相关论文: Tail behavior of solutions of linear recursions on…

The tail behavior of aggregates of heavy-tailed random vectors is known to be determined by the so-called principle of "one large jump'', be it for finite sums, random sums, or, L\'evy processes. We establish that, in fact, a more general…

We consider solutions of the stochastic equation $R=_d\sum_{i=1}^NA_iR_i+B$, where $N>1$ is a fixed constant, $A_i$ are independent, identically distributed random variables and $R_i$ are independent copies of $R$, which are independent…

We investigate the relaxation of long-tailed distributions under stochastic dynamics that do not support such tails. Linear relaxation is found to be a borderline case in which long tails are exponentially suppressed in time but not…

We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to…

We obtain an uniform tail estimates for natural normed sums of independent random variables (r.v.) with regular varying tails of distributions. We give also many examples on order to show the exactness of offered estimates and discuss some…

We investigate a way of comparing and classifying tails of random variables. Our approach extends the notion of classical indices, such as exponential and moment indices, which are widely used measuring heaviness of tail functions. A…

This article introduces a non-parametric information-theoretic approach to inference about the tail of a continuous or a discrete distribution. Leveraging a new concept named tail profile -- a set of information-theoretic quantities…

In this thesis the properties of two kinds of non-uniform random recursive trees are studied. In the first model weights are assigned to each node, thus altering the attachment probabilities. We will call these trees weighted recursive…

For many optimization algorithms the time-to-solution depends not only on the problem size but also on the specific problem instance and may vary by many orders of magnitude. It is then necessary to investigate the full distribution and…

We consider solutions to so-called stochastic fixed point equation $R \stackrel{d}{=} \Psi(R)$, where $\Psi $ is a random Lipschitz function and $R$ is a random variable independent of $\Psi$. Under the assumption that $\Psi$ can be…

A uniform recursive tree on $n$ vertices is a random tree where each possible $(n-1)!$ labeled recursive rooted tree is selected with equal probability. In this paper we introduce and study weighted trees, a non-uniform recursive tree model…

We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…

Understanding the shape of a distribution of data is of interest to people in a great variety of fields, as it may affect the types of algorithms used for that data. We study one such problem in the framework of distribution property…

We reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to include interdependence among the primary random variables, as…

For a martingale $(X_n)$ converging almost surely to a random variable $X$, the sequence $(X_n - X)$ is called martingale tail sum. Recently, Neininger [Random Structures Algorithms, 46 (2015), 346-361] proved a central limit theorem for…

A weighted recursive tree is an evolving tree in which vertices are assigned random vertex-weights and new vertices connect to a predecessor with a probability proportional to its weight. Here, we study the maximum degree and near-maximum…

Decision tree learning is increasingly being used for pointwise inference. Important applications include causal heterogenous treatment effects and dynamic policy decisions, as well as conditional quantile regression and design of…

It is argued that there is a need for fat-tailed distributions that become thin in the extreme tail. A 3-parameter distribution is introduced that visually resembles the t-distribution and interpolates between the normal distribution and…

Consider a generic data unit of random size L that needs to be transmitted over a channel of unit capacity. The channel availability dynamics is modeled as an i.i.d. sequence {A, A_i},i>0 that is independent of L. During each period of time…

We consider certain Fibonacci-like sequences $(X_n)_{n\geq 0}$ perturbed with a random noise. Our main result is that $\frac{1}{X_n}\sum_{k=0}^{n-1}X_k$ converges in distribution, as $n$ goes to infinity, to a random variable $W$ with…