Results 11 to 20 of about 26,576 (302)
Estimation of the value-at-risk parameter: Econometric analysis and the extreme value theory approach [PDF]
Ekonomski Anali, 2006 In this paper different aspects of value-at-risk estimation are considered. Daily returns of CISCO, INTEL and NASDAQ stock indices are analyzed for period: September 1996 - September 2006. Methods that incorporate time varying variability and heavy tails
Mladenović Zorica, Mladenović Pavle
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Lithuanian Mathematical Journal, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Omey, Edward +2 more
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Minimum of heavy-tailed random variables is not heavy tailed
AIMS Mathematics, 2023 <abstract><p>By constructing an appropriate example, we show that the class of heavy-tailed distributions is not closed under minimum. We provide two independent heavy-tailed random variables, such that their minimum is not heavy tailed. In addition, we establish a few properties of the distributions considered in the example.</p></
Leipus, Remigijus +2 more
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Tournament rewards and heavy tails [PDF]
Journal of Economic Theory, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mikhail Drugov, Dmitry Ryvkin
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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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Outliers and the Ostensibly Heavy Tails [PDF]
Mathematical Methods of Statistics, 2019 The aim of the paper is to show that the presence of one possible type of outliers is not connected to that of heavy tails of the distribution. In contrary, typical situation for outliers appearance is the case of compact supported distributions.
Klebanov, L., Volchenkova, I.
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Revisiting and Modeling Power-Law Distributions in Empirical Outage Data of Power Systems
PRX Energy, 2023 The size distributions of planned and forced outages and their restoration times in power systems have been studied for almost two decades and have drawn great interest as they display heavy tails.
Bálint Hartmann +3 more
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Fluctuating landscapes and heavy tails in animal behavior. [PDF]
PRX LifeAnimal behavior is shaped by a myriad of mechanisms acting on a wide range of scales, which hampers quantitative reasoning and the identification of general principles.
Costa AC +3 more
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Indagationes Mathematicae, 2023 The present paper is concerned with the stationary workload of queues with heavy-tailed (regularly varying) characteristics. We adopt a transform perspective to illuminate a close connection between the tail asymptotics and heavy-traffic limit in infinite-variance scenarios. This serves as a tribute to some of the pioneering results of J.W.
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Heavy or semi-heavy tail, that is the question
Journal of Applied Statistics, 2020 While there has been considerable research on the analysis of extreme values and outliers by using heavy-tailed distributions, little is known about the semi-heavy-tailed behaviors of data when there are a few suspicious outliers. To address the situation where data are skewed possessing semi-heavy tails, we introduce two new skewed distribution ...
Jamil, Ownuk +2 more
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