Relevant bibliographies by topics / Heavy-tailed

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
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Academic literature on the topic 'Heavy-tailed'

Author: Grafiati
Published: 4 June 2021
Last updated: 17 February 2022

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Journal articles on the topic "Heavy-tailed"

1

Rojo, Javier. "Heavy-tailed densities." Wiley Interdisciplinary Reviews: Computational Statistics 5, no. 1 (2012): 30–40. http://dx.doi.org/10.1002/wics.1236.

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Levy, Joshua B., and Murad S. Taqqu. "Renewal Reward Processes with Heavy-Tailed Inter-Renewal Times and Heavy-Tailed Rewards." Bernoulli 6, no. 1 (2000): 23. http://dx.doi.org/10.2307/3318631.

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Grahovac, Danijel, and Nenad Suvak. "Heavy-tailed modeling of CROBEX." Financial Theory and Practice 39, no. 4 (2015): 411–30. http://dx.doi.org/10.3326/fintp.39.4.4.

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Beirlant, J., G. Matthys, and G. Dierckx. "Heavy-Tailed Distributions and Rating." ASTIN Bulletin 31, no. 1 (2001): 37–58. http://dx.doi.org/10.2143/ast.31.1.993.

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AbstractIn this paper we consider the problem raised in the Astin Bulletin (1999) by Prof. Benktander at the occasion of his 80th birthday concerning the choice of an appropriate claim size distribution in connection with reinsurance rating problems. Appropriate models for large claim distributions play a central role in this matter. We review the literature on extreme value methodology and consider its use in reinsurance. Whereas the models in extreme-value methods are non-parametric or semi-parametric of nature, practitioners often need a fully parametric model for assessing a portfolio risk
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Athreya, K. B., S. N. Lahiri, and Wei Wu. "Inference for heavy tailed distributions." Journal of Statistical Planning and Inference 66, no. 1 (1998): 61–75. http://dx.doi.org/10.1016/s0378-3758(97)00077-3.

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Leonenko, N. N., I. Papić, A. Sikorskii, and N. Šuvak. "Heavy-tailed fractional Pearson diffusions." Stochastic Processes and their Applications 127, no. 11 (2017): 3512–35. http://dx.doi.org/10.1016/j.spa.2017.03.004.

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Mikosch, T. "Heavy-tailed modelling in insurance." Communications in Statistics. Stochastic Models 13, no. 4 (1997): 799–815. http://dx.doi.org/10.1080/15326349708807452.

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Borst, Sem, and Bert Zwart. "A reduced-peak equivalence for queues with a mixture of light-tailed and heavy-tailed input flows." Advances in Applied Probability 35, no. 03 (2003): 793–805. http://dx.doi.org/10.1017/s0001867800012544.

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We determine the exact large-buffer asymptotics for a mixture of light-tailed and heavy-tailed input flows. Earlier studies have found a ‘reduced-load equivalence’ in situations where the peak rate of the heavy-tailed flows plus the mean rate of the light-tailed flows is larger than the service rate. In that case, the workload is asymptotically equivalent to that in a reduced system, which consists of a certain ‘dominant’ subset of the heavy-tailed flows, with the service rate reduced by the mean rate of all other flows. In the present paper, we focus on the opposite case where the peak rate o
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Borst, Sem, and Bert Zwart. "A reduced-peak equivalence for queues with a mixture of light-tailed and heavy-tailed input flows." Advances in Applied Probability 35, no. 3 (2003): 793–805. http://dx.doi.org/10.1239/aap/1059486829.

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We determine the exact large-buffer asymptotics for a mixture of light-tailed and heavy-tailed input flows. Earlier studies have found a ‘reduced-load equivalence’ in situations where the peak rate of the heavy-tailed flows plus the mean rate of the light-tailed flows is larger than the service rate. In that case, the workload is asymptotically equivalent to that in a reduced system, which consists of a certain ‘dominant’ subset of the heavy-tailed flows, with the service rate reduced by the mean rate of all other flows. In the present paper, we focus on the opposite case where the peak rate o
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Borst, S., M. Mandjes, and M. van Uitert. "Generalized processor sharing with light-tailed and heavy-tailed input." IEEE/ACM Transactions on Networking 11, no. 5 (2003): 821–34. http://dx.doi.org/10.1109/tnet.2003.818195.

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Dissertations / Theses on the topic "Heavy-tailed"

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Liu, Zhe. "Distributed estimation in heavy-tailed environments." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file, 65 p, 2009. http://proquest.umi.com/pqdweb?did=1885755971&sid=10&Fmt=2&clientId=8331&RQT=309&VName=PQD.

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Kam, Po-ling, and 甘寶玲. "Mixture autoregression with heavy-tailed conditional distribution." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29614922.

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Kyselá, Eva. "Modelling portfolios with heavy-tailed risk factors." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264017.

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The thesis aims to investigate some of the approaches to modelling portfolio returns with heavy-tailed risk factors. It first elaborates on the univariate time series models, and compares the benchmark model (GARCH with Student t innovations or its GJR extension) predictive performance with its two competitors, the EVT-GARCH model and the Markov-Switching Multifractal (MSM) model. The motivation of EVT extension of GARCH specification is to use a more proper distribution of the innovations, based on the empirical distribution function. The MSM is one of the best performing models in the multif
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Wan, Tao. "Novel Image ProcessingMethods Based on Heavy-Tailed Models." Thesis, University of Bristol, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.499882.

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Parfionovas, Andrejus. "Bootstrap Unit Root Tests for Heavy-Tailed Observations." DigitalCommons@USU, 2003. https://digitalcommons.usu.edu/etd/7143.

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We explore the application of the bootstrap unit root test to time series with heavy-tailed errors. The size and power of the tests are estimated for two different autoregressive models (AR(1)) using computer simulated data. Real-data examples are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are made.
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Kastner, Gregor. "Heavy-Tailed Innovations in the R Package stochvol." WU Vienna University of Economics and Business, 2015. http://epub.wu.ac.at/4918/1/heavytails.pdf.

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We document how sampling from a conditional Student's t distribution is implemented in stochvol. Moreover, a simple example using EUR/CHF exchange rates illustrates how to use the augmented sampler. We conclude with results and implications. (author's abstract)
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Brcic, Ramon Francis. "Some aspects of signal processing in heavy tailed noise." Curtin University of Technology, Australian Telecommunications Research Institute, 2002. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=14244.

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This thesis addresses some problems that arise in signal processing when the noise is impulsive and follows a heavy tailed distribution. After reviewing several of the more well known heavy- tailed distributions the common problem of which of these hest models the observations is considered. To this end, a test is proposed for the symmetric alpha stable distribution. The test threshold is found using both asymptotic theory and parametric bootstrap resampling. In doing so, some modifications are proposed for Koutrouvelis' estimator of the symmetric alpha stable distributions parameters that imp
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Denisov, Denis Eduardovich. "Markov chains and random walks with heavy-tailed increments." Thesis, Heriot-Watt University, 2004. http://hdl.handle.net/10399/340.

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Markakis, Mihalis G. "Scheduling in switched queueing networks with heavy-tailed trac." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/82510.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2013.<br>This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.<br>Cataloged from student-submitted PDF version of thesis.<br>Includes bibliographical references (p. 203-209).<br>We study scheduling problems arising in switched queueing networks, a class of stochastic systems that are often used to model data communication networks, such as uplinks and downlinks of cellular networks, networks of
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Roth, Michael. "Kalman Filters for Nonlinear Systems and Heavy-Tailed Noise." Licentiate thesis, Linköpings universitet, Reglerteknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-97544.

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This thesis is on filtering in state space models. First, we examine approximate Kalman filters for nonlinear systems, where the optimal Bayesian filtering recursions cannot be solved exactly. These algorithms rely on the computation of certain expected values. Second, the problem of filtering in linear systems that are subject to heavy-tailed process and measurement noise is addressed. Expected values of nonlinearly transformed random vectors are an essential ingredient in any Kalman filter for nonlinear systems, because of the required joint mean vector and joint covariance of the predicted
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Books on the topic "Heavy-tailed"

1

Kulik, Rafal, and Philippe Soulier. Heavy-Tailed Time Series. Springer New York, 2020. http://dx.doi.org/10.1007/978-1-0716-0737-4.

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Laha, Arnab Kumar. Portfolio allocation with heavy-tailed returns. Indian Institute of Management, 2005.

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Pisarenko, V., and M. Rodkin. Heavy-Tailed Distributions in Disaster Analysis. Springer Netherlands, 2010. http://dx.doi.org/10.1007/978-90-481-9171-0.

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Peters, Gareth W., and Pavel V. Shevchenko. Advances in Heavy Tailed Risk Modeling. John Wiley & Sons, Inc, 2015. http://dx.doi.org/10.1002/9781118909560.

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name, No. Handbook of heavy tailed distributions in finance. Elsevier, 2002.

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Dmitry, Korshunov, Zachary Stan, and SpringerLink (Online service), eds. An Introduction to Heavy-Tailed and Subexponential Distributions. Springer Science+Business Media, LLC, 2011.

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Foss, Sergey, Dmitry Korshunov, and Stan Zachary. An Introduction to Heavy-Tailed and Subexponential Distributions. Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-7101-1.

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Foss, Sergey, Dmitry Korshunov, and Stan Zachary. An Introduction to Heavy-Tailed and Subexponential Distributions. Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-9473-8.

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Ibragimov, Marat, Rustam Ibragimov, and Johan Walden. Heavy-Tailed Distributions and Robustness in Economics and Finance. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-16877-7.

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Markovich, Natalia. Nonparametric analysis of univariate heavy-tailed data: Research and practice. John Wiley & Sons, 2007.

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Book chapters on the topic "Heavy-tailed"

1

LePage, Raoul. "Heavy-Tailed Distributions." In International Encyclopedia of Statistical Science. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-04898-2_286.

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Ibragimov, Rustam. "Heavy-Tailed Densities." In The New Palgrave Dictionary of Economics. Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95189-5_2978.

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Ibragimov, Rustam. "Heavy-Tailed Densities." In The New Palgrave Dictionary of Economics. Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/978-1-349-95121-5_2978-1.

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Foss, Sergey, Dmitry Korshunov, and Stan Zachary. "Heavy-Tailed and Long-Tailed Distributions." In An Introduction to Heavy-Tailed and Subexponential Distributions. Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-9473-8_2.

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Foss, Sergey, Dmitry Korshunov, and Stan Zachary. "Heavy-Tailed and Long-Tailed Distributions." In An Introduction to Heavy-Tailed and Subexponential Distributions. Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-7101-1_2.

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Kulik, Rafał, and Philippe Soulier. "Regularly varying random variables." In Heavy-Tailed Time Series. Springer New York, 2020. http://dx.doi.org/10.1007/978-1-0716-0737-4_1.

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Kulik, Rafał, and Philippe Soulier. "Estimation of cluster functionals." In Heavy-Tailed Time Series. Springer New York, 2020. http://dx.doi.org/10.1007/978-1-0716-0737-4_10.

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Kulik, Rafał, and Philippe Soulier. "Estimation for extremally independent time series." In Heavy-Tailed Time Series. Springer New York, 2020. http://dx.doi.org/10.1007/978-1-0716-0737-4_11.

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Kulik, Rafał, and Philippe Soulier. "Bootstrap." In Heavy-Tailed Time Series. Springer New York, 2020. http://dx.doi.org/10.1007/978-1-0716-0737-4_12.

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Kulik, Rafał, and Philippe Soulier. "Max-stable processes." In Heavy-Tailed Time Series. Springer New York, 2020. http://dx.doi.org/10.1007/978-1-0716-0737-4_13.

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Conference papers on the topic "Heavy-tailed"

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Anderson, Joseph, Navin Goyal, Anupama Nandi, and Luis Rademacher. "Heavy-Tailed Independent Component Analysis." In 2015 IEEE 56th Annual Symposium on Foundations of Computer Science (FOCS). IEEE, 2015. http://dx.doi.org/10.1109/focs.2015.26.

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Cohen, Leon. "Transformation of distributions into heavy tailed." In SPIE Defense + Security, edited by Firooz A. Sadjadi and Abhijit Mahalanobis. SPIE, 2016. http://dx.doi.org/10.1117/12.2223130.

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SU, CHUN, and QIHE TANG. "HEAVY-TAILED DISTRIBUTIONS AND THEIR APPLICATIONS." In Proceedings of a Workshop. WORLD SCIENTIFIC, 2004. http://dx.doi.org/10.1142/9789812702715_0014.

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Wei, Lai, and Vaibhav Srivastava. "Minimax Policy for Heavy-tailed Bandits." In 2021 American Control Conference (ACC). IEEE, 2021. http://dx.doi.org/10.23919/acc50511.2021.9483135.

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Tan, Jian, Shicong Meng, Xiaoqiao Meng, and Li Zhang. "Delay asymptotics for heavy-tailed MapReduce jobs." In 2012 50th Annual Allerton Conference on Communication, Control, and Computing (Allerton). IEEE, 2012. http://dx.doi.org/10.1109/allerton.2012.6483417.

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Li, J. H., S. Luo, W. Tang, R. Levy, and K. Park. "Heavy-Tailed Workload Aware Ad Hoc Routing." In 2008 IEEE International Conference on Communications. IEEE, 2008. http://dx.doi.org/10.1109/icc.2008.463.

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Popescu, Emil, Nedelia A. Popescu, Vasile Mioc, Cristiana Dumitrache, and Nedelia A. Popescu. "Models for Heavy Tailed Data and Applications." In EXPLORING THE SOLAR SYSTEM AND THE UNIVERSE. AIP, 2008. http://dx.doi.org/10.1063/1.2993669.

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Nakashima, Takuo. "Queue Management for the Heavy-Tailed Traffics." In 2010 International Conference on Broadband, Wireless Computing, Communication and Applications (BWCCA 2010). IEEE, 2010. http://dx.doi.org/10.1109/bwcca.2010.74.

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Chaudhuri, Surajit, Kenneth Church, Arnd Christian König, and Liying Sui. "Heavy-tailed distributions and multi-keyword queries." In the 30th annual international ACM SIGIR conference. ACM Press, 2007. http://dx.doi.org/10.1145/1277741.1277855.

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Taheri, S. Mahmoud, A. Mohammadpour, and Israa Atiyah. "On fuzzy clustering for heavy-tailed data." In 2017 5th Iranian Joint Congress on Fuzzy and Intelligent Systems (CFIS). IEEE, 2017. http://dx.doi.org/10.1109/cfis.2017.8003683.

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Reports on the topic "Heavy-tailed"

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Adler, Robert J., Raisa E. Feldman, and Murad S. Taqqu. A Practical Guide to Heavy Tails: Statistical Techniques for Analyzing Heavy Tailed Distributions. Defense Technical Information Center, 1997. http://dx.doi.org/10.21236/ada336956.

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Weissmann, Gary S. Final Technical Report - Investigation into the Relationship between Heterogeneity and Heavy-Tailed Solute Transport. Office of Scientific and Technical Information (OSTI), 2013. http://dx.doi.org/10.2172/1109137.

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Yue, Z., Vagharsh Mkhitaryan, and M. E. Raikh. Spectral narrowing and spin echo for localized carriers with heavy-tailed L evy distribution of hopping times. Office of Scientific and Technical Information (OSTI), 2016. http://dx.doi.org/10.2172/1326823.

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Peitz, David, and Naomi Reibold. White-tailed deer monitoring at Arkansas Post National Memorial, Arkansas: 2005–2020 trend report. Edited by Tani Hubbard. National Park Service, 2021. http://dx.doi.org/10.36967/nrr-2285087.

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From 16 years (2005–2020) of monitoring trends in white-tailed deer within a defined survey area of Arkansas Post National Memorial, we have been able to demonstrate both population declines and recoveries. The adjusted count of deer had a seven-fold increase between 2007 and 2011 following a two-year decline and a three-fold increase between 2017 and 2019 following a six-year decline. Overall, the deer population has declined slightly, averaging a 0.5% reduction in herd size annually. The number of deer in the survey area ranged from 16.77 ± 21.26 (mean + 95% CI) individuals/km2 in 2007 to 11
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