Results 31 to 40 of about 233,260 (285)
Heavy-tailed phase-type distributions: a unified approach [PDF]
Extremes, 2022 AbstractA 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. These distributions are mathematically tractable and conceptually attractive to model physical phenomena due to their interpretation in terms of a hidden ...
Bladt, Martin, Yslas, Jorge
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Estimation of heavy tails in optical non-linear processes
New Journal of Physics, 2021 In optical non-linear processes, rogue waves can be observed, which can be mathematically described by heavy-tailed distributions. These distributions are special since the probability of registering extremely high intensities is significantly higher ...
Éva Rácz +2 more
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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 ...
Albrecher, Hansjoerg, Bladt, Mogens
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Understanding the structure of cognitive noise.
PLoS Computational Biology, 2022 Human cognition is fundamentally noisy. While routinely regarded as a nuisance in experimental investigation, the few studies investigating properties of cognitive noise have found surprising structure.
Jian-Qiao Zhu +3 more
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Understanding Heavy Tails of Flood Peak Distributions
Water Resources Research, 2022 AbstractStatistical distributions of flood peak discharge often show heavy tail behavior, that is, extreme floods are more likely to occur than would be predicted by commonly used distributions that have exponential asymptotic behavior. This heavy tail behavior may surprise flood managers and citizens, as human intuition tends to expect light tail ...
Bruno Merz +11 more
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Heavy-Tailed Distributions in VaR Calculations [PDF]
, 2011 Market risks are the prospect of financial losses – or gains – due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Since the early 1990s a commonly used market risk estimation methodology has been the Value at Risk (
Adam Misiorek, Rafal Weron
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User-Friendly Covariance Estimation for Heavy-Tailed Distributions [PDF]
Statistical Science, 2018 We offer a survey of selected recent results on covariance estimation for heavy-tailed distributions. By unifying scattered ideas appeared in the literature, we propose user-friendly methods that facilitate practical implementation.
Y. Ke +4 more
semanticscholar +1 more source
Heavy Tailed Distribution of Binary Classification Model
Journal of Sciences, Islamic Republic of Iran, 2023 The proposed research incorporates the utilization of a heavy-tailed skewed distribution referred to as the inverse Weibull as a link function in the context of a binary classification model. This selection is motivated by the need to address the existence of rare or extreme events in random processes.
Oladimeji, Damilare +2 more
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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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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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