scholarly journals Estimating conditional means with heavy tails

2017 ◽  
Vol 127 ◽  
pp. 14-22
Author(s):  
Liang Peng ◽  
Qiwei Yao
Keyword(s):  
Heavy Tails ◽  
Conditional Means

scholarly journals Quantile composite-based path modeling: algorithms, properties and applications

2021 ◽  
Author(s):  
Pasquale Dolce ◽  
Cristina Davino ◽  
Domenico Vistocco
Keyword(s):  
Least Squares ◽  
Heavy Tails ◽  
Traditional Approach ◽  
Asymptotic Properties ◽  
Ordinary Least Squares ◽  
Diabetic Patients ◽  
Path Modeling ◽  
Theoretical Concepts ◽  
Tail Part ◽  
Conditional Means

AbstractComposite-based path modeling aims to study the relationships among a set of constructs, that is a representation of theoretical concepts. Such constructs are operationalized as composites (i.e. linear combinations of observed or manifest variables). The traditional partial least squares approach to composite-based path modeling focuses on the conditional means of the response distributions, being based on ordinary least squares regressions. Several are the cases where limiting to the mean could not reveal interesting effects at other locations of the outcome variables. Among these: when response variables are highly skewed, distributions have heavy tails and the analysis is concerned also about the tail part, heteroscedastic variances of the errors is present, distributions are characterized by outliers and other extreme data. In such cases, the quantile approach to path modeling is a valuable tool to complement the traditional approach, analyzing the entire distribution of outcome variables. Previous research has already shown the benefits of Quantile Composite-based Path Modeling but the methodological properties of the method have never been investigated. This paper offers a complete description of Quantile Composite-based Path Modeling, illustrating in details the method, the algorithms, the partial optimization criteria along with the machinery for validating and assessing the models. The asymptotic properties of the method are investigated through a simulation study. Moreover, an application on chronic kidney disease in diabetic patients is used to provide guidelines for the interpretation of results and to show the potentialities of the method to detect heterogeneity in the variable relationships.

Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

2007 ◽  
Vol 44 (02) ◽  
pp. 285-294 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Asymptotic Formula ◽  
Continuous Time ◽  
Heavy Tails ◽  
Tail Behavior ◽  
Renewal Model ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

The Greenwood statistic, stochastic dominance, clustering and heavy tails

2021 ◽  
Author(s):  
Marek Arendarczyk ◽  
Tomasz Kozubowski ◽  
Anna Panorska
Keyword(s):  
Stochastic Dominance ◽  
Heavy Tails

scholarly journals Modeling and Estimating Volatility of Day-Ahead Electricity Prices

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 750
Author(s):  
Sherzod N. Tashpulatov
Keyword(s):  
Heavy Tails ◽  
Price Level ◽  
Power Market ◽  
Error Distribution ◽  
Electricity Prices ◽  
Volatility Model ◽  
Generalized Error Distribution ◽  
Student’S T ◽  
The Uk ◽  
The Impact

We model day-ahead electricity prices of the UK power market using skew generalized error distribution. This distribution allows us to take into account the features of asymmetry, heavy tails, and a peak higher than in normal or Student’s t distributions. The adequacy of the estimated volatility model is verified using various tests and criteria. A correctly specified volatility model can be used for analyzing the impact of reforms or other events. We find that, after the start of the COVID-19 pandemic, price level and volatility increased.

scholarly journals Impact of correlations and heavy tails on quantum error correction

2021 ◽  
Vol 103 (5) ◽  
Author(s):  
B. D. Clader ◽  
Colin J. Trout ◽  
Jeff P. Barnes ◽  
Kevin Schultz ◽  
Gregory Quiroz ◽  
...  
Keyword(s):  
Error Correction ◽  
Heavy Tails ◽  
Quantum Error Correction ◽  
Quantum Error

scholarly journals A Generalized Rayleigh Family of Distributions Based on the Modified Slash Model

Symmetry ◽  
2021 ◽  
Vol 13 (7) ◽  
pp. 1226
Author(s):  
Inmaculada Barranco-Chamorro ◽  
Yuri A. Iriarte ◽  
Yolanda M. Gómez ◽  
Juan M. Astorga ◽  
Héctor W. Gómez
Keyword(s):  
Heavy Tails ◽  
Real Data ◽  
Rate Function ◽  
Data Sets ◽  
Estimation Of Parameters ◽  
Stochastic Representation ◽  
Likelihood Methods ◽  
Chi Square ◽  
Maximum Likelihood Methods ◽  
Family Of Distributions

Specifying a proper statistical model to represent asymmetric lifetime data with high kurtosis is an open problem. In this paper, the three-parameter, modified, slashed, generalized Rayleigh family of distributions is proposed. Its structural properties are studied: stochastic representation, probability density function, hazard rate function, moments and estimation of parameters via maximum likelihood methods. As merits of our proposal, we highlight as particular cases a plethora of lifetime models, such as Rayleigh, Maxwell, half-normal and chi-square, among others, which are able to accommodate heavy tails. A simulation study and applications to real data sets are included to illustrate the use of our results.

Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails

2012 ◽  
Vol 13 (2) ◽  
pp. 228-240 ◽  
Author(s):  
G. Bamberg ◽  
A. Neuhierl
Keyword(s):  
Heavy Tails ◽  
Geometric Mean ◽  
Asymptotic Optimality ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Risky Asset ◽  
Optimal Investment Strategy ◽  
Optimality Properties ◽  
Heavy Tailed ◽  
The Impact

Abstract The strategy to maximize the long-term growth rate of final wealth (maximum expected log strategy, maximum geometric mean strategy, Kelly criterion) is based on probability theoretic underpinnings and has asymptotic optimality properties. This article reviews the allocation of wealth in a two-asset economy with one risky asset and a risk-free asset. It is also shown that the optimal fraction to be invested in the risky asset (i) depends on the length of the basic return period and (ii) is lower for heavy-tailed log returns than for light-tailed log returns.

An evaluation approach for segmentation results of high-resolution remote sensing images based on the degree distribution of land cover networks

2018 ◽  
Vol 32 (25) ◽  
pp. 1850283
Author(s):  
Jing He ◽  
Gang Liu ◽  
Weile Li ◽  
Chuan Tang ◽  
Jiayan Lu
Keyword(s):  
Remote Sensing ◽  
Land Cover ◽  
Degree Distribution ◽  
Heavy Tails ◽  
Object Oriented ◽  
Topological Properties ◽  
Analysis Method ◽  
Remote Sensing Images ◽  
Spectral Difference ◽  
Evaluation Approach

Identifying the degree distribution of land cover networks is helpful to find analytical methods for characterizing complex land cover, including segmentation techniques of remote sensing images of land cover. After segmentation, we can obtain the geographical objects and corresponding relationships. In order to evaluate the segmentation results, we introduce the concept of land cover network and present an analysis method based on statistics of its degree distribution. Considering the object-oriented segmentation and objects merge-based spectral difference segmentation, we construct the land cover networks for different segmentation scales and spatial resolutions under these two segmentation strategies, and study the degree distribution of each land cover network. Experimental results indicate that, for the object-oriented segmentation, the degree distributions of land cover networks follow approximately a Poisson distribution, regardless of the segmentation scales and spatial resolutions. For the objects-merge method based on spectral difference segmentation, degree distributions exhibit heavy tails. Compared with all the segmentation results, the pattern spots after objects-merge better retain the integrity of geographical features and the land cover network can reflect more accurately the topological properties of real land cover when the threshold of objects merge is suitable. This study shows that we can evaluate the reliability of segmentation results objectively by analyzing the degree distribution pattern of land cover networks.

Sign in / Sign up

Export Citation Format

Share Document