Results 261 to 270 of about 5,003,510 (291)

Tail behavior of Bitcoin, the dollar, gold and the stock market index

, 2020
This paper studies whether Bitcoin can be classified as a currency, a commodity or an investment asset. Inspired by the movement that tail behavior is the key feature to determine the property of asset and for market participants to perceive the asset, I
J. Kwon
semanticscholar   +1 more source

Tail Index Estimation and an Exponential Regression Model

Extremes, 1999
A regression model for spacings of extreme order statistics from a Pareto type distribution is proposed. Namely, let \(X_1, X_2,\dots,X_n,\dots\) be a sequence of positive independent and identically distributed random variables with distribution function \(F.\) It is supposed that \(F\) is of Pareto type, i.e. there exists a positive constant \(\gamma\
Beirlant, J., Dierckx, G., Goegebeur, Y., Matthys, G.   +3 more
openaire   +1 more source

Likelihood Based Confidence Intervals for the Tail Index

Extremes, 2002
Let \(X_{1},\ldots,X_{n}\) be i.i.d. observations with distribution function \(F\) satisfying \(\lim_{t\to\infty} [1-F(tx)]/[1-F(t)]= x^{-1/\gamma}\), for all \(x>0\), where the parameter \(1/\gamma>0\) is called tail index. This paper investigates two methods, namely the empirical likelihood method and a parametric likelihood method, for constructing ...
Lu, Jye-Chyi, Peng, Liang
openaire   +2 more sources

Robustness of Tail Index Estimation

Journal of Computational and Graphical Statistics, 1999
Abstract The implementation of the Hill estimator, which estimates the heaviness of the tail of a distribution, requires a choice of the number of extreme observations in the tails, r from a sample of size n where 2 ≤ r + 1 ≤ n. This article is concerned with a robust procedure of choosing an optimal r. Thus, an estimation procedure, δ s , based on the
openaire   +1 more source

A nonparametric estimator for the conditional tail index of Pareto-type distributions

Metrika (Heidelberg), 2020
Yaolan Ma, B. Wei, Wei Huang
semanticscholar   +1 more source

Long-Tail Recommendation Based on Reflective Indexing

2011
We propose a collaborative filtering data processing method based on reflective vector-space retraining, referred to as Progressive Reflective Indexing (PRI). We evaluate the method's ability to provide recommendations of items from a long tail. In order to reflect ‘real-world' demands, in particular those regarding non-triviality of recommendations ...
Andrzej Szwabe, Michal Ciesielczyk, Pawel Misiorek   +2 more
openaire   +1 more source

E-tailing quality index

2016
This research study aims at developing and validating E-tailing quality index. It consists of the literature reviews of the past researches, which were done by various authors and while finding the dimensions for the e-tailing quality. The scale development methodology results into six factors comprises of Platform accommodation and customer centric ...
Rawal, Pankaj, Singh, Deepali
openaire   +1 more source

Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

, 2019
Rongmao Zhang, Chenxue Li, L. Peng
semanticscholar   +1 more source

Test for tail index constancy of GARCH innovations based on conditional volatility

, 2019
Moosup Kim, Sangyeol Lee
semanticscholar   +1 more source

A class of new tail index estimators

, 2017
V. Paulauskas, M. Vaičiulis
semanticscholar   +1 more source