scholarly journals Methods of investigation and elimination of systematic errors in the realization of pseudo-random variables with heavy-tailed distributions

2021 ◽  
Vol 1791 (1) ◽  
pp. 012066
Author(s):  
V N Zadorozhnyi ◽  
T R Zakharenkova ◽  
M Pagano
2002 ◽  
Vol 32 (1) ◽  
pp. 43-55 ◽  
Author(s):  
K.W. Ng ◽  
Q.H. Tang ◽  
H. Yang

AbstractIn this paper, we investigate asymptotic properties of the tail probabilities of the maxima of partial sums of independent random variables. For some large classes of heavy-tailed distributions, we show that the tail probabilities of the maxima of the partial sums asymptotically equal to the sum of the tail probabilities of the individual random variables. Then we partially extend the result to the case of random sums. Applications to some commonly used risk processes are proposed. All heavy-tailed distributions involved in this paper are supposed on the whole real line.


2017 ◽  
Vol 12 (2) ◽  
pp. 412-432 ◽  
Author(s):  
Leonardo Rojas-Nandayapa ◽  
Wangyue Xie

AbstractWe consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable Y and a non-negative but otherwise arbitrary random variable S called the scaling random variable. We investigate conditions for such a class of distributions to be either light- or heavy-tailed, we explore subexponentiality and determine their maximum domains of attraction. Particular focus is given to phase-type scale mixture distributions where the scaling random variable S has discrete support – such a class of distributions has been recently used in risk applications to approximate heavy-tailed distributions. Our results are complemented with several examples.


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.


1998 ◽  
Vol 14 (3) ◽  
pp. 339-354 ◽  
Author(s):  
Stefan Mittnik ◽  
Svetlozar T. Rachev ◽  
Jeong-Ryeol Kim

The distribution of sums of squared random variables with heavy-tailed distributions is investigated. Considering random variables in the domain of attraction of a stable Paretian law we derive the limiting distribution as the degrees of freedom approach infinity. The finite-degrees-of-freedom behavior for stable Paretian variates is simulated. Response surface techniques are employed to compactly summarize the simulation results for a relevant range of significance levels.


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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