Heavy-tailed and light-tailed distribution classes
Scheduling for Heavy-Tailed and Light-Tailed Workloads in Queueing Systems
... of heavy-tailed and light-tailed job size ...for heavy-tailed job sizes we find that the behavior of LPS-c is similar to that of the analogous GI/GI/c queue, where each server ...
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A Robust Estimation of the CAPM with a Heavy-tailed Distribution
... Keywords: fat-tail, non-linear CAPM, Student’s t-distribution, US stock market, Wald test 1. Introduction Asset pricing is a significant research field since it helps investors to understand not only pricing ...
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Goodness-of-fit tests for a heavy tailed distribution
... 3.2 Real applications. The first data set we analyzed consists of 2156 Danish fire loss over one million Danish krone from the years 1980 to 1990 inclusive (see Figure 1). The loss figure is a total loss for the event ...
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heavy-tailed insurance claim size distribution
... Coxian distribution with 30 ...PH distribution with Σν r = 51 phases), the EM algorithm was numerically unfeasible with such a large number of ...PH distribution, is statistically unstable and can ...
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Heavy-tailed densities
... CONCLUSION Some of the first attempts to classify probability distri- butions by tail behavior originated with applications in the modeling and analysis of astronomical data and the related issue of whether to eliminate ...
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Heavy-tailed distribution in the presence of dependence in insurance and finance
... However, there are few papers which take into account the dependence between insurance and financial risks, with the difficulty existing in describing the tail behaviour of the product of dependent random variables. Chen ...
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Heavy-tailed modeling of CROBEX
... CROBEX is the official stock market index of the Zagreb Stock Exchange, first published on September 1, 1997. The index is based on the free float market capi- talization and includes the stocks of 25 companies. CROBEX ...
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Characterization of multivariate heavy-tailed distribution families via copula
... multivariate heavy-tailed distributions, which are more general than the MRV class and include both the subexponential distribution family and the long-tailed distribution ...
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The divisible sandpile with heavy-tailed variables
... initial distribution on a discrete torus and proved the conjecture of Levine et ...from heavy-tailed ...for heavy-tailed distributions on the ...
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LASSO Asymptotics For Heavy Tailed Errors
... for distribution and convictions are considered ‘rare ...Poisson distribution can be broken into an independent sum of many usually-zero independent random variables, a property called infinite ...
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Models for Heavy tailed Asset Returns
... for Heavy-tailed Asset Returns 1 Szymon Borak 2 , Adam Misiorek 3 , and Rafał Weron 4 Abstract: Many of the concepts in theoretical and empirical finance developed over the past decades – including the ...
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Heavy-tailed distributions in VaR calculations
... to heavy-tailed models for VaR-type ...multivariate distribution function from the marginal (possibly different) distribution functions of n individual asset returns in a way that takes their ...
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Heavy-tailed fractional Pearson diffusions
... Pearson diffusions can be defined as stochastic processes by specifying their Markovian nature, their transition density via equation (1.1), and the distribution of the initial value. In contrast, fractional ...
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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 ...beta distribution and the adjusted bivariate ...
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Models for Heavy-tailed Asset Returns
... hyperbolic distribution) this function appears only in the constant ...GH distribution with a large scale parameter is hard to distinguish from a fat-tailed distribution with a small scale ...
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Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
... 6. Conclusion and perspectives In this paper, we address estimation of the tail index of a heavy-tailed distribution when data are randomly right-censored. We constructed two kinds of Bayesian ...
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Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution
... based on the Generalized Hyperbolic Distribution are a generalization of the normal mixture models with a discrete mixing distribution (Alexander and Lazar, 2006). In recent years, more realistic stochastic ...
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On Heavy-tailed Risks with Applications to Insurance and Finance
... It is important to note that there exist distributions such that both of their indices (3.5) and (3.6) share the same value zero or infinity. The aim of the book is to investigate what happens in the mentioned models ...
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Heavy-tailed Phenomena and Tail Index Inference
... Both of these two approaches are applied to describe the distribution of city sizes where the debate about whether it fits a power-law or log-normal distribution is still active. The RA generally works well ...
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CiteSeerX — Convergence of heavy tailed MCMC algorithms
... tailed ex
ursions. Spe
i
ally, the length of ex
ursions away from a ompa
t set on- taining most of the probability mass has an extremely heavy tail, espe
ially for the light tailed proposal ...
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