Results 21 to 30 of about 91,294 (309)
Journal of the American Statistical Association, 2014 An unobserved components model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation driven model, based on a conditional Student t-distribution, that is tractable and retains some of the desirable features of the linear Gaussian model.
Andrew Harvey, LUATI, ALESSANDRA
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Adaptive Models and Heavy Tails [PDF]
SSRN Electronic Journal, 2016 This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms.
Davide Delle Monache, Ivan Petrella
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WIREs Computational Statistics, 2012 AbstractThe concept of heavy‐ or long‐tailed densities (or distributions) has attracted much well‐deserved attention in the literature. A quick search in Google using the keywords long‐tailed statistics retrieves almost 12 million items. The concept has become a pillar of the theory of extremes, and through its connection with outlier‐prone ...
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CoRR, 2023 In this paper, we study multi-armed bandits (MAB) and stochastic linear bandits (SLB) with heavy-tailed rewards and quantum reward oracle. Unlike the previous work on quantum bandits that assumes bounded/sub-Gaussian distributions for rewards, here we investigate the quantum bandits problem under a weaker assumption that the distributions of rewards ...
Yulian Wu +3 more
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What controls the tail behaviour of flood series: rainfall or runoff generation? [PDF]
Hydrology and Earth System SciencesMany observed time series of precipitation and streamflow show heavy-tail behaviour. For heavy-tailed distributions, the occurrence of extreme events has a higher probability than for distributions with an exponentially receding tail. If we neglect heavy-
E. Macdonald +7 more
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Portfolio selection with heavy tails [PDF]
Journal of Empirical Finance, 2004 Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner solutions in the sense of a bonds only portfolio. This is
Namwon Hyung, Casper G. de Vries
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A New Class of Heavy-Tailed Distributions: Modeling and Simulating Actuarial Measures
Complexity, 2021 Statistical distributions play a prominent role for modeling data in applied fields, particularly in actuarial, financial sciences, and risk management fields.
Jin Zhao +4 more
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On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
Econometrics, 2013 This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the ...
Yongning Wang, Ruey S. Tsay
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Parametric Inference for Index Functionals
Econometrics, 2018 In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices.
Stéphane Guerrier +2 more
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Measuring Risk When Expected Losses Are Unbounded
Risks, 2014 This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions.
Alejandro Balbás +2 more
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