Behavior of Users Illustrated using Heavy-Tailed Distribution

Parametric Forecasting of Value at Risk Using Heavy Tailed Distribution

This paper deals with modeling volatility of returns of Pliva stocks on Zagreb Stock Exchange for Value at Risk forecasting. Volatility reaction and volatility persistence are measured using asymmetric GARCH process. Croatian capital market characteristic is absence of intensive reaction on "good" information. But it is confirmed that Pliva stocks volatility on Croatian capital market are under...

Extremal behavior of heavy - tailed transmission durations

Randomization and Heavy - Tailed Behavior in Proof

Reportrapport Random Walk with a Heavy-tailed Jump Distribution Random Walk with a Heavy-tailed Jump Distribution

The classical random walk of which the one-step displacement variable u has a rst nite negative moment is considered. The R.W. possesses an unique stationary distribution; x is a random variable with this distribution. It is assumed that the righthand and/or the lefthand tail of the distribution of u are heavy-tailed. For the type of heavy-tailed distribution considered in this study a contract...

Formal Models of Heavy-Tailed Behavior in Combinatorial Search

Recently, it has been found that the cost distributions of randomized backtrack search in combinatorial domains are often heavytailed. Such heavy-tailed distributions explain the high variability observed when using backtrack-style procedures. A good understanding of this phenomenon can lead to better search techniques. For example, restart strategies provide a good mechanism for eliminating th...