Results 1 to 10 of about 40 (39)
Limit Theorems for Maxima of Heavy-Tailed Terms with Random Dependent Weights [PDF]
, 2007 2000 Mathematics Subject Classification: Primary 60F17, 60G52, 60G70 secondary 60E07, 62E20.We study the general case when the weights Wj , j N can be dependent and in particular long-range dependent.
Stoev, Stilian +2 more
core
Natural exponential families associated to Pick functions
Pick function, variance function, exponential families, quadratic action, 32E20, 60E07, 60E10, 62E10,
Dhafer Malouche
core +1 more source
Goodness-of-fit tests for symmetric stable distributions—Empirical characteristic function approach
Stable distributions, Goodness-of-fit tests, Integral equations, Maximum likelihood estimator, 60E07, 62F03,
Akimichi Takemura, Muneya Matsui
core +1 more source
Maximum likelihood estimators in regression models with infinite variance innovations
60E07, 60P17, 62F12, 62J05, Autoregression, stable distributions, Lévy processes, maximum likelihood estimators,
Svetlozar Rachev, Vygantas Paulaauskas
core +1 more source
Random Walks in Cooling Random Environments (RWCRE) is a model of random walks in dynamic random environments where the entire environment is resampled along a fixed sequence of times, called the "cooling sequence", and is kept fixed in between those ...
Da Costa, Conrado +2 more
core +1 more source
Ruin Probability With Claims Modeled By A Stationary Ergodic Stable Process
, 1999 . For a random walk with negative drift we study the exceedance probability (ruin probability) of a high threshold. The steps of this walk (claim sizes) constitute a stationary ergodic stable process.
Gennady Samorodnitsky +3 more
core
The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables
Suppose that Xt = [summation operator][infinity]j=0cjZt-j is a stationary linear sequence with regularly varying cj's and with innovations {Zj} that have infinite variance. Such a sequence can exhibit both high variability and strong dependence.
Kokoszka, Piotr S., Taqqu, Murad S.
core
A bivariate Lévy process with negative binomial and gamma marginals
The joint distribution of X and N, where N has a geometric distribution and X is the sum of N IID exponential variables (independent of N), is infinitely divisible.
Kozubowski, Tomasz J. +2 more
core
Limit theorems in free probability theory II
Open Mathematics, 2008 Chistyakov Gennadii, Götze Friedrich
doaj +1 more source
Some of the next articles are maybe not open access.
Estimation of the parameters of multivariate stable distributions
Communications in Statistics Part B: Simulation and Computation, 2022Neelesh S Upadhye
exaly