相关论文: The Zeta Tail Distribution: A Novel Event-Count Mo…

The size that an epidemic can reach, measured in terms of the number of fatalities, is an extremely relevant quantity. It has been recently claimed [Cirillo & Taleb, Nature Physics 2020] that the size distribution of major epidemics in…

The Hill estimator is often used to infer the power behavior in tails of experimental distribution functions. This estimator is known to produce bad results in certain situations which have lead to the so-called Hill horror plots. In this…

Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered risk. In this paper, we propose a new risk measure by replacing…

We discuss in this paper a possibility of constructing a whole class of asymptotic distribution-free tests for testing regularly varying tail distributions. The idea is that we treat the tails of distributions as members of a parametric…

This article describes mathematical methods for estimating the top-tail of the wealth distribution and therefrom the share of total wealth that the richest $p$ percent hold, which is an intuitive measure of inequality. As the data base for…

Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these…

A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank delimits the tails of a distribution. We propose a new method…

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…

Conventional methods for extreme event estimation rely on well-chosen parametric models asymptotically justified from extreme value theory (EVT). These methods, while powerful and theoretically grounded, could however encounter a difficult…

We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In…

The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…

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…

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…

Recently some papers, such as Aban, Meerschaert and Panorska (2006), Nuyts (2010) and Clark (2013), have drawn attention to possible truncation in Pareto tail modelling. Sometimes natural upper bounds exist that truncate the probability…

In this paper, we introduce a novel model for the meta-analysis of proportions that integrates the standard random-effects model (REM) with an extreme value theory (EVT)-based component. The proposed model, named XT-REM (Extreme-Tail Random…

With the progress of information technology, large amounts of asymmetric, leptokurtic and heavy-tailed data are arising in various fields, such as finance, engineering, genetics and medicine. It is very challenging to model those kinds of…

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…

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…

This article analyzes the problem of estimating the time until an event occurs, also known as survival modeling. We observe through substantial experiments on large real-world datasets and use-cases that populations are largely…

In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…