Results 301 to 310 of about 2,212,997 (349)

Heavy-Tailed Distributions

2021
In Sec. 2.3.3 we introduced the idea of heavy-tailed distributions from a purely mathematical point of view, where we considered probability distributions for which the central limit theorem does not apply. The terminology arises because the “tails” of the distribution, that is the parts where the variable |x| → ∞, decrease so slowly that in most cases
openaire   +1 more source

Heavy tails and currency crises

Journal of Empirical Finance, 2007
In affine models of foreign exchange rate returns, the nature of cross sectional interdependence in crisis periods hinges on the tail properties of the fundamentals' distribution. If the fundamentals exhibit thin tails like the normal distribution, the dependence vanishes asymptotically; while the dependence remains in the case of heavy tailed ...
Straetmans, S.T.M., Hartmann, Ph., de Vries, C.G.   +2 more
openaire   +1 more source

HARCH Processes are Heavy Tailed

Extremes, 1999
A \(\text{HARCH}(k)\) process \(R_n\) is defined by the recursive relations \[ R_n=\sigma_n\varepsilon_n, \qquad \sigma_n^2=c_0+\sum_{j=1}^kc_j \left( \sum_{i=1}^j R_{n-i} \right)^2 \] where the \(c_j\) are some nonrandom constants, \(\varepsilon_n\) are i.i.d., \(E\varepsilon=0\), \(E\varepsilon^20\) and \(\Pr(\varepsilon^2>c_1^{-1})>0\), then ...
Embrechts, Paul, Grübel, Rudolf
openaire   +2 more sources

Robust Regression with Asymmetric Heavy-Tail Noise Distributions

Neural Computation, 2002
In the presence of a heavy-tail noise distribution, regression becomes much more difficult. Traditional robust regression methods assume that the noise distribution is symmetric, and they downweight the influence of so-called outliers.
I. Takeuchi, Yoshua Bengio, T. Kanamori
semanticscholar   +1 more source

Heavy-Tailed and Long-Tailed Distributions

2011
In this chapter we are interested in (right-) tail properties of distributions, i.e. in properties of a distribution which, for any x, depend only on the restriction of the distribution to (x, ∞). More generally it is helpful to consider tail properties of functions.
Sergey Foss, Dmitry Korshunov, Stan Zachary   +2 more
openaire   +1 more source

Straightening out heavy tails

Communications of the ACM, 2010
A better understanding of heavy-tailed probability distributions can improve activities from Internet commerce to the design of server farms.
openaire   +1 more source

Heavy-Tailed Time Series

2020
Kulik, Rafal, Soulier, Philippe
openaire   +1 more source

A semiparametric negative binomial generalized linear model for modeling over-dispersed count data with a heavy tail: Characteristics and applications to crash data.

Accident Analysis and Prevention, 2016
M. Shirazi, D. Lord, S. Dhavala, S. Geedipally   +3 more
semanticscholar   +1 more source

The heavy tail of the human brain.

Current Opinion in Neurobiology, 2015
J. A. Roberts, T. Boonstra, M. Breakspear   +2 more
semanticscholar   +1 more source

Taylor’s law and heavy-tailed distributions

Proceedings of the National Academy of Sciences, 2021
Lindquist, W. Brent, Rachev, Svetlozar T.   +1 more
openaire   +3 more sources