Results 271 to 280 of about 1,758,675 (318)

Long memory and efficiency of Bitcoin under heavy tails

, 2020
The long memory is usually defined via auto-covariances which further connect with Hurst exponent. The heavy tails in Bitcoin returns can cause infinite auto-covariances which make the analysis of long memory and market efficiency in Bitcoin based on ...
Liang Wu, Shujuan Chen
semanticscholar   +1 more source

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
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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

Multivariate-t linear mixed models with censored responses, intermittent missing values and heavy tails

Statistical Methods in Medical Research, 2019
Multivariate longitudinal data arisen in medical studies often exhibit complex features such as censored responses, intermittent missing values, and atypical or outlying observations. The multivariate-t linear mixed model (MtLMM) has been recognized as a
Tsung-I Lin, Wan-Lun Wang
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

On Model-Based Clustering of Directional Data with Heavy Tails

Journal of Classification, 2023
Yingying Zhang, Volodymyr Melnykov, Igor Melnykov   +2 more
semanticscholar   +1 more source

Heavy Tail Distributions

2013
Motivated by the instances of extreme events and heavy tail distributions encountered in the first chapter, we present the most important theoretical results underpinning the estimation of the probabilities of these extreme and rare events. The basics of extreme value theory are presented as they pertain to estimation and risk management of extremes ...
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High dimensional robust M-estimation : arbitrary corruption and heavy tails

, 2021
Liu Liu
semanticscholar   +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