A computationally efficient approach on detecting star-shaped change boundaries in random fields with heavy-tailed distributions

2020 ◽  
Vol 169 ◽  
pp. 16-25
Author(s):  
Tsung-Lin Cheng ◽  
Jheng-Ting Wang
2020 ◽  
Vol 8 (1) ◽  
pp. 373-395
Author(s):  
Courtney Vanderford ◽  
Yongli Sang ◽  
Xin Dang

AbstractStandard Gini correlation plays an important role in measuring the dependence between random variables with heavy-tailed distributions. It is based on the covariance between one variable and the rank of the other. Hence for each pair of random variables, there are two Gini correlations and they are not equal in general, which brings a substantial difficulty in interpretation. Recently, Sang et al (2016) proposed a symmetric Gini correlation based on the joint spatial rank function with a computation cost of O(n2) where n is the sample size. In this paper, we study two symmetric and computationally efficient Gini correlations with the computational complexity of O(n log n). The properties of the new symmetric Gini correlations are explored. The influence function approach is utilized to study the robustness and the asymptotic behavior of these correlations. The asymptotic relative efficiencies are considered to compare several popular correlations under symmetric distributions with different tail-heaviness as well as an asymmetric log-normal distribution. Simulation and real data application are conducted to demonstrate the desirable performance of the two new symmetric Gini correlations.


2019 ◽  
Vol 2019 ◽  
pp. 1-18
Author(s):  
Mohan L. Chaudhry ◽  
James J. Kim ◽  
Abhijit D. Banik

A simple solution to determine the distributions of queue-lengths at different observation epochs for the model GIX/Geo/c is presented. In the past, various discrete-time queueing models, particularly the multiserver bulk-arrival queues, have been solved using complicated methods that lead to incomplete results. The purpose of this paper is to use the roots method to solve the model GIX/Geo/c that leads to a result that is analytically elegant and computationally efficient. This method works well even for the case when the inter-batch-arrival times follow heavy-tailed distributions. The roots of the underlying characteristic equation form the basis for all distributions of queue-lengths at different time epochs.


2018 ◽  
Vol 70 (1) ◽  
pp. 74-85
Author(s):  
Mohan L. Chaudhry ◽  
Indra ◽  
Vijay Rajan

The previous studies pertaining to the queues Geo/G/1 and Geo/G/1/N involve light-tailed distributions for service time. However, due to applications of heavy-tailed distributions in computer science and financial engineering, these distributions are used for service time. This article provides a simple and computationally efficient solution to the queues Geo/G/1 and Geo/G/1/N involving heavy-tailed distributions for service times.


Author(s):  
Stefan Thurner ◽  
Rudolf Hanel ◽  
Peter Klimekl

Phenomena, systems, and processes are rarely purely deterministic, but contain stochastic,probabilistic, or random components. For that reason, a probabilistic descriptionof most phenomena is necessary. Probability theory provides us with the tools for thistask. Here, we provide a crash course on the most important notions of probabilityand random processes, such as odds, probability, expectation, variance, and so on. Wedescribe the most elementary stochastic event—the trial—and develop the notion of urnmodels. We discuss basic facts about random variables and the elementary operationsthat can be performed on them. We learn how to compose simple stochastic processesfrom elementary stochastic events, and discuss random processes as temporal sequencesof trials, such as Bernoulli and Markov processes. We touch upon the basic logic ofBayesian reasoning. We discuss a number of classical distribution functions, includingpower laws and other fat- or heavy-tailed distributions.


Entropy ◽  
2021 ◽  
Vol 23 (1) ◽  
pp. 70
Author(s):  
Mei Ling Huang ◽  
Xiang Raney-Yan

The high quantile estimation of heavy tailed distributions has many important applications. There are theoretical difficulties in studying heavy tailed distributions since they often have infinite moments. There are also bias issues with the existing methods of confidence intervals (CIs) of high quantiles. This paper proposes a new estimator for high quantiles based on the geometric mean. The new estimator has good asymptotic properties as well as it provides a computational algorithm for estimating confidence intervals of high quantiles. The new estimator avoids difficulties, improves efficiency and reduces bias. Comparisons of efficiencies and biases of the new estimator relative to existing estimators are studied. The theoretical are confirmed through Monte Carlo simulations. Finally, the applications on two real-world examples are provided.


Entropy ◽  
2020 ◽  
Vol 23 (1) ◽  
pp. 56
Author(s):  
Haoyu Niu ◽  
Jiamin Wei ◽  
YangQuan Chen

Stochastic Configuration Network (SCN) has a powerful capability for regression and classification analysis. Traditionally, it is quite challenging to correctly determine an appropriate architecture for a neural network so that the trained model can achieve excellent performance for both learning and generalization. Compared with the known randomized learning algorithms for single hidden layer feed-forward neural networks, such as Randomized Radial Basis Function (RBF) Networks and Random Vector Functional-link (RVFL), the SCN randomly assigns the input weights and biases of the hidden nodes in a supervisory mechanism. Since the parameters in the hidden layers are randomly generated in uniform distribution, hypothetically, there is optimal randomness. Heavy-tailed distribution has shown optimal randomness in an unknown environment for finding some targets. Therefore, in this research, the authors used heavy-tailed distributions to randomly initialize weights and biases to see if the new SCN models can achieve better performance than the original SCN. Heavy-tailed distributions, such as Lévy distribution, Cauchy distribution, and Weibull distribution, have been used. Since some mixed distributions show heavy-tailed properties, the mixed Gaussian and Laplace distributions were also studied in this research work. Experimental results showed improved performance for SCN with heavy-tailed distributions. For the regression model, SCN-Lévy, SCN-Mixture, SCN-Cauchy, and SCN-Weibull used less hidden nodes to achieve similar performance with SCN. For the classification model, SCN-Mixture, SCN-Lévy, and SCN-Cauchy have higher test accuracy of 91.5%, 91.7% and 92.4%, respectively. Both are higher than the test accuracy of the original SCN.


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