Heavy-tailed相关论文
The estimation of high quantile plays an important role in risk management,because the prevalent risk measure VaR(value ......
The famous Embrechts-Goldie-Veraverbeke formula shows that, in the classical Cramér-Lundberg risk model, the ruin p......
Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investm
In this study, we investigate the tail probability of the discounted aggregate claim sizes in a dependent risk model. In......
本文提出一类新的极值指数的估计,在一阶与二阶条件下,证明所提出估计具有相合性与渐近正态性.尽管新的估计与L_p估计具有相同的渐......
The error patterns of a wireless channel can be represented by a binary sequence of ones(burst) and zeros(run),which is ......
为探究吕家坨井田地质构造格局,根据钻孔勘探资料,采用分形理论和趋势面分析方法,研究了井田7......
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For two independent non-negative random variables X and Y, we treat X as the initial variable of major importance and Y ......
This paper gives a review of concentration inequalities which are widely employed in non-asymptotical analyses of mathem......
网络流量表现出突发和自相似等动态特性,使得网络应用很难进行准确分类。本文分析了流量动态特性产生的不平衡性及其重尾分布,提出......
Many heuristic search methods exhibit a remarkable variability in the time required to solve some particular problem ins......
详细讨论了重尾指数估计中选取k的Sumplot方法和Bootstrap方法，并对Hall提出的Bootstrap方法作了改进，称为M—Bootstrap方法．井利用上......
本文考虑离散时间风险模型Un=（Un-1＋Yn）（1＋rn）-Xn,n=1,2,…,其中U0=x〉0为保险公司的初始准备金,rn为在第n个时刻的利率,Yn为到时刻n为止......
本文对随机波动建模方面取得的进展进行了综述与简评,并提出了今后值得研究的一些相关问题.......
重尾过程的协整检验统计量渐近分布含有不可估计的重尾指数a，针对重尾过程的协整检验运用Bootstrap抽样算法，在不估计重尾指数a的情......
在分析蠕虫传播机制基础上，基于入侵检测系统Bro的整体框架，以基于FCC（First Contact Connections，第一次连接）失败概率和重尾特性的蠕......
经过十年的研究,发现电信网络业务流量显示自相似和长相关性.传统模型不能很好的仿真网络特性,而重尾分布的ON/OFF模型能够很好地......
这份报纸应付降雨过程的一个随机的代表。一个降雨时间系列的分析证明一个降雨时间系列的累积表示能与木头正常作为 non-Gaussian ......
Heavy-Tailed Distributions Generated by Randomly Sampled Gaussian, Exponential and Power-Law Functio
A simple stochastic mechanism that produces exact and approximate power-law distributions is presented. The model consid......
针对无穷方差重尾相依序列的均值变点检验问题,基于序列自正则方法构造CUSUM型统计量,并在原假设下得到其渐近分布,在备择假设下得......
For any given positive integer m,let Xi,1≤i≤m be m independent random variables with distributions Fi,1≤i≤m.When all......
股票收益率等金融时间序列具有重尾特征,因而不适于用正态分布来描述,次指数分布族S是一类重尾分布族,能够很好的处理具有偏态、重......
In this paper, we propose the double-penalized quantile regression estimators in partially linear models. An iterative a......
