truncated heavy-tailed distribution
A Novel Robust Rauch-Tung-Striebel Smoother Based on Slash and Generalized Hyperbolic Skew Student’s T-Distributions
... with heavy-tailed and/or skew noises. We propose to model heavy-tailed noises using a Gaussian scale mixture distribution and model heavy-tailed and skew noises using a ...
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Stochastic daily precipitation model with a heavy-tailed component
... gamma distribution (with co- variates) is fitted to the entire intensity data, and then a GP distribution (again with covariates) is fitted to the observa- tions above an appropriately chosen threshold, ...
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Models for Heavy tailed Asset Returns
... stable distribution hypothesis has made a dramatic come- back, at first in the econophysics ...stable distribution up to six standard deviations away from the mean (Cont, Potters and Bouchaud, ...the ...
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On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
... The proof of Eq. 1 is the motivation for this paper. More precisely, the objective of the paper is to embed the Hill estimator in a wider class of average excesses and then provide a simple representation of those ...
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The Stock Returns Volatility based on the GARCH (1,1) Model: The Superiority of the Truncated Standard Normal Distribution in Forecasting Volatility
... The statistical analyses on the time series concentrated on the conditional first moment. The expanding role of risk and uncertainty in decision-making models and, in the meanwhile, changes in assessing the risk and ...
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Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks
... In order to obtain further practical insights about the gain in flexibility versus the loss in tractability in the context of the transition from the exponential MBR models to the general MBR models, additional ...
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Asymptotics for risk capital allocations based on Conditional Tail Expectation
... Moderately heavy-tailed distributions such as lognormal and Weibull as well as light-tailed distributions such as exponential and gamma are members of ...
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On Generalized Log Burr Xii Distribution
... Poisson distribution to analyze strength of ...BXII distribution for analyzing the strengths of glass ...BXII distribution with optimal B-robust ...Burr distribution to study the lifetime ...
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Heavy-tailed Phenomena and Tail Index Inference
... the distribution function at ...the distribution of city sizes where the debate about whether it fits a power-law or log-normal distribution is still ...
132
Singularity analysis for heavy tailed random variables
... for heavy-tailed distributions studied in this paper are of non-holonomic type and our methods of studying them show a new application of Lindel¨ of’s construction that has novel connections to other areas ...
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Batch Sampling: Low Overhead Scheduling for Sub-Second Parallel Jobs
... increasingly heavy tails: con- stant, exponentially-distributed, and pareto-distributed task ...the distribution gets more heavy tailed; for pareto-distributed task durations at 95% uti- ...
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The Inverted Exponentiated Gamma Distribution: A Heavy-Tailed Model with Upside Down Bathtub Shaped Hazard Rate
... This distribution has been motivated by the extensive use of the exponentiated gamma model in many applied areas and also due to the fact that this new generalization provides more flexibility to analyze real data ...
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Advances in the Modeling of Heavy-tailed Distributions
... It is not uncommon to encounter heavy-tailed distributions in actuarial or econometric applica- tions. A drawback associated with many of those distributions is that they only possess a finite number of ...
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Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings
... In the compound Poisson risk model, several strong hypotheses may be found too restrictive to describe accurately the evolution of the reserves of an insurance company. This is especially true for a company that faces ...
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Emerging Network-Based Tools in Movement Ecology
... Connectivity of cargo ship ports possess a heavy- tailed distribution [11] Human, homo sapiens Mobile phone locational data Network density; distance clustering; entropy of indi[r] ...
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On convergence of 1D Markov diffusions to heavy-tailed invariant density
... to the stationary distribution with density π [26, Theorem 1] (under a bit more restricted conditions see also [28]), at least, if m is not too small. Note that unlike in most of other works on convergence or ...
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THE TRUNCATED ISHITA DISTRIBUTION: PROPERTIES AND APPLICATION
... mixture distribution, Ishita distribution is proposed by [4], which is the modeling to analysis lifetime data in biomedical science and ...Ishita distribution is over-dispersed and ...of ...
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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 distribution of the heavy-tailed ...
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Study on the Robust Wavelet Threshold Technique for Heavy-tailed Noises
... Gaussian distribution, but a heavy-tailed noise model ...nominal distribution has heavier than exponential tails [11]. For heavy-tailed noise has more outliers than Gaussian ...
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Heavy-tailed insurance portfolios: buffer capital and ruin probabilities
... with heavy-tailed ...the distribution of the vector of claim sizes is multivariate regularly varying we derive the asymptotic decay of the ruin probabil- ity as the initial capital tends to ...
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