Results 21 to 30 of about 2,345,508 (316)
Tail conditional probabilities to predict academic performance
4 open, 2019 In this paper, we estimate tail conditional probabilities by incorporating copula models and adopting a Bayesian estimation process for the copula’s parameter.
González-López Verónica Andrea +2 more
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Importance Sampling in the Presence of PD-LGD Correlation
Risks, 2020 This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can
Adam Metzler, Alexandre Scott
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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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An asymptotically Gaussian bound on the Rademacher tails [PDF]
, 2011 An explicit upper bound on the tail probabilities for the normalized Rademacher sums is given. This bound, which is best possible in a certain sense, is asymptotically equivalent to the corresponding tail probability of the standard normal distribution ...
Pinelis, Iosif
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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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A new representation for multivariate tail probabilities [PDF]
, 2013 Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the effect of allowing
J. Wadsworth, J. Tawn
semanticscholar +1 more source
BMC Medical Research Methodology, 2016 Background Confidence intervals for the between study variance are useful in random-effects meta-analyses because they quantify the uncertainty in the corresponding point estimates.
Dan Jackson, Jack Bowden
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Tail Invariant Measures of the Dyck Shift [PDF]
, 2007 We show that the one-sided Dyck shift has a unique tail invariant topologically $\sigma$-finite measure (up to scaling). This invariant measure of the one sided Dyck turns out to be a shift-invariant probability. Furthermore, it is one of the two ergodic
Meyerovitch, Tom
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Exact bounds for tail probabilities of martingales with bounded differences
Lietuvos Matematikos Rinkinys, 2009 We consider random walks, say Wn = {0, M1, . . ., Mn} of length n starting at 0 and based on a martingale sequence Mk = X1 + ··· + Xk with differences Xm. Assuming |Xk| \leq 1 we solve the isoperimetric problem Bn(x) = supP\{Wn visits an interval [x,∞
Dainius Dzindzalieta
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The variance-gamma ratio distribution
Comptes Rendus. Mathématique, 2023 Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived.
Gaunt, Robert E., Li, Siqi
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