Results 21 to 30 of about 5,003,510 (291)
Dual Divergence Estimators of the Tail Index [PDF]
ISRN Probability and Statistics, 2012 The main purpose of the present paper is to propose a new estimator of the tail index using -divergences and the duality technique. These estimators are explored with respect to robustness through the influence function approach. The empirical performances of the proposed estimators are illustrated by simulation.
Bouzebda, Salim, Cherfi, Mohamed
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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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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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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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Correlation analysis of financial assets based on asymmetric copula
Frontiers in Applied Mathematics and Statistics, 2022 Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index.
Xia Li, Bing Hou
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Is There a Link between Suckling and Manipulation Behavior during Rearing in Pigs?
Animals, 2021 Inadequate possibilities to perform oral manipulation behavior for pigs can lead to misdirection and thus tail biting. Our study aimed to analyze manipulation behaviors of weaner pigs with focus on tail biting and the relationship with agonistic ...
Friederike K. Warns +4 more
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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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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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Tail Risk in Commercial Property Insurance
Risks, 2014 We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd’s of London syndicates, and provides information on ...
Enrico Biffis, Erik Chavez
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Tail Bounds for the Wiener Index of Random Trees [PDF]
Discrete Mathematics & Theoretical Computer Science, 2007 Upper and lower bounds for the tail probabilities of the Wiener index of random binary search trees are given. For upper bounds the moment generating function of the vector of Wiener index and internal path length is estimated.
Tämur Ali Khan, Ralph Neininger
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