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Regression rank scores tests against heavy-tailed alternatives
Regression rank scores tests against heavy-tailed alternatives...
BA - Obecná matematika
- 1999 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Comparison of selected tests of normality against heavy tailed, light tailed and contaminated alternatives
alternatives as heavy tailed alternatives (Cauchy, Laplace, t3, t5, t7 and logisticThis paper deals with comparison of selected tests of normality - the Shapiro-Wilk test, the classical Jarque-Bera test, ...
BB - Aplikovaná statistika, operační výzkum
- 2008 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Comparison Fat Tails for PX and FTSE Indicies
Main topics of the document: stock market indices; heavy tailed distributions; parameter estimation; goodness of fit test......
Finance
- 2019 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
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On estimation and testing for Pareto tails
The t-Hill estimator for independent data was introduced by Fabian and Stehlik (2009). It estimates the extreme value index of distribution function with regularly varying tail. This paper considers sampling of an infinite moving average mod...
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Small Sample Robust Testing for Normality against Pareto Tails
different Pareto distributions. We also give practical guidelines for robust testing for normality against short- and heavy-tailed alternatives. We concentrate mainly) of the robust and classical Jarque-Bera (JB) ...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Výsledek na webu
Tests on the Tail Index using the L-estimates
In the family of heavy -tailed distribution functions with nondegenerate right tail we test the hypothesis about the index. the proposed test is fully nonparametric and is based on the set of observations ...
BA - Obecná matematika
- 2002 •
- D
Rok uplatnění
D - Stať ve sborníku
Small sample estimation and testing for heavy tails
estimators for other heavy-tailed distributions (Pareto, Fréchet, Burr, log-gama, inverse. comparisons of exact effectiveness of our method for different heavy tailed distributionsThe aim of the paper is to introd...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- D
Rok uplatnění
D - Stať ve sborníku
On the Favorable Estimation for Fitting Heavy Tailed Data
Assessment of heavy tailed data and its compound sums has many applications in insurance, auditing and operational risk capital assessment among others. In this paper ratio tests of homogeneity and simple hypothesis on the ...
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Heavy tailed durations of regional rainfall
Recent research suggests that the probability distribution of durations of rains have heavy tails of hyperbolic type. The paper performs a nonparametric inference on the Pareto tail-index of wet and dry durations based on t...
BA - Obecná matematika
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Outliers and the Ostensibly Heavy Tails
The aim of the paper is to show that the presence of one possible type of outliers is not connected to that of heavy tails of the distribution. In contrary, typical situation for outliers appearance is the case of compactly supporte...
Statistics and probability
- 2019 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
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