Zobrazeno 1 - 10
of 3 580
pro vyhledávání: '"heavy-tailed distribution"'
Publikováno v:
Journal of Statistical Theory and Applications (JSTA), Vol 23, Iss 3, Pp 290-314 (2024)
Abstract The estimation of a certain threshold beyond which an extreme value distribution can be fitted to the tail of a data distribution remains one of the main issues in the theory of statistics of extremes. While standard Peak over Threshold (PoT
Externí odkaz:
https://doaj.org/article/6c01af054a2846b2bf58243361736a24
Publikováno v:
Journal of Mathematics in Industry, Vol 14, Iss 1, Pp 1-22 (2024)
Abstract In this paper we propose an algorithm for testing whether the independent observations come from finite-variance distribution. The preliminary knowledge about the data properties may be crucial for its further analysis and selection of the a
Externí odkaz:
https://doaj.org/article/7092ed9c1ddb4821871d2f4fc02990f0
Autor:
Remigijus Leipus, Jonas Šiaulys
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 11, Iss 1, Pp 31-42 (2023)
In this paper, the asmptotics is considered for the distribution tail of a randomly stopped sum ${S_{\nu }}={X_{1}}+\cdots +{X_{\nu }}$ of independent identically distributed consistently varying random variables with zero mean, where ν is a countin
Externí odkaz:
https://doaj.org/article/d9eaa95b76464773b4867db17a6f43c1
Publikováno v:
Journal of Sensor and Actuator Networks, Vol 13, Iss 4, p 38 (2024)
Distributed state estimation is one of the critical technologies in the field of target tracking, where the process noise and measurement noise may have a heavy-tailed distribution. Traditionally, heavy-tailed distributions like the student-t distrib
Externí odkaz:
https://doaj.org/article/b126211cb1f7418db4d682e1541ebf5b
Publikováno v:
AIMS Mathematics, Vol 8, Iss 6, Pp 13066-13072 (2023)
By constructing an appropriate example, we show that the class of heavy-tailed distributions is not closed under minimum. We provide two independent heavy-tailed random variables, such that their minimum is not heavy tailed. In addition, we establish
Externí odkaz:
https://doaj.org/article/9d9b8511698147229bc24c683b583784
Publikováno v:
Mathematics, Vol 12, Iss 11, p 1631 (2024)
The half-normal distribution is composited with the Pareto model to obtain a uni-parametric distribution with a heavy right tail, called the composite half-normal-Pareto distribution. This new distribution is useful for modeling positive data with at
Externí odkaz:
https://doaj.org/article/d8fe9196a5544642a9fa24ca8febb056
Publikováno v:
Mathematics, Vol 12, Iss 9, p 1397 (2024)
In this paper, the scale mixture of the Gleser (SMG) distribution is introduced. This new distribution is the product of a scale mixture between the Gleser (G) distribution and the Beta(a,1) distribution. The SMG distribution is an alternative to dis
Externí odkaz:
https://doaj.org/article/805332cfabce4c35bb1dce8acd279e0f
Publikováno v:
Risks, Vol 12, Iss 5, p 73 (2024)
Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial. The body of research on statistical models that can fully reflect the empirical characteristics of comm
Externí odkaz:
https://doaj.org/article/0ec66f99e464426984d03273d7b3d571
Publikováno v:
Revstat Statistical Journal, Vol 21, Iss 3 (2023)
The generalized Pareto distributions (GPDs) play an important role in the statistics of extremes. We point various problems with the likelihood-based inference for the index parameter α of the GPDs, and develop alternative testing strategies, which
Externí odkaz:
https://doaj.org/article/312c308b5e0e4427bdeb0cfcebc6c7d3
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