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An alternative model for multivariate stable distributions [PDF]
, 2009 Includes bibliographical references (leaves 52-55).As the title, "An Alternative Model for Multivariate Stable Distributions", depicts, this thesis draws from the methodology of [J36] and derives an alternative to the sub-Gaussian alpha-stable ...
Jama, Siphamandla
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Mathematics, 2019 The aim of this work is to study generalizations of the notion of the mean. Kolmogorov proposed a generalization based on an improper integral with a decay rate for the tail probabilities.
John E. Gray, Andrew Vogt
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Machine Learning with Applications, 2022 Portfolio construction is an important practical problem in finance. In the traditional approach, introduced by Markowitz, one assumes normally distributed returns and constructs a portfolio with a minimum risk (measured by the standard deviation of ...
Andrei Vasiukevich, Eugene Pinsky
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Is the distribution of income compatible with s stable distribution? [PDF]
, 1999 Mandelbrot (1961) proposed to apply the class of Pareto-Levy distributions - which belong to the Stable distributions - as a framework for modelling income distributions. He also presented theoretic arguments in favor of the Pareto-Levy distributions. In this paper we provide additional theoretical justification for this class of distributions. We also
John K. Dagsvik, Bjørn H. Vatne
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U-Statistic for Multivariate Stable Distributions
Journal of Probability and Statistics, 2017 A U-statistic for the tail index of a multivariate stable random vector is given as an extension of the univariate case introduced by Fan (2006). Asymptotic normality and consistency of the proposed U-statistic for the tail index are proved theoretically.
Mahdi Teimouri +2 more
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Stable distributions in fragmentation processes [PDF]
Physica A: Statistical Mechanics and its Applications, 1996 We introduce three models of fragmentation in which the largest fragment in the system can be broken at each time step with a fixed probability, p. We solve these models exactly in the long time limit to reveal stable time invariant (scaling) solutions which depend on p and the precise details of the fragmentation process.
Rodgers, GJ, Hassan, MK
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IEEE Access, 2018 In this paper, a special property of the fractional lower order covariance (FLOC)-based minimum variance distortionless response (MVDR) beamformer is found, which is the FLOC MVDR beamformer that has greater white noise array gain (WNAG) than the classic
Aimin Song
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MathematicsA common approach to simulating a Lévy process is to truncate its shot-noise representation. We focus on subordinators and introduce the remainder process, which represents the jumps that are removed by the truncation.
Michael Grabchak
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A Note on Distributed Stable Matching [PDF]
2009 29th IEEE International Conference on Distributed Computing Systems, 2009 We consider the distributed complexity of the stable marriage problem. In this problem, the communication graph is undirected and bipartite, and each node ranks its neighbors. Given a matching of the nodes, a pair of nodes is called blocking if they prefer each other to their assigned match.
Alexander Kipnis, Boaz Patt-Shamir
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