Heavy Tailed Distributions
Mostrando 1-3 de 3 artigos, teses e dissertações.
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1. Estimação indireta de modelos R-GARCH / Indirect inference of R-GARCH models
Linear processes do not capture the structure of financial data. There is a large variety of nonlinear models available in literature. The class of ARCH models (Autoregressive Conditional Heterokedastic) was introduced by Engle (1982) in order to estimate inflation\ s variance. The idea is that, in this class, returns are serially uncorrelated, but the volat
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 01/03/2012
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2. Confidence intervals for high quantiles from heavy-tailed distributions. / Intervalos de confiança para altos quantis oriundos de distribuições de caudas pesadas
In this work, confidence intervals for high quantiles from heavy-tailed distributions were computed. More specifically, four methods, namely, normal approximation method, likelihood ratio method, data tilting method and generalised gamma method are used. A simulation study with data generated from Weibull distribution has shown that the generalised gamma met
Publicado em: 2009
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3. Performance analysis for data service in third generation mobile telecommunication networks
The data traffic in wireless networks for the third generation (3G) mobile telecommunication systems should take into account a variety of services (voice, data, video) and environments (e.g.: private, outdoors, indoors) as well as the user mobility behavior. A good evaluation of measures of performance can help a system designer to make its strategic decisi
Journal of the Brazilian Computer Society. Publicado em: 2003-04