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Asymptotic tail behavior of phase-type scale mixture distributions
[article]
2017
arXiv
pre-print
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We 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 nonnegative but otherwise arbitrary ...
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 ...
WX is supported by IPRS/APA scholarship at The University of Queensland. ...
arXiv:1502.01811v2
fatcat:gf4ybd3zcza2plaatq7swxnlfu
Calculation of ruin probabilities for a dense class of heavy tailed distributions
2014
Scandinavian Actuarial Journal
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In this paper we propose a class of infinite-dimensional phase-type distributions with finitely many parameters as models for heavy tailed distributions. ...
It might be of interest to approximate a given heavy-tailed distribution of some other type by a distribution from the class of infinite-dimensional phase-type distributions and to this end we provide ...
Phase-type distributions generalize mixtures and convolutions of exponential distributions, and are widely used in applied probability due to their tractability. ...
doi:10.1080/03461238.2013.865257
fatcat:su2f6wm63bfcpfa5qyxopuxphi
Fitting phase–type scale mixtures to heavy–tailed data and distributions
2018
Extremes
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We consider the fitting of heavy tailed data and distributions with a special attention to distributions with a non-standard shape in the "body" of the distribution. ...
To this end we consider a dense class of heavy tailed distributions introduced in Bladt et al. (Scand. Actuar. ...
Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution ...
doi:10.1007/s10687-017-0306-4
fatcat:ujik5qkecfchhhutytjhtt33d4
APR volume 44 issue 4 Cover and Front matter
2012
Advances in Applied Probability
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Tail behavior of
randomly weighted sums
815 JINGCHEN LIU AND XUAN YANG. ...
Asymptotic properties of the approximate
inverse estimator for directional distributions
General Applied Probability
977 JOAQUIN FONTBONA, HELENE GuERIN AND FLORENT MALRIEU. ...
doi:10.1017/s000186780000611x
fatcat:xztjqaew5zb3zmy7lmlll7z2fy
Fitting phase--type scale mixtures to heavy--tailed data and distributions
[article]
2017
arXiv
pre-print
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To this end we consider a dense class of heavy tailed distributions introduced recently, employing an EM algorithm for the the maximum likelihood estimates of its parameters. ...
We consider the fitting of heavy tailed data and distribution with a special attention to distributions with a non--standard shape in the "body" of the distribution. ...
INTRODUCTION In this paper we consider the maximum likelihood estimation for a dense class of nonnegative heavy-tailed tailed distributions, referred to as scale mixtures of phase-type distribuitions ( ...
arXiv:1705.04357v1
fatcat:76ggkq2axjbella5v46osygg7m
On a Dirichlet Process Mixture Representation of Phase-Type Distributions
2021
Bayesian Analysis
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An explicit representation of phase-type distributions as an infinite mixture of Erlang distributions is introduced. ...
The representation unveils a novel and useful connection between a class of Bayesian nonparametric mixture models and phase-type distributions. ...
With this in mind, we present an explicit representation of phase-type distributions as an infinite mixture of Erlang distributions. ...
doi:10.1214/21-ba1272
fatcat:e3xswxheiba53mx3ab67yfmvoq
Estimating the Parameters of Mixed Shifted Negative Binomial Distributions via an EM Algorithm
2018
Scientia Iranica. International Journal of Science and Technology
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Discrete phase-type (DPH) distributions have one property that is not shared by continuous phase-type (CPH) distributions, i.e., representing a deterministic value as a DPH random variable. ...
in fitting fat-tailed distributions. ...
Acknowledgment The authors thankfully acknowledge professor John Bowers for sharing information of Scottish NHS hospital from 1998 to 1999. ...
doi:10.24200/sci.2018.5130.1117
fatcat:nm6tfzgrxjh43gwe4qwtlaflk4
Local sequence alignments statistics: deviations from Gumbel statistics in the rare-event tail
2007
Algorithms for Molecular Biology
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The optimal score for ungapped local alignments of infinitely long random sequences is known to follow a Gumbel extreme value distribution. ...
Finally, we study also the distribution of the sum statistics of the k best alignments. ...
Score probability distributions for sum-statistics of the k-best scores (solid lines) for L = M = 200Figure 13 Score probability distributions for sum-statistics of the k-best scores (solid lines) for ...
doi:10.1186/1748-7188-2-9
pmid:17625018
pmcid:PMC1945026
fatcat:txmijf6atvh4fcpr2ygumj6p24
Approximation of Ruin Probabilities via Erlangized Scale Mixtures
[article]
2017
arXiv
pre-print
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Then we adapt a recent result which delivers an explicit expression for the probability of ruin in the case that the claim size distribution is modelled as an Erlangized scale mixture. ...
A distinctive feature of such a class is that it contains heavy-tailed distributions. ...
WX is supported by IPRS/APA scholarship at The University of Queensland. HY is supported by APA scholarship at The University of Queensland. ...
arXiv:1705.09405v1
fatcat:hec26oymrvgynen5xbcgc5npay
Adaptive target detection in foliage-penetrating SAR images using alpha-stable models
1999
IEEE Transactions on Image Processing
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A new target detection algorithm is proposed that 1) incorporates symmetric alpha-stable (SS) distributions for accurate clutter modeling, 2) constructs a two-dimensional (2-D) site model for deriving ...
Results of our algorithm on real FOPEN images collected by the Army Research Laboratory are provided. ...
Kapoor of ARL for the APD plot; and the reviewers, whose input has helped to improve this work. ...
doi:10.1109/83.806628
pmid:18267459
fatcat:y6e3g354jnbgtpgxo5s7dej3hy
A Novel Approach for Phase-Type Fitting with the EM Algorithm
2006
IEEE Transactions on Dependable and Secure Computing
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In this paper, a novel approach is presented that fits a restricted class of phase-type distributions, namely mixtures of Erlang distributions, to trace data. ...
Hyper-Erlang Distributions and its Properties Hyper-Erlang Distributions We consider a mixture of M mutually independent Erlang distributions weighted with the (initial) probabilities α 1 ,... ...
with r phases is defined as the sum of r independent identical exponentially distributed random variables. ...
doi:10.1109/tdsc.2006.27
fatcat:hfyjru2ljvh2fnfqzfyp2akmz4
Numerical Techniques in Lévy Fluctuation Theory
2012
Methodology and Computing in Applied Probability
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We do so by approximating the Lévy process under consideration by another Lévy process for which the double transform Ee −αXτ(q) is known, with τ (q) an exponentially distributed random variable with mean ...
1/q; then we use a fast and highly accurate Laplace inversion technique (of almost machine precision) to obtain the distribution ofX t . ...
Open Access This article is distributed under the terms of the Creative Commons Attribution License which permits any use, distribution, and reproduction in any medium, provided the original author(s) ...
doi:10.1007/s11009-012-9296-5
fatcat:4nwyf65venfjrizaisuwplayvq
The Multivariate Normal Inverse Gaussian Distribution: Em-Estimation And Analysis Of Synthetic Aperture Sonar Data
2004
Zenodo
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Publication in the conference proceedings of EUSIPCO, Viena, Austria, 2004 ...
We fitted synthetic aperture sonar data to the MNIG distribution, and we found that the MNIG captured the inherent impulsiveness of these data with great accuracy. ...
We believe that the MNIG distribution will prove to be useful for the modeling of impulsive signals, noise, and interference in multivariate sonar, radar, and communication systems. ...
doi:10.5281/zenodo.38451
fatcat:5ausioanzzbxvkoswxnhnby6sa
Page 3349 of Mathematical Reviews Vol. , Issue 99e
[page]
1999
Mathematical Reviews
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Tiit, Mixture of extremal distributions—a model alternative to the log- linear model (703-714); A. W. van der Vaart, Infinite-dimensional M-estimation (715-733); A. Yu. ...
Linde, Small deviation probabilities of sums of independent random variables (59-74); Uwe Einmahl and David M. ...
Statistics of Co-Channel Interference in a Field of Poisson and Poisson-Poisson Clustered Interferers
2010
IEEE Transactions on Signal Processing
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Statistical modeling of interference is a useful tool to analyze outage probabilities in wireless networks and design interference-aware transceivers. ...
distributions accurately model the statistical properties of the interference. ...
The tail probability of the envelope random variable Y can then be expressed as otherwise.
B. ...
doi:10.1109/tsp.2010.2072922
fatcat:q5jlit6lubfsdpdplhux6jxs4q
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