Results 11 to 20 of about 5,003,510 (291)
Distribution and moment characteristics of a quotient of heavy-tailed random variables
Lietuvos Matematikos Rinkinys, 2023 Let us deal with positive i.i.d. random variables X1, . . ., Xm having a tail index α. Calculating a quotient of two biggest members in the set, we obtain a new random variable and investigate its distribution and moment properties.
Kęstutis Gadeikis
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Extreme Value Statistics for Evolving Random Networks
Mathematics, 2023 Our objective is to survey recent results concerning the evolution of random networks and related extreme value statistics, which are a subject of interest due to numerous applications.
Natalia Markovich, Marijus Vaičiulis
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On Max-Semistable Laws and Extremes for Dynamical Systems
Entropy, 2021 Suppose (f,X,μ) is a measure preserving dynamical system and ϕ:X→R a measurable observable. Let Xi=ϕ∘fi−1 denote the time series of observations on the system, and consider the maxima process Mn:=max{X1,…,Xn}.
Mark P. Holland, Alef E. Sterk
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Robust estimation of Pareto-type tail index through an exponential regression model
Communications in Statistics - Theory and Methods, 2021 In this paper, we introduce a robust estimator of the tail index of a Pareto-type distribution. The estimator is obtained through the use of the minimum density power divergence with an exponential regression model for log-spacings of top order ...
R. Minkah, T. de Wet, Abhik Ghosh
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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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Smooth tail-index estimation [PDF]
Journal of Statistical Computation and Simulation, 2009 Both parametric distribution functions appearing in extreme value theory - the generalized extreme value distribution and the generalized Pareto distribution - have log-concave densities if the extreme value index gamma is in [-1,0]. Replacing the order statistics in tail index estimators by their corresponding quantiles from the distribution function ...
Müller, S, Rufibach, K
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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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