Related papers: A Pareto tail plot without moment restrictions
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…
An asymptotic model for extreme behavior of certain Markov chains is the "tail chain". Generally taking the form of a multiplicative random walk, it is useful in deriving extremal characteristics such as point process limits. We place this…
We prove a large deviation principle for the sum of n independent heavy-tailed random variables, which are subject to a moving cut-off boundary at location n. Conditional on the sum being large at scale n, we show that a finite number of…
Mixed Poisson distributions provide a flexible approach to the analysis of count data with overdispersion, zero inflation, or heavy tails. Since the Poisson mean must be nonnegative, the mixing distribution is typically assumed to have…
We use bias-reduced estimators of high quantiles, of heavy-tailed distributions, to introduce a new estimator of the mean in the case of infinite second moment. The asymptotic normality of the proposed estimator is established and checked,…
The noncentral $t$-distribution is a generalization of the Student's $t$-distribution. In this paper we suggest an alternative approach for computing the cumulative distribution function (CDF) of the noncentral $t$-distribution which is…
In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten [12] and Goldie [8] all discount factors in the model are mutually independent. We prove that the tails of the…
The upper tail problem in the Erd\H{o}s--R\'enyi random graph $G\sim\mathcal{G}_{n,p}$ asks to estimate the probability that the number of copies of a graph $H$ in $G$ exceeds its expectation by a factor $1+\delta$. Chatterjee and Dembo…
We study deviation of U-statistics when samples have heavy-tailed distribution so the kernel of the U-statistic does not have bounded exponential moments at any positive point. We obtain an exponential upper bound for the tail of the…
We study random design linear regression with no assumptions on the distribution of the covariates and with a heavy-tailed response variable. In this distribution-free regression setting, we show that boundedness of the conditional second…
We examine statistical pictures of violent conflicts over the last 2000 years, finding techniques for dealing with incompleteness and unreliability of historical data. We introduce a novel approach to apply extreme value theory to…
Extreme events appear in many physics phenomena, whenever the probability distribution has a ''heavy tail'', differing very much from the equilibrium one. Most unusual are the cases of power-law (Pareto) probability distributions. Among…
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…
Let $X_{1,n}\le\cdots\le X_{n,n}$ be the order statistics of $n$ independent random variables with a common distribution function $F$ having right heavy tail with tail index $\gamma$. Given known constants $d_{i,n}$, $1\le i\le n$, consider…
By using a probabilistic technique based on the exponential change of measure we find a precise tail asymptotic behavior of some perpetuities with distributions close to the Dickman distribution.
In extreme value inference it is a fundamental problem how the target value is required to be extreme by the extreme value theory. In iid settings this study both theoretically and numerically compares tail estimators, which are based on…
Overload-induced cascading failures can cause extreme disruptions in a wide range of networked systems, such as power grids, transportation networks, or financial systems. Empirical studies across domains report that the size of such…
In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem, is related to max-sum equivalence of the randomly weighted sums in bi-variate set…
We consider a fixed-point equation for a non-negative integer-valued random variable, that appears in branching processes with state-independent immigration. A similar equation appears in the analysis of a single-server queue with a…
Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and management. When choosing to model the marginal distributions of…