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A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets 期刊论文
MATHEMATICAL BIOSCIENCES AND ENGINEERING, 2020, 卷号: 18, 期号: 1, 页码: 214-230
Authors:  Xie, Xiaoyue;  Shi, Jian
Favorite  |  View/Download:56/0  |  Submit date:2021/04/26
distributed algorithm  big data  high quantile estimation  heavy-tailed distribution  Peak Over Threshold method  
Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 189, 期号: 2, 页码: 313-320
Authors:  Chen, Min;  Zhu, Ke
Favorite  |  View/Download:89/0  |  Submit date:2018/07/30
ARCH-type model  Heavy-tailed innovation  LAD estimator  Model diagnostics  Sign-based portmanteau test  
Nonlinear autoregressive models with heavy-tailed innovation 期刊论文
SCIENCE IN CHINA SERIES A-MATHEMATICS, 2005, 卷号: 48, 期号: 3, 页码: 333-340
Authors:  Jin, Y;  An, HZ
Favorite  |  View/Download:45/0  |  Submit date:2018/07/30
nonlinear autoregressive model  innovation  tail probability