heavy-tailed
Estimation of Zenga's new index of economic inequality in heavy tailed populations
... In this work we propose a new estimator for Zenga’s inequality measure in heavy tailed populations. The new estimator is based on the Weissman estimator for high quantiles. We will show that, under fairly ...
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Heavy-tailed distribution in the presence of dependence in insurance and finance
... the heavy-tailed distributions into the renewal risk model based on the two dependent assumptions, namely, dependence among claim sizes and de- pendence between claims and their ...
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Modeling the degree distributions of heavy-tailed networks by generalized Lomax models
... have heavy-tailed behaviors and used for modeling in the statistical paradigm [19], [8], ...of heavy-tailed GLM distributions can model these large scale network data sets in the whole ...
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A review of conditional rare event simulation for tail probabilities of heavy tailed random variables
... independent heavy- tailed random ...for heavy tails are reviewed and their relations and main properties are ...a heavy-tailed ...of heavy-tailed random variables; a ...
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Heavy-tailed distributions : data, diagnostics, and new developments
... ”thin tailed” distribution, whereas hurricane damage is ”fat tailed” or ”heavy ...fat tailed phenomena, followed by a rigorous mathematical treatment of many of these intuitive ...
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On convergence of 1D Markov diffusions to heavy-tailed invariant density
... A topical area of Markov Chain Monte Carlo (MCMC) in theoretical statistics is around the following problem: given a fixed “target” density or distribution known up to a constant multiplier – a normalizing constant – how ...
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Incorporating sweeps and ejections into Lagrangian stochastic models of spore trajectories within plant canopy turbulence: modeled contact distributions are heavy-tailed
... that heavy-tailed contact distributions also characterize the dispersal of spores which pass through the canopy turbulence and enter into the overlying atmospheric ...
9
Heavy Tailed Distributions of Effect Sizes in Systematic Reviews of Complex Interventions
... Although heavy-tailed distributions are known to arise in complex systems, the reason for this is not yet clear ...that heavy-tailed distributions may offer an efficient distribution (in ...
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Least squares estimation for GARCH (1,1) model with heavy tailed errors
... In this paper, we suggest using LSE for the estimation of a GARCH (1,1) model. The estimator is based on the log transformation of the squared data. We establish the consistency and asymptotic normality of the proposed ...
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On uniqueness of moving average representations of heavy tailed stationary processes
... of heavy-tailed processes whose dis- tribution belongs to the domain of attraction of an α-stable law, with α < ...the heavy-tailed ...
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Study on the Robust Wavelet Threshold Technique for Heavy-tailed Noises
... for heavy-tailed noises and the robust wavelet threshold technique are introduced and ...removing heavy-tailed noise, the classical threshold method and the robust wavelet threshold method are ...
8
Scheduling for Heavy-Tailed and Light-Tailed Workloads in Queueing Systems
... the heavy-tailed flow remains unaffected in this process; we prove this formally for the special case in which both queues are always connected to the ...
117
Advances in the Modeling of Heavy-tailed Distributions
... to heavy-tailed density functions such as the Pareto, Student-t and Cauchy, said densities can be approximated by employing a certain moment-based ...
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Models for Heavy tailed Asset Returns
... The empirical facts presented in Section 1.1 show that we should use heavy tailed alternatives to the Gaussian law in order to obtain acceptable estimates of market losses. In this section we apply the ...
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Heavy-tailed modeling of CROBEX
... More details on the method can be found in Grahovac et al. (2015). It is important to note that the estimation does not depend on the particular form of the underlying distribution and the only assumption is that the ...
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Singularity analysis for heavy tailed random variables
... Second, we explore consequences for probabilistic limit laws and prove three the- orems on precise large and moderate deviations for sums of independent identically distributed (i.i.d.) random variables that are ...
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Heavy-tailed Phenomena and Tail Index Inference
... of heavy-tailed ...of heavy-tailed ...detect heavy tails is ...of heavy tails but also reflects the tail behaviour at a single ...
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Radar Detection of Fluctuating Target in Heavy-Tailed Clutter Using TBD
... likelihood ratio merit function are derived in K-distributed clutter background for Swerling target of 87.. types 1, the implementation issues of the merit function are also d[r] ...
12
Stochastic daily precipitation model with a heavy-tailed component
... Abstract. Stochastic daily precipitation models are com- monly used to generate scenarios of climate variability or change on a daily timescale. The standard models consist of two components describing the occurrence and ...
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Bayesian inference for double Pareto lognormal queues
... In this article we describe a method for carrying out Bayesian inference for the double Pareto lognormal (dPlN) distribution which has recently been proposed as a model for heavy-tailed phenomena. We apply ...
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