相关论文: On Single Point Forecasts for Fat-Tailed Variables

We introduce the \textsc{Tailed-Uniform} proposal distribution for generating training simulations in simulation-based inference. Instead of sampling parameters uniformly within bounded regions, we extend the distribution beyond prior…

As the increasing application of AI in finance, this paper will leverage AI algorithms to examine tail risk and develop a model to alter tail risk to promote the stability of US financial markets, and enhance the resilience of the US…

We introduce a simple multiplicative model to describe the temporal behavior and the ultimate outcome of an epidemic. Our model accounts, in a minimalist way, for the competing influences of imposing public-health restrictions when the…

We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly…

The clarion call for causal reduction in the study of capital markets is intensifying. However, in self-referencing and open systems such as capital markets, the idea of unidirectional causation (if applicable) may be limiting at best, and…

Standard statistical analysis is unable to provide reliable confidence intervals on expectation values of probability distributions that do not satisfy the conditions of the central limit theorem. We present a regression-based estimator of…

In extreme value analysis, tail behavior of a heavy-tailed data distribution is modeled by a Pareto-type distribution in which the so-called extreme value index (EVI) controls the tail behavior. For heavy-tailed data obtained from multiple…

Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…

Reliable short term forecasting can provide potentially lifesaving insights into logistical planning, and in particular, into the optimal allocation of resources such as hospital staff and equipment. By reinterpreting COVID-19 daily cases…

US public health authorities claim imposing quarantines on healthcare workers returning from West Africa is incorrect according to science. Their positions rely upon a set of studies and experience about outbreaks and transmission…

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…

Empirical-likelihood-based confidence intervals for a mean were introduced by Owen [Biometrika 75 (1988) 237-249], where at least a finite second moment is required. This excludes some important distributions, for example, those in the…

COVID-19 pandemic has brought to the fore epidemiological models which, though describing a wealth of behaviors, have previously received little attention in signal processing literature. In this work, a generalized time-varying…

In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of sums of random variables. We derive the first order upper-tail behaviour of the weighted sum of bivariate random variables under weak…

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…

Just like the degrees of human and animal interaction networks, the distribution of the times between interactions is known to often be right-skewed and fat-tailed. Both these distributions affect epidemic dynamics strongly, but, as we show…

We show that the quotient of Levy processes of jump-diffusion type has a fat-tailed distribution. An application is to price theory in economics. We show that fat tails arise endogenously from modeling of price change based on an excess…

We show bounds on tail probabilities for quadratic forms in sub-gaussian non-necessarily independent random variables. Our main tool will be estimates of the Luxemburg norms of such forms. This will allow us to formulate the above-mentioned…

In risk theory, financial asset returns often follow heavy-tailed distributions. Investors and risk managers used to compare risk measures as the value at risk or tail value at risk in order over the whole confidence levels to avoid the…

Heavy tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with Internet transaction datasets, and machine learners often analyze such data without considering the biases…