• No results found

Skewed and Heavy-Tailed Distributions

Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions

Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions

... the skewed analogue of the multivariate Student-t regression model in Fern´ andez and Steel ...of heavy-tailed models that we introduce here is based on a transformation of independent Student-t ...

29

A Constructive Representation of Univariate Skewed Distributions

A Constructive Representation of Univariate Skewed Distributions

... several skewed versions of three very common distributions: Normal, Logistic and Student-t ν (henceforth t ν ), where ν denotes the degrees of ...the skewed versions of these distributions we ...

25

Least squares estimation for GARCH (1,1) model with heavy tailed errors

Least squares estimation for GARCH (1,1) model with heavy tailed errors

... following cases: i) in the presence of heavy tailed or skewed error distributions ii) when the volatility persistence is close to unity. It is important to note that both these features ...

41

Adjusted Sequential Fences for Detecting Univariate Outliers in Skewed Distributions

Adjusted Sequential Fences for Detecting Univariate Outliers in Skewed Distributions

... normal distributions but problems arise with the construction of sequential fences in skewed ...at heavy tail whereas regular data from light tailed distributions will scarcely exceed ...

9

A new family of skewed slash distributions generated by the normal kernel

A new family of skewed slash distributions generated by the normal kernel

... From remarks (1), (2) and (3) we can see that the skew slash normal-normal is a generalization of the normal, skew normal, skew normal-normal, slash and skew slash distributions. This distribution can be useful in ...

9

Stochastic daily precipitation model with a heavy-tailed component

Stochastic daily precipitation model with a heavy-tailed component

... In the following, we shall consider precipitation models on daily timescales only. From a statistical point of view, daily precipitation totals are time series with mixed densities, comprising a discrete component at ...

15

Heavy-tailed distribution in the presence of dependence in insurance and finance

Heavy-tailed distribution in the presence of dependence in insurance and finance

... Recently, for practical reasons, precise large deviations of dependent random variables have received a remarkable amount of attention. Kaas and Tang (2005) investigated pre- cise large deviation of a compound sum of ...

82

Advances in the Modeling of Heavy-tailed Distributions

Advances in the Modeling of Heavy-tailed Distributions

... encounter heavy-tailed distributions in actuarial or econometric applica- ...those distributions is that they only possess a finite number of moments, which curtails the applicability of ...

123

Coalescent Processes with Skewed Offspring Distributions and Nonequilibrium Demography

Coalescent Processes with Skewed Offspring Distributions and Nonequilibrium Demography

... of skewed offspring distributions (Eldon and Wakeley 2006), strong positive se- lection (Neher and Hallatschek 2013; Schweinsberg 2017), recurrent selective sweeps (Durrett and Schweinsberg 2004, 2005), and ...

16

Models for Heavy tailed Asset Returns

Models for Heavy tailed Asset Returns

... sults were disappointing. Karlis and Lillest¨ ol (2004) made use of the MCMC technique, however, again the results obtained were not impressive. Karlis (2002) described an Expectation-Maximization (EM) type algorithm for ...

37

Modeling of Insurance Data through Two Heavy Tailed Distributions: Computations of Some of Their Actuarial Quantities through Simulation from Their Equilibrium Distributions and the Use of Their Convolutions

Modeling of Insurance Data through Two Heavy Tailed Distributions: Computations of Some of Their Actuarial Quantities through Simulation from Their Equilibrium Distributions and the Use of Their Convolutions

... bull distributions as loss models for our claim data and have concentrated on the computation of actuarial quan- tities like the probability of ultimate ruin through simulation and the probability function for the ...

23

Singularity analysis for heavy tailed random variables

Singularity analysis for heavy tailed random variables

... Abstract. We propose a novel complex-analytic method for sums of i.i.d. random variables that are heavy-tailed and integer-valued. The method com- bines singularity analysis, Lindel¨ of integrals, and ...

41

Heavy-tailed Phenomena and Tail Index Inference

Heavy-tailed Phenomena and Tail Index Inference

... This thesis introduces two new techniques which utilise the entire data set to detect heavy tails and estimate the tail index. Both techniques start with the assumption about the tail probability of the ...

132

Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks

Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks

... We have thus far motivated the study of general MBR models (2.3) through the advantage of obtaining a more flexible dependence structure. Another way to conceptualize the gen- eral MBR structures is by considering them ...

111

Study on the Robust Wavelet Threshold Technique for Heavy-tailed Noises

Study on the Robust Wavelet Threshold Technique for Heavy-tailed Noises

... by heavy-tailed noise that has more outliers than Gaussian ...for heavy-tailed noises, a robust wavelet threshold based on the minimax description length principle is derived in the ε- ...

8

Heavy-tailed insurance portfolios: buffer capital and ruin probabilities

Heavy-tailed insurance portfolios: buffer capital and ruin probabilities

... We study the risk of insolvency for an insurance company with mul- tiple business lines facing large claims with heavy-tailed distribution. The company is allowed to transfer capital between business lines ...

22

On convergence of 1D Markov diffusions to heavy-tailed invariant density

On convergence of 1D Markov diffusions to heavy-tailed invariant density

... particular distributions and for homogeneous Markov processes under various assumptions (usually more restrictive because of explicit assumptions about the derivative π ′ ) see also [1, 2, 19]; for discrete time ...

20

Estimation of Zenga's new index of economic inequality in heavy tailed populations

Estimation of Zenga's new index of economic inequality in heavy tailed populations

... In this section we present the results of a simulation study to assess the performance of the asymptotic normal confidence intervals based on the normal limit distribution of the plug-in estimator and the new estimator. ...

21

Impact of Less Skewed Distributions on Efficiency and Effectiveness of Biomedical Relation Extraction

Impact of Less Skewed Distributions on Efficiency and Effectiveness of Biomedical Relation Extraction

... a skewed dataset is typically very low for the majority class and this results in biased estimation (Kotsiantis and Pintelas, 2003) and suboptimal classification performance (Chawla et ...

12

Incorporating sweeps and ejections into Lagrangian stochastic models of spore trajectories within plant canopy turbulence: modeled contact distributions are heavy-tailed

Incorporating sweeps and ejections into Lagrangian stochastic models of spore trajectories within plant canopy turbulence: modeled contact distributions are heavy-tailed

... from heavy-tailed contact distributions are governed by fractional diffusion equations and by Lévy ...Exponential- tailed contact distributions give rise to ordinary diffusion ...for ...

9

Show all 5696 documents...

Related subjects