.png){kind=icon}
返回
Efficient algorithms for heavy-tail analysis under interval uncertainty
.png){kind=icon}
PRE
AI
DOI：10.1007/s10479-011-0911-6.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Most applications of statistics to science and engineering are based on the assumption that the corresponding random variables are normally distributed, i.e., distributed according to Gaussian law in which the probability density function rho(x) exponentially decreases with x: rho(x) similar to exp(-k . x(2)). Normal distributions indeed frequently occur in practice. However, there are also many practical situations, including situations from mathematical finance, in which we encounter heavy-tailed distributions, i.e., distributions in which rho(x) decreases as rho(x) similar to x(-alpha). To properly take this uncertainty into account when making decisions, it is necessary to estimate the parameters of such distributions based on the sample data x(1), ... , x(n)-and thus, to predict the size and the probabilities of large deviations. The most well-known statistical estimates for such distributions are the Hill estimator H for alpha and the Weismann estimator W for the corresponding quantiles. These estimators are based on the simplifying assumption that the sample values x(i) are known exactly. In practice, we often know the values x(i) only approximately-e.g., we know the estimates (x) over tilde (i) and we know the upper bounds Delta(i) on the estimation errors. In this case, the only information that we have about the actual (unknown) value x(i) is that x(i) belongs to the interval x(i) = [(x) over tilde (i) - Delta(i), (x) over tilde (i) + Delta(i)]. Different combinations of values x(i) is an element of x(i) lead, in general, to different values of H and W. It is therefore desirable to find the ranges[(H) under bar, (H) over bar] and [(W) under bar, (W) over bar] of possible values of H and W. In this paper, we describe efficient algorithms for computing these ranges.
Keyword:
Heavy-tailed distributions
Interval uncertainty
Efficient algorithms
Hill estimator
Weissman estimator
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4.5
论文数:
8.1K
被引数:
2.1W
机构
引用论文
The influence of seizure frequency on anterograde and remote memory in mesial temporal lobe epilepsy.png)
Seizure
OAAI
SeizureIF0
OAAI分享收藏分享收藏分享收藏
查看更多内容