7 search results - page 1 / 2 » Estimating tail probabilities of heavy tailed distributions ... |
QUESTA
2007
13 years 4 months ago
2007
Efficient estimation of tail probabilities involving heavy tailed random variables is amongst the most challenging problems in Monte-Carlo simulation. In the last few years, appli...
TOMACS
2002
13 years 4 months ago
2002
Consider the problem of estimating the small probability that the maximum of a random walk exceeds a large threshold, when the process has a negative drift and the underlying rand...
WSC
2008
13 years 6 months ago
2008
We are interested in computing tail probabilities for the maxima of Gaussian random fields. In this paper, we discuss two special cases: random fields defined over a finite number...
CSDA
2006
13 years 4 months ago
2006
The kurtosis coefficient is often regarded as a measure of the tail heaviness of a distribution relative to that of the normal distribution. However, it also measures the peakedne...
SIGMETRICS
2009
ACM
13 years 11 months ago
2009
ACM
In the context of network traffic analysis, we address the problem of estimating the tail index of flow (or more generally of any group) size distribution from the observation of...