Results 251 to 260 of about 2,345,508 (316)

Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

open access: yesJournal of Multivariate Analysis, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Krupskii, Pavel, Joe, Harry
openaire   +3 more sources

Tail Probabilities for Randomized Program Runtimes via Martingales for Higher Moments

International Conference on Tools and Algorithms for Construction and Analysis of Systems, 2018
Programs with randomization constructs is an active research topic, especially after the recent introduction of martingale-based analysis methods for their termination and runtimes.
Satoshi Kura, Natsuki Urabe, I. Hasuo
semanticscholar   +1 more source

Tail probabilities of random linear functions of regularly varying random vectors

Extremes, 2019
We provide a new extension of Breiman’s Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a characterization of regular variation on cones in $$[0,\infty )^d$$ [ 0 , ∞ ) d under ...
Bikramjit Das   +2 more
semanticscholar   +1 more source

Ask CARL: Forecasting tail probabilities for energy commodities

Energy Economics, 2019
We use a set of conditional auto-regressive logit (CARL) models to predict tail probabilities for returns calculated from futures of four energy commodities.
Bernardina Algieri, A. Leccadito
semanticscholar   +1 more source

Tail Probability Approximations

International Statistical Review / Revue Internationale de Statistique, 1987
This paper is a very interesting and clear review on two explicit approximations for the tail probability of a sample mean. The Edgeworth type expansion gives an asymptotic expansion in powers of \(n^{-1/2}\) when \(\bar x-E(X)=O(n^{-1/2})\). For large deviations it can be further reduced to an expansion whose terms decrease by a factor \(n^{-1}.\) A ...
openaire   +3 more sources

Tail Probabilities of St. Petersburg Sums, Trimmed Sums, and Their Limit

Journal of theoretical probability, 2015
We provide exact asymptotics for the tail probabilities P{Sn,r>x}\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\
I. Berkes, L. Györfi, P. Kevei
semanticscholar   +1 more source

Invariant Probabilities with Geometric Tail

Probability in the Engineering and Informational Sciences, 1996
We present necessary and suffi2ient Foster-type conditions for a countable state Markov chain to have an invariant probability with at least a geometric tail. These conditions are obtained by using a generalized Farkas Theorem in Linear Algebra. The purpose of this note is also to pose an interesting and important research problem that is still largely
Tijms, H.C., Lasserre, J.B.
openaire   +2 more sources

Home - About - Disclaimer - Privacy