Results 41 to 50 of about 1,758,675 (318)
A Power Maxwell Distribution with Heavy Tails and Applications
Mathematics, 2020 In this paper we introduce a distribution which is an extension of the power Maxwell distribution. This new distribution is constructed based on the quotient of two independent random variables, the distributions of which are the power Maxwell ...
Francisco A. Segovia +3 more
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Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
Journal of business & economic statistics, 2020 We develop a factor stochastic volatility model that incorporates leverage effects, return asymmetry, and heavy tails across all systematic and idiosyncratic model components.
Mengheng Li, Marcel Scharth
semanticscholar +1 more source
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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The multivariate asymmetric slash Laplace distribution and its applications
Statistica, 2013 We have introduced a multivariate asymmetric-slash Laplace distribution, a flexible distribution that can take skewness and heavy tails into account. This distribution is useful in simulation studies where it can introduce distributional challenges in ...
Bindu Punathumparambath
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Estimating the tail conditional expectation of Walmart stock data
Croatian Operational Research Review, 2020 Stable distribution, also known as Lévy stable distribution, which is a rich class of heavy-tailed distributions can capture asymmetry and heavy tails observed in financial data.
Hakim Ouadjed, Tawfiq Fawzi Mami
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On Hurst exponent estimation under heavy-tailed distributions
, 2012 In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal detrended ...
Alessio +35 more
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Bayesian Robustness Modelling Using the Floor Distribution
Revstat Statistical Journal, 2018 In Bayesian analysis, the prior distribution and the likelihood can conflict, in the sense that they can carry diverse information about the parameter of interest. The most common form of conflict is the presence of outliers in the data.
J. A. A. Andrade +2 more
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Study of Coded ALOHA with Multi-User Detection under Heavy-Tailed and Correlated Arrivals
Future Internet, 2023 In this paper, we study via simulation the performance of irregular repetition slotted ALOHA under multi-packet detection and different patterns of the load process.
María E. Sousa-Vieira +1 more
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When Heavy Tails Disrupt Statistical Inference
American StatisticianHeavy tails (HT) arise in many applications and their presence can disrupt statistical inference, yet the HT statistical literature requires a theoretical background most practicing statisticians lack. We provide an overview of the influence of HT on the
Richard M. Vogel +3 more
semanticscholar +1 more source
Tail behavior of negatively associated heavy-tailed sums [PDF]
Journal of Applied Probability, 2006 Consider a sequence {Xk, k ≥ 1} of random variables on (−∞, ∞). Results on the asymptotic tail probabilities of the quantities , and S(n) = max0 ≤ k ≤ nSk, with X0 = 0 and n ≥ 1, are well known in the case where the random variables are independent with a heavy-tailed (subexponential) distribution.
Geluk, J, Ng, KW
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