Results 21 to 30 of about 1,729,239 (286)
Alpha-Stable Autoregressive Modeling of Chua's Circuit in the Presence of Heavy-Tailed Noise
Chaos Theory and Applications, 2023 This study presents alpha-stable autoregressive (AR) modeling of the dynamics of Chua's circuit in the presence of heavy-tailed noise. The parameters of the AR time series are estimated using the covariation-based Yule-Walker method, and the parameters ...
Deniz Kutluay, Serpil Yılmaz
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Heavy-tailed distribution of cyber-risks [PDF]
The European Physical Journal B, 2010 ISSN:1434 ...
Maillart, T., Sornette, Didier
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A Parametric Bootstrap for Heavy Tailed Distributions [PDF]
SSRN Electronic Journal, 2011 It is known that Efron’s bootstrap of the mean of a distribution in the domain of attraction of the stable laws with infinite variance is not consistent, in the sense that the limiting distribution of the bootstrap mean is not the same as the limiting distribution of the mean from the real sample. Moreover, the limiting bootstrap distribution is random
Adriana Cornea, Russell Davidson
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Sharp concentration results for heavy-tailed distributions
Information and Inference: A Journal of the IMA, 2023 Abstract We obtain concentration and large deviation for the sums of independent and identically distributed random variables with heavy-tailed distributions. Our concentration results are concerned with random variables whose distributions satisfy $P(X>t) \leq{\text{ e}}^{- I(t)}$, where $I: \mathbb{R} \rightarrow \mathbb{R}$ is ...
Milad Bakhshizadeh +2 more
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Journal of Water and Climate Change, 2021 Daily precipitation extremes are crucial in the hydrological design of major water control structures and are expected to show a changing tendency over time due to climate change.
Neha Gupta, Sagar Rohidas Chavan
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Modularity and Heavy-Tailed Degree Distributions
CoRR, 2021 Identifying clusters of vertices in graphs continues to be an important problem, and modularity continues to be used as a tool for solving the problem. Modularity, which measures the quality of a division of the vertices into clusters, explicitly treats vertices of different degrees differently, imposing a larger penalty when high-degree vertices are ...
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Inhomogeneous phase-type distributions and heavy tails [PDF]
Journal of Applied Probability, 2019 AbstractWe extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In particular, the resulting matrix distributions enable the carrying over of fitting properties of PH ...
Hansjörg Albrecher, Mogens Bladt
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International Journal of Financial Studies, 2016 Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions.
Hanieh Panahi
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Aggregation of Dependent Risks with Heavy-Tail Distributions [PDF]
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2019 Straightforward methods to evaluate risks arising from several sources are specially difficult when risk components are dependent and, even more if that dependence is strong in the tails. We give an explicit analytical expression for the probability distribution of the sum of non-negative losses that are tail-dependent.
Montserrat Guillen +3 more
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Heavy-tailed phase-type distributions: a unified approach. [PDF]
, 2022 A phase-type distribution is the distribution of the time until absorption in a finite state-space time-homogeneous Markov jump process, with one absorbing state and the rest being transient.
Yslas, Jorge, Bladt, Martin
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