Results 31 to 40 of about 85,681 (262)
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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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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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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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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A Maximum Entropy Approach to Loss Distribution Analysis
Entropy, 2013 In this paper we propose an approach to the estimation and simulation of loss distributions based on Maximum Entropy (ME), a non-parametric technique that maximizes the Shannon entropy of the data under moment constraints. Special cases of the ME density
Marco Bee
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Heavy operators and hydrodynamic tails [PDF]
SciPost Physics, 2020 The late time physics of interacting QFTs at finite temperature is controlled by hydrodynamics. For CFTs this implies that heavy operators – which are generically expected to create thermal states – can be studied semiclassically. We show that hydrodynamics universally fixes the OPE coefficients
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