相关论文: Exponential tilting of subweibull distributions
High-dimensional covariance estimation is notoriously sensitive to outliers. While statistically optimal estimators exist for general heavy-tailed distributions, they often rely on computationally expensive techniques like semidefinite…
We establish upper and lower bounds with matching leading terms for tails of weighted sums of two-sided exponential random variables. This extends Janson's recent results for one-sided exponentials.
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…
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…
Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F.…
The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…
We prove the emergence of stable fluctuations for reaction-diffusion in random environment with Weibull tails. This completes our work around the quenched to annealed transition phenomenon in this context of reaction diffusion. In [9], we…
We study the long-time behavior of the probability density associated with the decoupled continuous-time random walk which is characterized by a superheavy-tailed distribution of waiting times. It is shown that if the random walk is…
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…
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.
This paper studies extremal quantiles under two-way clustered dependence. We show that the limiting distribution of unconditional intermediate-order tail quantiles is Gaussian. This result is notable because two-way clustering typically…
The task for a general and useful classification of the tail behaviors of probability distributions still has no satisfactory solution. Due to lack of information outside the range of the data the tails of the distribution should be…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
The mathematical properties of a family of generalized beta distribution, including beta-normal, skewed-t, log-F, beta-exponential, beta-Weibull distributions have recently been studied in several publications. This paper applies these…
This note provides some new inequalities and approximations for beta distributions, including tail inequalities, exponential inequalities of Hoeffding and Bernstein type, Gaussian inequalities and approximations.
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are influenced by claim management and claims may for instance…
The peculiar properties of the Inverse Weibull (IW) distribution are shown. It is proven that the IW distribution is one of the few models having upside- down bathtub (UBT) shaped hazard function. Three real and typical de generative…
We propose a variational tail bound for norms of random vectors under moment assumptions on their one-dimensional marginals. A simplified version of the bound that parametrizes the ``aggregating distribution'' using a certain pushforward of…
Power-law tail behavior and the summation scheme of Levy-stable distributions is the basis for their frequent use as models when fat tails above a Gaussian distribution are observed. However, recent studies suggest that financial asset…
Considering the recently studied Gamma exponentiated exponential Weibull ${\rm GEEW}(\theta)$ probability distribution \cite{PoganySaboor} surprising infinite summations are obtained for series which building blocks are special functions…