Sökning: "heavy tails"

Visar resultat 1 - 5 av 8 avhandlingar innehållade orden heavy tails.

1. 1. A Non-Gaussian Limit Process with Long-Range Dependence

   Författare :Raimundas Gaigalas; Ingemar Kaj; Esko Valkeila; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; long-range dependence; traffic modelling; arrival process; self-similarity; heavy tails; fractional Brownian motion; stable processes; renewal processes; independently scattered random measure; weak convergence; 60F17; 60G18; 90B18; 60K05 ; Matematisk statistik; Mathematical statistics; Matematisk statistik;

   Sammanfattning : This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. LÄS MER

3. 2. Some Markov Processes in Finance and Kinetics : Markov Processes

   Författare :Mattias Sunden; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; CGMY process; Collision kernel; Direct simulation Monte Carlo; Diffusion approximation; Extreme value theory; Feller process; Generalized hyperbolic process; Generalized $z$-process; Infinitesimal generator; Laplace-Beltrami operator; L evy Processes; Long-tailed distribution; Kac equation; Kac model; Markov process; Semigroup; Semi-heavy tailed distirbution; Spectral gap; Subexponential distibrution; Superexponential distribution; Tauberian theorem; Thermostat.; Diffusion approximation;

   Sammanfattning : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. LÄS MER

4. 3. Rare-event simulation with Markov chain Monte Carlo

   Författare :Thorbjörn Gudmundsson; Henrik Hult; Ad Ridder; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : Stochastic simulation is a popular method for computing probabilities or expecta- tions where analytical answers are difficult to derive. It is well known that standard methods of simulation are inefficient for computing rare-event probabilities and there- fore more advanced methods are needed to those problems. LÄS MER

5. 4. Extreme Value Statistics and Quantile Estimation with Applications in Finance and Insurance

   Författare :Erik Brodin; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis presents results in Extreme Value Statistics and quantile estimation. A first part includes a popular scientific introduction to Extreme Value Statistics and a review paper on Extreme Value Theory in finance. Further, we study new non-parametric quantile estimators for non-extreme quantiles. LÄS MER

7. 5. Noise Convolution Models: Fluids in Stochastic Motion, Non-Gaussian Tempo-Spatial Fields, and a Notion of Tilting

   Författare :Jörg Wegener; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; generalized Laplace; shallow water equations; asymmetry; noise convolution models; tempo-spatial fields; non-Gaussian model;

   Sammanfattning : The primary topic of this thesis is a class of tempo-spatial models which are rather flexible in a distributional sense. They prove quite successful in modeling (temporal) dependence structures and go beyond the limitation of Gaussian models, thus allowing for heavy tails and skewness. LÄS MER