This note describes estimation algorithms for generalized hyperbolic hyperbolic and nor mal inverse Gaussian distributions These distributions provide a better t to empirically observed log return distributions of nancial assets than the classical normal distributions Based on the better t to the semi heavy tails of nancial assets we can compute more realistic Value at Risk estimates The modell...

As a possible generalization of Beck-Cohen superstatistical processes, we study non-Gaussian processes with temporal heterogeneity of local variance. To characterize the variance heterogeneity, we define log-amplitude cumulants and log-amplitude autocovariance and derive closed-form expressions of the log-amplitude cumulants for χ(2), inverse χ(2), and log-normal superstatistical distributions....

Distribution functions for random variables that depend on a parameter are computed asymptotically for ensembles of positive Hermitian matrices. The inverse Fourier transform of the distribution is shown to be a Fredholm determinant of a certain operator that is an analogue of a Wiener-Hopf operator. The asymptotic formula shows that up to the terms of order o(1), the distributions are Gaussian.

Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of selforganized criticality is not yet identified. The Gaussian probability distribution used widely for analysis and description of large data sets underestimat...

This paper considers estimation of normal mean ? when the variance is unknown, using the LINEX loss function. The unique Bayes estimate of ? is obtained when the precision parameter has an Inverse Gaussian prior density

Estimation of a quantile in a mixture model of exponential distributions is considered. For quadratic loss and specified extreme quantiles, better estimators than the best affine equivariant procedure are established. In particular, improved estimators for a quantile of an Exponential-Inverse Gaussian distribution and the multivariate Lomax distribution with unknown location and scale parameter...

A model of the gravitationally evolved dark matter distribution, in the Eulerian space, is developed. It is a simple extension of the excursion set model that is commonly used to estimate the mass function of collapsed dark matter haloes. In addition to describing the evolution of the dark matter itself, the model allows one to describe the evolution of the Eulerian space distribution of the ha...

A model of the gravitationally evolved dark matter distribution, in the Eulerian space, is developed. It is a simple extension of the excursion set model that is commonly used to estimate the mass function of collapsed dark matter haloes. In addition to describing the evolution of the dark matter itself, the model allows one to describe the evolution of the Eulerian space distribution of the ha...