Results 11 to 20 of about 5,025,116 (269)
An Optimal Tail Selection in Risk Measurement [PDF]
Risks, 2021 The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task.
Małgorzata Just, Krzysztof Echaust
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Optimal heavy tail estimation – Part 1: Order selection [PDF]
Nonlinear Processes in Geophysics, 2017 The tail probability, P, of the distribution of a variable is important for risk analysis of extremes. Many variables in complex geophysical systems show heavy tails, where P decreases with the value, x, of a variable as a power law with a ...
M. Mudelsee, M. Mudelsee, M. A. Bermejo
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Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection [PDF]
Mathematics, 2020 A conditional Extreme Value Theory (GARCH-EVT) approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT).
Krzysztof Echaust, Małgorzata Just
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Linking Pareto-Tail Kernel Goodness-Offit Statistics with Tail Index at Optimal Threshold and Second Order Estimation [PDF]
Revstat Statistical Journal, 2008 In this paper the relation between goodness-of-fit testing and the optimal selection of the sample fraction for tail estimation, for instance using Hill’s estimator, is examined.
Yuri Goegebeur +2 more
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Optimal heavy tail estimation―Part I: Order selection [PDF]
, 2017 Abstract. The tail probability, P, of the distribution of a variable is important for risk analysis of extremes. Many variables in complex geophysical systems show heavy tails, where P decreases with the value, x, of a variable as a power law with characteristic exponent, α.
Manfred Mudelsee, Miguel A. Bermejo
core +5 more sources
Sustainable development of territorial units: MCDM approach with optimal tail selection
Ecological Modelling, 2021 Abstract In the face of accelerating climate change, economic instability and limited resources, it is essential to find indicators that better measure the sustainable development of territorial units. Despite ambiguous definitions of sustainable development, numerous studies describe quantitative indicators of sustainable development.
Małgorzata Just, Aleksandra Łuczak
exaly +2 more sources
AerospaceThe foldable tail of the box-type launch vehicle poses a risk of mechanical jamming during the launch process, which is not conducive to the smooth completion of the flight mission. The integrated nonfolding ducted tail proposed in this article can solve
Huayu Jia +3 more
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Measurement and Calibration of Discrete Element Simulation Parameters of Crushed Sugarcane Tail Leaves [PDF]
BioResources, 2022 Discrete element simulation parameters of the tail stem and tail leaves of crushed sugarcane tail leaves (STL) were calibrated by a combination of physical experiments and simulation optimization design.
Junle Lei +3 more
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Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Gueï Cyrille Okou, Amine Amar
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Animals, 2022 Anatolian buffalo is an important breed reared for meat and milk in various regions of Türkiye. The present study was performed to estimate body weight (BW) from several body measurements, such as tail length (TL), shoulder height (SH), withers height ...
Oğuz Ağyar +5 more
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