相关论文: A Note on Over- and Under-Representation Among Pop…

It is well known that the distribution of returns from various financial instruments are leptokurtic, meaning that the distributions have "fatter tails" than a Normal distribution, and have skew toward zero. This paper presents a graceful…

Phenomena with a constrained sample space appear frequently in practice. This is the case e.g. with strictly positive data and with compositional data, like percentages and the like. If the natural measure of difference is not the absolute…

We derive in this article the asymptotic behavior as well as non-asymptotical estimates of tail of distribution for self-normalized sums of random variables (r.v.) under natural classical norming. We investigate also the case of…

Upper exponential inequalities for the tail probabilities of the centered and normalized number of triangles in the Erd\"{o}s-R\'{e}nyi graph are obtained, where the probability of every edge is fixed. The result is formulated in terms of…

(The third edition corrects minor typos and adds 3 chapters synthesized from published papers plus an appendix on maximum entropy distributions.) The monograph investigates the misapplication of conventional statistical techniques to fat…

Response latency -- the time taken to initiate or complete an action or task -- is one of the principal measures used to investigate the mechanisms subserving human and animal cognitive processes. The right tails of response latency…

Janson and Janson, Luczak and Rucinski proved several inequalities for the lower tail of the distribution of the number of events that hold, when all the events are up-sets (increasing events) of a special form - each event is the…

The properties of a particle diffusing on a one-dimensional lattice where at each site a random barrier and a random trap act simultaneously on the particle are investigated by numerical and analytical techniques. The combined effect of…

For a very general class of probability distributions in disordered Ising spin systems, in the thermodynamical limit, we prove the following property for overlaps among real replicas. Consider the overlaps among s replicas. Add one replica…

Asymptotic properties of finitely generated subgroups of free groups, and of finite group presentations, can be considered in several fashions, depending on the way these objects are represented and on the distribution assumed on these…

We discuss in detail the asymptotic distribution of sample expectiles. First, we show uniform consistency under the assumption of a finite mean. In case of a finite second moment, we show that for expectiles other then the mean, only the…

Stable distributions are of fundamental importance in probability theory, yet their absolute continuity makes them unsuitable for modeling count data. A discrete analog of strict stability has been previously proposed by replacing scaling…

The widespread occurrence of an inverse square relation in the hierarchical distribution of sub-communities within communities (or sub-species within species) has been recently invoked as a signature of hierarchical self-organization within…

A wide range of natural and social phenomena result in observables whose distributions can be well approximated by a power-law decay. The well-known Hill estimator of the tail exponent provides results which are in many respects superior to…

This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.

We study Lifshitz tails for random Schr\"odinger operators where the random potential is alloy type in the sense that the single site potentials are independent, identically distributed, but they may have various function forms. We suppose…

It is well known that the Laplace-Stieltjes transform of a nonnegative random variable (or random vector) uniquely determines its distribution function. We extend this uniqueness theorem by using the Muntz-Szasz Theorem and the identity for…

Ex ante forecast outcomes should be interpreted as counterfactuals (potential histories), with errors as the spread between outcomes. Reapplying measurements of uncertainty about the estimation errors of the estimation errors of an…

The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best…

The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…