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Data analysis for heavy tailed multivariate samples

JOURNAL ARTICLE published January 1997 in Communications in Statistics. Stochastic Models

Authors: John P. Nolan | Anna K. Panorska

A graphical diagnostic for heavy tailed data

JOURNAL ARTICLE published November 2020 in Applied Stochastic Models in Business and Industry

Authors: John P. Nolan

Heavy-tailed modelling in insurance

JOURNAL ARTICLE published January 1997 in Communications in Statistics. Stochastic Models

Authors: T. Mikosch

Estimation of simple characteristics of samples from skewed and heavy-tailed distributions

PROCEEDINGS ARTICLE published November 2007 in Recent Advances in Stochastic Modeling and Data Analysis

Authors: Zdeněk Fabián

Statistical Issues in Modeling Multivariate Stable Portfolios

BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance

Authors: Tomasz J. Kozubowski | Anna K. Panorska | Svetlozar T. Rachev

Multivariate Regular Variation

BOOK CHAPTER published 2017 in Inference for Heavy-Tailed Data Analysis

Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions

JOURNAL ARTICLE published January 2011 in Computational Statistics & Data Analysis

Authors: Wai-Yin Wan | Jennifer So-Kuen Chan

Inference for multivariate heavy-tailed time series models

DISSERTATION published

Authors: Rui She

Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors

JOURNAL ARTICLE published November 2012 in Computational Statistics & Data Analysis

Research funded by Japan Society for the Promotion of Science (21243018)

Authors: Tsunehiro Ishihara | Yasuhiro Omori

PIECEWISE POLYNOMIAL APPROXIMATIONS FOR HEAVY-TAILED DISTRIBUTIONS IN QUEUEING ANALYSIS

JOURNAL ARTICLE published 9 February 2005 in Stochastic Models

Authors: John F. Shortle

QQ Plots, Random Sets and Data from a Heavy Tailed Distribution

JOURNAL ARTICLE published February 2008 in Stochastic Models

Authors: B. Das | S. I. Resnick

Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Roman Liesenfeld | Robert C. Jung

Heavy Tailed Independent Data

BOOK CHAPTER published 2017 in Inference for Heavy-Tailed Data Analysis

Large deviation probabilities for sums of heavy-tailed dependent random vectors

JOURNAL ARTICLE published January 1997 in Communications in Statistics. Stochastic Models

Authors: Adam Jakubowski | Alexander. V. Nagaev | Zaigraev Alexander

Heavy Tailed Dependent Data

BOOK CHAPTER published 2017 in Inference for Heavy-Tailed Data Analysis

On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors

JOURNAL ARTICLE published May 2010 in Journal of Multivariate Analysis

Authors: Vivekananda Roy | James P. Hobert

Multivariate risk models under heavy‐tailed risks

JOURNAL ARTICLE published May 2014 in Applied Stochastic Models in Business and Industry

Authors: Wei Huang | Chengguo Weng | Yi Zhang

On linear models with long memory and heavy-tailed errors

JOURNAL ARTICLE published February 2011 in Journal of Multivariate Analysis

Authors: Zhou Zhou | Wei Biao Wu

Univariate Stable Distributions

BOOK published 2020 in Springer Series in Operations Research and Financial Engineering

Authors: John P. Nolan

JOURNAL ISSUE published September 1997 in Applied Stochastic Models and Data Analysis