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Distribution and moment characteristics of a quotient of heavy-tailed random variables
Lietuvos Matematikos Rinkinys, 2023 Let us deal with positive i.i.d. random variables X1, . . ., Xm having a tail index α. Calculating a quotient of two biggest members in the set, we obtain a new random variable and investigate its distribution and moment properties.
Kęstutis Gadeikis
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Nonlinear Analysis, 2021 In this paper, we consider the sum Snξ = ξ1 + ... + ξn of possibly dependent and nonidentically distributed real-valued random variables ξ1, ... , ξn with consistently varying distributions. By assuming that collection {ξ1, ...
Jonas Sprindys, Jonas Šiaulys
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An application of stochastic approximation in simulated method of moments [PDF]
Mathematics and Modeling in Finance, 2021 Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions.
Erfan Salavati, Nazanin Mohseni
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Inferring heavy tails of flood distributions through hydrograph recession analysis [PDF]
Hydrology and Earth System Sciences, 2023 Floods are often disastrous due to underestimation of the magnitude of rare events. Underestimation commonly happens when the magnitudes of floods follow a heavy-tailed distribution, but this behavior is not recognized and thus neglected for flood hazard
H.-J. Wang +6 more
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Randomly Stopped Sums with Generalized Subexponential Distribution
Axioms, 2023 Let {ξ1,ξ2,…} be a sequence of independent possibly differently distributed random variables, defined on a probability space (Ω,F,P) with distribution functions {Fξ1,Fξ2,…}. Let η be a counting random variable independent of sequence {ξ1,ξ2,…}.
Jūratė Karasevičienė, Jonas Šiaulys
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Fractal and Fractional, 2023 In this paper, a fractional Weibull process is utilized in a predictive stochastic differential equation model to allow for skewness and heavy-tailed characteristics.
Wanqing Song, Dongdong Chen, Enrico Zio
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MODEL OF THE DIFFUSION PROCESS WITH HEAVY TAILS IN THE DISTRIBUTION [PDF]
Vestnik KRAUNC: Fiziko-Matematičeskie Nauki, 2017 A generator of stable random variables is developed.
Zakharov I. S.
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A note on the asymptotics for the randomly stopped weighted sums
Nonlinear Analysis, 2018 Let {Xi , i ⩾ 1} be a sequence of identically distributed real-valued random variables with common distribution FX; let {θi , i ⩾ 1} be a sequence of identically distributed, nonnegative and nondegenerate at zero random variables; and let τ be a positive
Yang Yang, Xi Xi Shi, Xing Fang Huang
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On the Identification of the Riskiest Directional Components from Multivariate Heavy-Tailed Data
Risks, 2023 In univariate data, there exist standard procedures for identifying dominating features that produce the largest number of observations. However, in the multivariate setting, the situation is quite different.
Miriam Hägele, Jaakko Lehtomaa
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A Review of More than One Hundred Pareto-Tail Index Estimators
Statistica, 2021 Heavy-tailed distributions are often encountered in economics, finance, biology, telecommunications, geology, etc. The heaviness of a tail is measured by a tail index. Numerous methods for tail index estimation have been proposed. This paper reviews more
Igor Fedotenkov
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