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Robustness and heavy-tailed distributions
2002Summary: The paper describes equivariant estimators having efficiencies that are poly-optimal within finite sets of distributional shapes. For simplicity and because robustness theory is most highly developed in this situation, the pure location case is considered.
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High quantile estimation for heavy-tailed distributions
Performance Evaluation, 2005Different estimators of high quantiles, such as x"p^c proposed in [N.M. Markovitch, U.R. Krieger, The estimation of heavy-tailed probability density functions, their mixtures and quantiles. Computer Networks 40 (3) (2002) 459-474], Weissman's estimator x"p^w and the POT-method are considered.
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Global Games with Heavy-Tailed Distributions
This paper extends global games theory to Generalized Pareto Distribution (GPD) noise. Our framework encompasses all empirically relevant tail behaviors through the shape parameter ξ, including Pareto-type distributions (0 < ξ < 0.5), exponential tails (ξ = 0), and light-tailed cases (ξ < 0).openaire +1 more source
High Quantiles of Heavy-Tailed Distributions: Their Estimation
Automation and Remote Control, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Approximation of heavy-tailed distributions via stable-driven SDEs
Bernoulli, 2021Mateusz Majka, Lu-Jing Huang
exaly
Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity
Mathematics and Computers in Simulation, 2021Leonid Iosipoi, Denis Belomestny
exaly
Heavy-Tailed Distributions: Properties and Tests
Technometrics, 1974Maurice C Bryson
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New methods to define heavy-tailed distributions with applications to insurance data
Journal of Taibah University for Science, 2020Eisa Mahmoudi +2 more
exaly