Results 11 to 20 of about 2,212,997 (349)
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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arXiv.orgDiffusion models achieve state-of-the-art generation quality across many applications, but their ability to capture rare or extreme events in heavy-tailed distributions remains unclear.
Kushagra Pandey +6 more
semanticscholar +3 more sources
Lithuanian Mathematical Journal, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Omey, Edward +2 more
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Tail Risk Inference via Expectiles in Heavy-Tailed Time Series [PDF]
Journal of Business & Economic Statistics, 2020 Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but further ...
A. Davison, S. Padoan, Gilles Stupfler
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On the Heavy-Tail Behavior of the Distributionally Robust Newsvendor [PDF]
Operational Research, 2018 Distributionally robust optimization is increasingly becoming a popular methodology to deal with uncertainty in optimization problems. Although the methodology optimizes for the worst-case distribution, a better understanding of the prescriptions from ...
Bikramjit Das +2 more
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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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Diffusion Approximation for Fokker Planck with Heavy Tail Equilibria: A Spectral Method in Dimension 1 [PDF]
Communications in Mathematical Physics, 2017 This paper is devoted to the diffusion approximation for the 1-d Fokker Planck equation with a heavy tail equilibria of the form $${(1+v^2)^{-\beta/2}}$$(1+v2)-β/2, in the range $${\beta\in ]1,5[}$$β∈]1,5[.
G. Lebeau, Marjolaine Puel
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When Idling is Ideal: Optimizing Tail-Latency for Heavy-Tailed Datacenter Workloads with Perséphone
Symposium on Operating Systems Principles, 2021 This paper introduces Perséphone, a kernel-bypass OS scheduler designed to minimize tail latency for applications executing at microsecond-scale and exhibiting wide service time distributions.
Henri Maxime Demoulin +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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