scholarly journals The divisible sandpile with heavy-tailed variables

2018 ◽  
Vol 128 (9) ◽  
pp. 3054-3081 ◽  
Author(s):  
Alessandra Cipriani ◽  
Rajat Subhra Hazra ◽  
Wioletta M. Ruszel
Keyword(s):  
Divisible Sandpile ◽  
Heavy Tailed

An Alternative to Cohen's κ

2006 ◽  
Vol 11 (1) ◽  
pp. 12-24 ◽  
Author(s):  
Alexander von Eye
Keyword(s):  
Simulation Study ◽  
Null Hypothesis ◽  
Categorical Variables ◽  
Alternative Measure ◽  
Rater Agreement ◽  
Verbal Processing ◽  
Heavy Tailed ◽  
Applicant Selection

At the level of manifest categorical variables, a large number of coefficients and models for the examination of rater agreement has been proposed and used. The most popular of these is Cohen's κ. In this article, a new coefficient, κ s , is proposed as an alternative measure of rater agreement. Both κ and κ s allow researchers to determine whether agreement in groups of two or more raters is significantly beyond chance. Stouffer's z is used to test the null hypothesis that κ s = 0. The coefficient κ s allows one, in addition to evaluating rater agreement in a fashion parallel to κ, to (1) examine subsets of cells in agreement tables, (2) examine cells that indicate disagreement, (3) consider alternative chance models, (4) take covariates into account, and (5) compare independent samples. Results from a simulation study are reported, which suggest that (a) the four measures of rater agreement, Cohen's κ, Brennan and Prediger's κ n , raw agreement, and κ s are sensitive to the same data characteristics when evaluating rater agreement and (b) both the z-statistic for Cohen's κ and Stouffer's z for κ s are unimodally and symmetrically distributed, but slightly heavy-tailed. Examples use data from verbal processing and applicant selection.

Probability and Random Processes

2018 ◽  
Author(s):  
Stefan Thurner ◽  
Rudolf Hanel ◽  
Peter Klimekl
Keyword(s):  
Random Processes ◽  
Distribution Functions ◽  
Basic Logic ◽  
Heavy Tailed Distributions ◽  
Random Components ◽  
Classical Distribution ◽  
Heavy Tailed ◽  
Basic Facts ◽  
Stochastic Events ◽  
Stochastic Event

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.

scholarly journals MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES

2019 ◽  
Vol 35 (6) ◽  
pp. 1234-1270 ◽  
Author(s):  
Sébastien Fries ◽  
Jean-Michel Zakoian
Keyword(s):  
Conditional Distribution ◽  
Stable Distribution ◽  
Financial Time Series ◽  
Domain Of Attraction ◽  
Real Data ◽  
Autoregressive Processes ◽  
Financial Time ◽  
Causal Representation ◽  
Heavy Tailed ◽  
Non Gaussian

Noncausal autoregressive models with heavy-tailed errors generate locally explosive processes and, therefore, provide a convenient framework for modelling bubbles in economic and financial time series. We investigate the probability properties of mixed causal-noncausal autoregressive processes, assuming the errors follow a stable non-Gaussian distribution. Extending the study of the noncausal AR(1) model by Gouriéroux and Zakoian (2017), we show that the conditional distribution in direct time is lighter-tailed than the errors distribution, and we emphasize the presence of ARCH effects in a causal representation of the process. Under the assumption that the errors belong to the domain of attraction of a stable distribution, we show that a causal AR representation with non-i.i.d. errors can be consistently estimated by classical least-squares. We derive a portmanteau test to check the validity of the estimated AR representation and propose a method based on extreme residuals clustering to determine whether the AR generating process is causal, noncausal, or mixed. An empirical study on simulated and real data illustrates the potential usefulness of the results.

A novel robust Kalman filter with unknown non-stationary heavy-tailed noise

Automatica ◽  
2021 ◽  
Vol 127 ◽  
pp. 109511
Author(s):  
Hao Zhu ◽  
Guorui Zhang ◽  
Yongfu Li ◽  
Henry Leung
Keyword(s):  
Kalman Filter ◽  
Robust Kalman Filter ◽  
Heavy Tailed

scholarly journals Evolutionary algorithms and submodular functions: benefits of heavy-tailed mutations

2021 ◽  
Author(s):  
Francesco Quinzan ◽  
Andreas Göbel ◽  
Markus Wagner ◽  
Tobias Friedrich
Keyword(s):  
Evolutionary Algorithms ◽  
Submodular Functions ◽  
Heavy Tailed

Centered error entropy Kalman filter with application to satellite attitude determination

2021 ◽  
pp. 014233122110198
Author(s):  
Baojian Yang ◽  
Lu Cao ◽  
Dechao Ran ◽  
Bing Xiao
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
Attitude Determination ◽  
Complexity Analysis ◽  
Iteration Algorithm ◽  
Robust Algorithms ◽  
Convergence Conditions ◽  
Satellite Attitude ◽  
Heavy Tailed ◽  
Non Gaussian

Due to unavoidable factors, heavy-tailed noise appears in satellite attitude estimation. Traditional Kalman filter is prone to performance degradation and even filtering divergence when facing non-Gaussian noise. The existing robust algorithms have limited accuracy. To improve the attitude determination accuracy under non-Gaussian noise, we use the centered error entropy (CEE) criterion to derive a new filter named centered error entropy Kalman filter (CEEKF). CEEKF is formed by maximizing the CEE cost function. In the CEEKF algorithm, the prior state values are transmitted the same as the classical Kalman filter, and the posterior states are calculated by the fixed-point iteration method. The CEE EKF (CEE-EKF) algorithm is also derived to improve filtering accuracy in the case of the nonlinear system. We also give the convergence conditions of the iteration algorithm and the computational complexity analysis of CEEKF. The results of the two simulation examples validate the robustness of the algorithm we presented.

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