Showing 21 - 30 of 217
Persistent link: https://www.econbiz.de/10013364105
We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities, but that the reverse implication does not hold. We also establish implications among other versions of the weak Pareto law.
Persistent link: https://www.econbiz.de/10010316717
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011451510
Recent advances in social science surveys include collection of biological samples. Although biomarkers offer a large potential for social science and economic research, they impose a number of statistical challenges, often being distributed asymmetrically with heavy tails. Using data from the...
Persistent link: https://www.econbiz.de/10012028750
This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can be predicted with certainty, i.e., that...
Persistent link: https://www.econbiz.de/10013200560
Fitting parametric models or the use of the empirical cumulative distribution function are problematic when it comes to the estimation of tail probabilities from small samples. A possible remedy is to fuse or combine the small samples with additional data from external sources and base the...
Persistent link: https://www.econbiz.de/10012600250
A certain spectrum, indexed by a\in[0,\infty], of upper bounds P_a(X;x) on the tail probability P(X\geq x), with P_0(X;x)=P(X\geq x) and P_\infty(X;x) being the best possible exponential upper bound on P(X\geq x), is shown to be stable and monotonic in a, x, and X, where x is a real number and X...
Persistent link: https://www.econbiz.de/10011107455
A well-known longstanding conjecture on the supremum of the tails of normalized sums of independent Rademacher random variables is disproved. A special case of this conjecture was recently disproved by A. Zhubr.
Persistent link: https://www.econbiz.de/10011208327
We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities, but that the reverse implication does not hold. We also establish implications among other versions of the weak Pareto law.
Persistent link: https://www.econbiz.de/10010982399
The tails of the distribution of a mean zero, variance σ2 random variable Y satisfy concentration of measure inequalities of the form P(Y≥t)≤exp(−B(t)) forB(t)=t22(σ2+ct)for  t≥0,andB(t)=tc(logt−loglogt−σ2c)for  te whenever there exists a zero biased coupling of Y bounded by c,...
Persistent link: https://www.econbiz.de/10011040016