Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions [PDF]
SSRN Electronic Journal, 1997 Most of the empirical applications of the stochastic volatility (SV) model are based on the assumption that the conditional distribution of returns, given the latent volatility process, is normal. In this paper, the SV model based on a conditional normal distribution is compared with SV specifications using conditional heavy-tailed distributions ...
Liesenfeld, Roman, Jung, Robert C.
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Statistical analysis of storm-time near-Earth current systems [PDF]
Annales Geophysicae, 2015 Currents from the Hot Electron and Ion Drift Integrator (HEIDI) inner magnetospheric model results for all of the 90 intense storms (disturbance storm-time (Dst) minimum < −100 nT) from solar cycle 23 (1996–2005) are calculated, presented, and ...
M. W. Liemohn +3 more
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Evaluating CMIP6 model fidelity at simulating non-Gaussian temperature distribution tails
Environmental Research Letters, 2020 Under global warming, changes in extreme temperatures will manifest in more complex ways in locations where temperature distribution tails deviate from Gaussian.
A J Catalano, P C Loikith, J D Neelin
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An asymptotically Gaussian bound on the Rademacher tails [PDF]
, 2011 An explicit upper bound on the tail probabilities for the normalized Rademacher sums is given. This bound, which is best possible in a certain sense, is asymptotically equivalent to the corresponding tail probability of the standard normal distribution ...
Pinelis, Iosif
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On Single Server Queues with Batch Arrivals
Computer Sciences & Mathematics Forum, 2023 We consider a queuing system GIν|M|1|∞ with arrival of customers in batches, general renewal arrivals, exponential service times, single service channels and an infinite number of waiting positions, where customers are serviced in the order of their ...
Vitaly Sobolev, Alexander Condratenko
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A Note on Second Order Conditions in Extreme Value Theory: Linking General and Heavy Tail Conditions
Revstat Statistical Journal, 2007 Second order conditions ruling the rate of convergence in any first order condition involving regular variation and assuring a unified extreme value limiting distribution function for the sequence of maximum values, linearly normalized, have appeared in
M. Isabel Fraga Alves +3 more
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A Method to Learn Embedding of a Probabilistic Medical Knowledge Graph: Algorithm Development
JMIR Medical Informatics, 2020 BackgroundKnowledge graph embedding is an effective semantic representation method for entities and relations in knowledge graphs. Several translation-based algorithms, including TransE, TransH, TransR, TransD, and TranSparse, have been proposed to learn
Li, Linfeng +8 more
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Scaling in the distribution of intertrade durations of Chinese stocks [PDF]
, 2008 The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003.
Chen, Wei +2 more
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A New, Satellite NDVI-Based Sampling Protocol for Grape Maturation Monitoring
Remote Sensing, 2020 Vineyards are sampled on multiple occasions during the growing season for a range of purposes, particularly to assess fruit maturation. The objective of this work was to determine if satellite normalized difference vegetation index (NDVI) vineyard images
James M. Meyers +4 more
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Asymptotic Normality of Least-Squares Estimators of Tail Indices [PDF]
Bernoulli, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Sándor Csörgö +3 more
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