On the Identification of the Riskiest Directional Components from Multivariate Heavy-Tailed Data

Autor: Miriam Hägele, Jaakko Lehtomaa

Publikováno v: Risks, Vol 11, Iss 7, p 130 (2023)

In univariate data, there exist standard procedures for identifying dominating features that produce the largest number of observations. However, in the multivariate setting, the situation is quite different. This paper aims to provide tools and meth

Externí odkaz: https://doaj.org/article/359690282be64d16ba06459109db0a0f

Estimating tails of independently stopped random walks using concave approximations of hazard functions

Autor: Jaakko Lehtomaa

This paper considers logarithmic asymptotics of tails of randomly stopped sums. The stopping is assumed to be independent of the underlying random walk. First, finiteness of ordinary moments is revisited. Then the study is expanded to more general as

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::83dba86ddd60ed36f3ba3220f8166799
http://hdl.handle.net/10138/338315

Limiting behaviour of constrained sums of two variables and the principle of a single big jump

Autor: Jaakko Lehtomaa

Publikováno v: Statistics & Probability Letters. 107:157-163

This note studies the asymptotic properties of the variable Z d : = X 1 d | { X 1 + X 2 = d } , as d → ∞ . Here X 1 and X 2 are non-negative i.i.d. variables with a common twice differentiable density function f . General results concerning the d

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::7a22bf5df27f8b470237227a502c07c0
https://doi.org/10.1016/j.spl.2015.08.017

Distinguishing Log-Concavity from Heavy Tails

Autor: Jaakko Lehtomaa, Søren Asmussen

Publikováno v: Risks, Vol 5, Iss 1, p 10 (2017)
Asmussen, S & Lehtomaa, J V 2017, ' Distinguishing log-concavity from heavy tails ', Risks, vol. 5, no. 1 . https://doi.org/10.3390/risks5010010
Risks; Volume 5; Issue 1; Pages: 10

Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum X 1 + X 2 occur as result of a sing

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ab30816f0b6fd2f8e5de9aafe52cec2c
http://www.mdpi.com/2227-9091/5/1/10