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Extreme value theory for moving avarage processes with light-tailed innovations.
, 2004 openaire +1 more source
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-Stable convergence of heavy-/light-tailed infinitely wide neural networks
Advances in Applied Probability, 2023AbstractWe consider infinitely wide multi-layer perceptrons (MLPs) which are limits of standard deep feed-forward neural networks. We assume that, for each layer, the weights of an MLP are initialized with independent and identically distributed (i.i.d.) samples from either a light-tailed (finite-variance) or a heavy-tailed distribution in the domain ...
Paul Jung +3 more
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Strongly efficient estimators for light-tailed sums
Proceedings of the 1st international conference on Performance evaluation methodolgies and tools - valuetools '06, 2006Let (Sn : n ≥ 0) be a mean zero random walk (rw) with light-tailed increments. One of the most fundamental problems in rare-event simulation involves computing P (Sn > nβ) for β > 0 when n is large. It is well known that the optimal exponential tilting (OET), although logarithmically efficient, is not strongly efficient (the squared coefficient of ...
J. Blanchet, P. Glynn
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Generalized processor sharing with light-tailed and heavy-tailed input
IEEE/ACM Transactions on Networking, 2003We consider a queue fed by a mixture of light-tailed and heavy-tailed traffic. The two traffic flows are served in accordance with the generalized processor sharing (GPS) discipline. GPS-based scheduling algorithms, such as weighted fair queueing, have emerged as an important mechanism for achieving service differentiation in integrated networks.
Borst, Sem +2 more
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CVaR-sensitive bandits: The light-tailed case
2019 Sixth Indian Control Conference (ICC), 2019Traditional multi-armed bandit problems are geared towards finding the arm with the highest expected value – an objective that is risk-neutral. In several practical applications, e.g., finance, a risk-sensitive objective is to control the worst-case losses and Conditional Value-at-Risk (CVaR) is a popular risk measure for modeling the aforementioned ...
L.A. Prashanth +2 more
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Transition from Heavy to Light Tails in Retransmission Durations
2010 Proceedings IEEE INFOCOM, 2010Retransmissions serve as the basic building block that communication protocols use to achieve reliable data transfer. Until recently, the number of retransmissions were thought to follow a light tailed (in particular, a geometric) distribution. However, recent work seems to suggest that when the distribution of the packets have infinite support ...
Jian Tan, Ness B. Shroff
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A light‐tailed conditionally heteroscedastic model with applications to river flows
Journal of Time Series Analysis, 2007Abstract. A conditionally heteroscedastic model, different from the more commonly used autoregressive moving average–generalized autoregressive conditionally heteroscedastic (ARMA‐GARCH) processes, is established and analysed here. The time‐dependent variance of innovations passing through an ARMA filter is conditioned on the lagged values of the ...
Elek, Péter, Márkus, Lászlo
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