Results 11 to 20 of about 169,695 (257)
A Review of More than One Hundred Pareto-Tail Index Estimators
Statistica, 2021 Heavy-tailed distributions are often encountered in economics, finance, biology, telecommunications, geology, etc. The heaviness of a tail is measured by a tail index. Numerous methods for tail index estimation have been proposed. This paper reviews more
Igor Fedotenkov
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Tail Index Estimation of PageRanks in Evolving Random Graphs
Mathematics, 2022 Random graphs are subject to the heterogeneities of the distributions of node indices and their dependence structures. Superstar nodes to which a large proportion of nodes attach in the evolving graphs are considered.
Natalia Markovich +2 more
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Confidence Intervals for the Tail Index [PDF]
Bernoulli, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cheng, Shihong, Peng, L
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Fragility index of block tailed vectors [PDF]
Journal of Statistical Planning and Inference, 2012 Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability. Multivariate extreme value theory provide us such a framework through the \emph{fragility index} (Geluk \cite{gel ...
Ferreira, Helena, Ferreira, Marta Susana
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An Enhanced Method for Tail Index Estimation under Missingness
Journal of Applied Mathematics, 2021 Extreme events in earthquakes, wind speed, among others are rare but may lead to catastrophic effects on humans and the environment. The primary parameter in the estimation of such rare events is the tail index which measures the tail heaviness of an ...
F. Ayiah-Mensah +3 more
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Morphometrics Characterization of Thin-Tail Sheep in Lowland and Highland Areas
Tropical Animal Science Journal, 2021 Breed characterization in the livestock is important for the breeding program in the future. This research aimed to characterize Thin-tail sheep in the highland and lowland areas of Jambi Province based on 7 body measurements and body indices using ...
Depison +4 more
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The tail index of exchange rate returns [PDF]
Journal of International Economics, 1990 In the literature on the empirical distribution of foreign exchange rates there is now consensus that exchange rate yields are fat-tailed. Three problems, however, persist: (1) Which class of distribution functions is most appropriate? (2) Are the parameters of the distribution invariant over subperiods?
Koedijk, C.G. +2 more
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Determination of change-point of tail index
Lietuvos Matematikos Rinkinys, 2003 This article deals with a new estimator for tail index, introduced by proof V. Paulauskas in [1]. Hypothesis of a change-point at beforehand-unknown place is examined.
Kęstutis Gadeikis
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Minimum-Variance Reduced-Bias Tail Index and High Quantile Estimation
Revstat Statistical Journal, 2008 Heavy tailed-models are quite useful in many fields, like insurance, finance, telecommunications, internet traffic, among others, and it is often necessary to estimate a high quantile, i.e., a value that is exceeded with a probability p, small.
Frederico Caeiro , M. Ivette Gomes
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An Automatic Procedure for the Estimation of the Tail Index [PDF]
SSRN Electronic Journal, 2012 Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normality of stock returns leads to the search for alternative distributions that allows skewness and leptokurtic behavior. One of the most used distributions is the Pareto Distribution because it allows non-normal behaviour, which requires the estimation of a ...
Gimeno, Ricardo, Gonzalez, Clara I.
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