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Far-End-Tail Estimation of Queueing System Performance
In this work, we consider an approximation of the so-called far-end-tail distribution of processes describing quality of service (QoS) performance of...
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Probability Models and Some Mathematical Techniques on Parameter Estimation for Daily Rainfall Extremes: Application to Daily Rainfall in Southern Thailand
AbstractThis study aims to identify the optimal distribution for modeling extreme events based on annual maximum series data from meteorological...
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A Review of the Rayleigh Distribution: Properties, Estimation & Application to COVID-19 Data
We study the different properties of the Rayleigh distribution. These include the descriptive properties, reliability properties and stochastic...
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A novel XGamma extension: applications and actuarial risk analysis under the reinsurance data
Continuous distributions can be used to characterize risk exposure successfully. It is preferable to use a numerical value, or at the very least, a...
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A comparison of different parameter estimation methods for exponentially modified Gaussian distribution
The convolution of the independent Gaussian and exponential distribution is known as the exponentialy modified Gaussian (EMG) distribution. The main...
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Limit Theorems for Critical Galton-Watson Processes with Immigration Stopped at Zero
In this paper, we consider a critical Galton–Watson branching process with immigration stopped at zero W . Some precise estimation on the probability...
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A Novel Lomax Extension with Statistical Properties, Copulas, Different Estimation Methods and Applications
A new compound Lomax model is proposed and analyzed. The novel distribution is derived based on compounding the zero truncated Poisson distribution...
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On the Representation and Learning of Monotone Triangular Transport Maps
Transportation of measure provides a versatile approach for modeling complex probability distributions, with applications in density estimation,...
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Fractal Dimension of Random Attractor for a Stochastic Lattice System with White Noise
In this paper, it was studied the finite fractal dimension of random attractor for the stochastic Klein-Gordon-Schrödinger (KGS) lattice equation...
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Weighted least squares estimators for the Parzen tail index
Estimation of the tail index of heavy-tailed distributions and its applications are essential in many research areas. We propose a class of weighted...
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On Randomized Trace Estimates for Indefinite Matrices with an Application to Determinants
Randomized trace estimation is a popular and well-studied technique that approximates the trace of a large-scale matrix B by computing the average of
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Estimation of the Tail of Probability Distribution Through its Characteristic Function
A method for estimation of a probability distribution tail in terms of characteristic function is given.
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Heteroscedastic Laplace mixture of experts regression models and applications
Mixture of Experts (MoE) regression models are widely studied in statistics and machine learning for modeling heterogeneity in data for regression,...
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Extreme Risk Measurement of Carbon Market Considering Multifractal Characteristics
Influenced by the global economy, politics, energy and other factors, the price of carbon market fluctuates sharply. It is of great practical...
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A Credibility Framework for Extreme Value-at-Risk
Value-at-risk estimates derived from extreme value data by fitting fat-tailed distributions can be so large that their validity is open to question....
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High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise
The estimates of the high-dimensional volatility matrix based on high-frequency data play a pivotal role in many financial applications. However,...
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Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
We consider ourselves very fortunate to have been able to publish our 1997 book Embrechts et al. (1997), with the title Modelling Extremal Events for...
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Introduction
This chapter presents an introduction to statistics and statistical modeling in insurance and actuarial science. We discuss the statistical modeling...
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Inferences on Parametric Estimation of Distribution Tails
AbstractWe propose a general method for parameter estimation of a distribution tail that does not depend on the fulfillment of the conditions of the...
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Stochastic Volatility Modeling based on Doubly Truncated Cauchy Distribution and Bayesian Estimation for Chinese Stock Market
In order to measure the uncertainty of financial asset returns in the stock market, this paper presents a new model, called SV-dtC model, a...