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  • Search: subject:"regularly varying function"
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Year of publication
Subject
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Regularly varying function 3 regularly varying function 3 Statistical distribution 2 Statistische Verteilung 2 large deviation probability 2 quasi-increasing 2 Algorithm 1 Algorithmus 1 Asymmetric stable law 1 Csorgo-Révész increment 1 Domain of attraction 1 Estimation theory 1 Finanzmathematik 1 Gaussian process 1 Gaussian random field 1 Generalized expectation-maximization algorithm 1 Heavy-tailed random sums 1 Karamata’s representation theorem 1 Karamata’s tauberian theorem 1 Karamata’s theorem 1 Law of the iterated logarithm 1 M-estimator 1 Mathematical finance 1 Mathematical programming 1 Mathematische Optimierung 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Modellierung 1 Multimodal distribution 1 O-regularly varying function 1 Order statistics Regularly varying function 1 Peter and Paul distribution 1 Probability theory 1 Random sums 1 Random truncation 1 Risiko 1 Risikomanagement 1 Risikomodell 1 Risk 1 Risk management 1
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Online availability
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Undetermined 5 Free 1
Type of publication
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Article 5 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 4 Undetermined 4
Author
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Choi, Yong-Kab 2 Cadena, Meitner 1 Chao, Min-Te 1 Cheng, Fengyang 1 Divanji, Gooty 1 Fung, Tsz Chai 1 Gadidov, Anda 1 Hwang, Kyo-Shin 1 Kratz, Marie 1 Liang, Wen-Qi 1 Moon, Hee-Jin 1 Sreehari, Maddipatla 1 Sung, Hwa-Sang 1 Zhang, Qiuying 1
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Institution
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Départment des sciences administratives, Université du Québec en Outaouais (UQO) 2 ESSEC Business School 1
Published in...
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Statistics & Probability Letters 3 RePAd Working Paper Series 2 ESSEC Working Papers 1 Insurance / Mathematics & economics 1 Scandinavian actuarial journal 1
Source
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RePEc 6 ECONIS (ZBW) 2
Showing 1 - 8 of 8
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Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
Fung, Tsz Chai - In: Insurance / Mathematics & economics 107 (2022), pp. 180-198
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013471210
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Precise local large deviations for heavy-tailed random sums with applications to risk models
Zhang, Qiuying; Cheng, Fengyang - In: Scandinavian actuarial journal (2018) 5, pp. 450-463
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011881464
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An Extension of the Class of Regularly Varying Functions
Cadena, Meitner; Kratz, Marie - ESSEC Business School - 2014
We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characterize it by transformations, corresponding to generalized moments when these functions are random variables. We study...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011107025
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Limit infimum results for subsequences of partial sums and random sums of i.i.d. random variables
Sreehari, Maddipatla; Divanji, Gooty - In: Statistics & Probability Letters 95 (2014) C, pp. 101-109
We consider independent random variables {Xn} with a common distribution function F in the domain of attraction of an asymmetric stable law with exponent α≠1, and we prove limit infimum results for subsequences of partial sums of Xn and random sums.
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011039934
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Path properties of (N;d)-Gaussian random fields
Choi, Yong-Kab - Départment des sciences administratives, Université … - 2004
In this paper, we investigate several sample path properties on the increments of (N,d)-Gaussian random fields and also we obtain the law of iterated logarithm for the Gaussian random field, via estimating upper and lower bounds of large deviation probabilities on suprema of the (N,d)- Gaussian...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005773144
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On the Csorgo-Révész increments of finite dimensional Gaussian random fields
Choi, Yong-Kab; Sung, Hwa-Sang; Hwang, Kyo-Shin; Moon, … - Départment des sciences administratives, Université … - 2004
In this paper, we establish some limit theorems on the combined Csorgo-Révész increments with moduli of continuity for finite dimensional Gaussian random fields under mild conditions, via estimating upper bounds of large deviation probabilities on suprema of the finite dimensional Gaussian...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005773154
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An inequality for order statistics
Gadidov, Anda - In: Statistics & Probability Letters 34 (1997) 1, pp. 1-4
Let k be a non-negative integer, and let r1, r2,..., rk be non-negative real numbers satisfying r1 + r2 + ... + rk [less-than-or-equals, slant] 1 and ri+1 + ... + rk (k - i)/k for all i = 1,...,k - 1. It is proved that there exists a constant c such that for any X1,X2,...,Xk non-negative i.i.d....
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005319296
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Moments do not determine tail
Chao, Min-Te; Liang, Wen-Qi - In: Statistics & Probability Letters 19 (1994) 4, pp. 327-328
It is an elementary fact that the existence of moments are determined by the tail behavior of the distribution. The converse, however, needs to be discussed. We provide an elementary example that shows random variables with only a few finite moments may have a p.d.f. [latin small letter f with...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005254226
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