相关论文: Heavy Tails and Predictive Ability Testing

Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…

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…

The tail index, indicating the degree of fatness of the tail distribution, is an important component of extreme value theory since it dominates the asymptotic distribution of extreme values such as the sample maximum. In this paper, we…

In this paper, we consider the problem of linear regression with heavy-tailed distributions. Different from previous studies that use the squared loss to measure the performance, we choose the absolute loss, which is capable of estimating…

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…

Despite the successes of probabilistic models based on passing noise through neural networks, recent work has identified that such methods often fail to capture tail behavior accurately, unless the tails of the base distribution are…

We study inference on the common stochastic trends in a non-stationary, $N$-variate time series $y_{t}$, in the possible presence of heavy tails. We propose a novel methodology which does not require any knowledge or estimation of the tail…

The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…

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…

In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are regularly varying with index…

The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] proposed estimators of the marginal distributions of this…

Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…

This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded support on both sides. Under weak assumptions on the error…

Heavy-tailed metrics are common and often critical to product evaluation in the online world. While we may have samples large enough for Central Limit Theorem to kick in, experimentation is challenging due to the wide confidence interval of…

The study of loss function distributions is critical to characterize a model's behaviour on a given machine learning problem. For example, while the quality of a model is commonly determined by the average loss assessed on a testing set,…

We establish sharp large deviation asymptotics for the maximum order statistic of independent and identically distributed heavy-tailed random variables, valid for all Borel subsets of the right tail. This result yields exact decay rates for…

Confounding variables are a recurrent challenge for causal discovery and inference. In many situations, complex causal mechanisms only manifest themselves in extreme events, or take simpler forms in the extremes. Stimulated by data on…

In extreme value inference it is a fundamental problem how the target value is required to be extreme by the extreme value theory. In iid settings this study both theoretically and numerically compares tail estimators, which are based on…

Exploratory data analysis is often used to test the goodness-of-fit of sample observations to specific target distributions. A few such graphical tools have been extensively used to detect subexponential or heavy-tailed behavior in observed…

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…