldCat member library worldwide
This thesis is concerned with the nonasymptotic convergence rates of various Markov chains, and consists of two main sections. In the first section, I investigate the properties of random birth and death chains with fixed stationary distributions. The main results include a proof of the fact that random birth and death chains are in some sense less likely to exhibit cutoff than a certain natural family of birth and death chains, and conversely a proof that several natural families of random birth and death chains do exhibit cutoff. In the second section, I find accurate bounds for the convergence of Gibbs samplers on continuous state spaces. This includes a resolution of Aldous' conjecture on the mixing time of a sampler on the unit simplex, a generalization of work by Randall and Winkler on a related Gibbs sampler associated to a graph, and improvements on existing bounds on the convergence rates of Kac's walk on the sphere and a Gibbs sampler on narrow matrices with fixed row and column sums
WMMSE design digital filter banks with specified composite response
by
Amir Dembo(
Book
)
1 edition published in 1985 in English and held by 1 WorldCat member library worldwide
1 edition published in 1985 in English and held by 1 WorldCat member library worldwide
Filtering and parameter estimation for partially observed generalized Hawkes processes
by Anca Patricia Vacarescu(
)
1 edition published in 2011 in English and held by 1 WorldCat member library worldwide
We consider the nonlinear filtering problem for partially observed Generalized Hawkes Processes, which can be applied in the context of portfolio credit risk. The problem belongs to the larger class of hidden Markov models, where the counting process is observed at discrete points in time and the observations are sparse, while the intensity driving process in unobservable. We construct the conditional distribution of the process given the information filtration and we discuss the analytical and numerical properties of the corresponding filters. In particular, we study the sensitivity of the filters with respect to the parameters of the model, and we obtain a monotonicity result with respect to the jump and the volatility terms driving the intensity. Using the scaled process, we provide necessary and sufficient conditions for the frequency of time observations in terms of the parameters of the model, to ensure a good performance of the filter. We also address the problem of parameter estimation for the Generalized Hawkes Process in the framework of the EM algorithm, and we analyze the effect of the selfexciting feature of our process on the asymptotic and numerical properties of the estimators
1 edition published in 2011 in English and held by 1 WorldCat member library worldwide
We consider the nonlinear filtering problem for partially observed Generalized Hawkes Processes, which can be applied in the context of portfolio credit risk. The problem belongs to the larger class of hidden Markov models, where the counting process is observed at discrete points in time and the observations are sparse, while the intensity driving process in unobservable. We construct the conditional distribution of the process given the information filtration and we discuss the analytical and numerical properties of the corresponding filters. In particular, we study the sensitivity of the filters with respect to the parameters of the model, and we obtain a monotonicity result with respect to the jump and the volatility terms driving the intensity. Using the scaled process, we provide necessary and sufficient conditions for the frequency of time observations in terms of the parameters of the model, to ensure a good performance of the filter. We also address the problem of parameter estimation for the Generalized Hawkes Process in the framework of the EM algorithm, and we analyze the effect of the selfexciting feature of our process on the asymptotic and numerical properties of the estimators
Late points for random walks in two dimensions
by
Amir Dembo(
Book
)
1 edition published in 2003 in English and held by 1 WorldCat member library worldwide
1 edition published in 2003 in English and held by 1 WorldCat member library worldwide
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 SpringerLink (Online service)
 Ecole d'Eté de Probabilités <33, 2003, SaintFlour>
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