Linear Regression for Heavy Tails

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Challenge of Non-Linear Regression on Large Datasets with Asymmetric Heavy Tails

Regression becomes unstable under a heavy-tail error distribution due to dominant effects of outliers. Traditional robust estimators are helpful under symmetric error, by reducing the effect of outliers equally from both sides of the distribution. Under asymmetric error, however, those estimators are biased because the outliers appear only one side of the distribution. Motivated by datamining p...

متن کامل

Inference with Multivariate Heavy-Tails in Linear Models

Heavy-tailed distributions naturally occur in many real life problems. Unfortunately, it is typically not possible to compute inference in closed-form in graphical models which involve such heavy-tailed distributions. In this work, we propose a novel simple linear graphical model for independent latent random variables, called linear characteristic model (LCM), defined in the characteristic fun...

متن کامل

Heavy Tails of Ols

Suppose the tails of the noise distribution in a regression exhibit power law behavior. Then the distribution of the OLS regression estimator inherits this tail behavior. This is relevant for regressions involving …nancial data. We derive explicit …nite sample expressions for the tail probabilities of the distribution of the OLS estimator. These are useful for inference. Simulations for medium ...

متن کامل

Dynamic Models for Volatility and Heavy Tails

The aim of this monograph is to set out a uni…ed and comprehensive theory for a class of nonlinear time series models that can deal with distributions that change over time. The emphasis is models in which the conditional distribution of an observation may be heavy-tailed and the location and/or scale changes over time. The de…ning feature of these models is that the dynamics are driven by the ...

متن کامل

High Dimensions and Heavy Tails for NES

The family of natural evolution strategies (NES) offers a principled approach to real-valued evolutionary optimization by following the natural gradient of the expected fitness on the parameters of its search distribution. While general in its formulation, existing research has focused only on multivariate Gaussian search distributions. We address this shortcoming by exhibiting problem classes ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Risks

سال: 2018

ISSN: 2227-9091

DOI: 10.3390/risks6030093