Related papers: A counterexample to a hypothesis of light tail of …
A discrete version of the Gumbel (Type I) extreme value distribution has been derived by using the general approach of discretization of a continuous distribution. Important distributional and reliability properties have been explored. It…
We obtain decay rates of probabilities of tails of polynomials in several independent random variables with heavy tails and derive stable limit theorems for nonconventional sums of such polynomials
Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and an expectation-maximization algorithm for their effective…
We study subexponential tail asymptotics for the distribution of the maximum $M_t:=\sup_{u\in[0,t]}X_u$ of a process $X_t$ with negative drift for the entire range of $t>0$. We consider compound renewal processes with linear drift and…
In this paper, we will give a sufficient condition for a non-negative random variable $X$ to be heavy tailed by investigating the Laplace-Stieltjes transform of the probability distribution function. We focus on the relation between the…
We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with regime-switching and without regime-switching is that the…
Beck et al. (2013) introduced a new distribution class J which contains many heavy-tailed and light-tailed distributions obeying the principle of a single big jump. Using a simple transformation which maps heavy-tailed distributions to…
We propose a discrete-time, finite-state stationary process that can possess long-range dependence. Among the interesting features of this process is that each state can have different long-term dependency, i.e., the indicator sequence can…
We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the…
We give new formulas on the total number of born particles in the stable birth-and-assassination process, and prove that it has an heavy-tailed distribution. We also establish that this process is a scaling limit of a process of rumor…
We consider the $\Delta_{(i)}/G/1$ queue, in which a a total of $n$ customers independently demand service after an exponential time. We focus on the case of heavy-tailed service times, and assume that the tail of the service time…
Rate of convergence is studied for a diffusion process on the half line with a non-sticky reflection to a heavy-tailed 1D invariant distribution which density on the half line has a polynomial decay at infinity. Starting from a standard…
In this paper, we consider the problem of linear regression with heavy-tailed distributions. Different from previous studies that use the squared loss to measure the performance, we choose the absolute loss, which is capable of estimating…
We prove a heavy traffic scaling limit for a shortest remaining processing time queue. We are interested in the case where the processing time distribution has a tail that decays rapidly, i.e., has light tails. In particular, we revisit the…
Since the turn of the century, there has been increased interest in the application of heavy-tailed distributions, particularly stable distributions, to problems in physics and finance. Although, the tails of stable distributions provide a…
We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max"…
The solution of $ X=AX+1 $ is analyzed for a discrete variable $ A $ with $ \mathbb{P}\left[A=0\right]>0 $. Accordingly, a fast algorithm is presented to calculate the obtained heavy tail density. To exemplify, the compound product…
Given an arbitrary continuous probability density function, it is introduced a conjugated probability density, which is defined through the Shannon information associated with its cumulative distribution function. These new densities are…