Sample correlation behavior for the heavy tailed general bilinear process

Sample Correlation Behavior for the Heavy Tailed General Bilinear Process

In this paper, we consider the class of general bilinear models given by X t = Z t + p X i=1 i X t?i + q X j=1 j Z t?j + m X i=1 l X j=1 b ij X t?i Z t?j ; t 2 Z; where fZ t g is an i.i.d. sequence of heavy tailed noise variables, and where Q l j=1 b 1j 6 = 0. By means of a point process analysis, we show that the sample correlation function converges in distribution to a nondegenerate random v...

Heavy-Tailed Process Priors for Selective Shrinkage

Heavy-tailed distributions are often used to enhance the robustness of regression and classification methods to outliers in output space. Often, however, we are confronted with “outliers” in input space, which are isolated observations in sparsely populated regions. We show that heavy-tailed stochastic processes (which we construct from Gaussian processes via a copula), can be used to improve r...

Extremal behavior of heavy - tailed transmission durations

Randomization and Heavy - Tailed Behavior in Proof

On the Asymptotic Behavior of a Fluid Queue With a Heavy-Tailed M/G/∞ Arrival Process

We consider an infinite buffer fluid queue with a constant capacity and an M/G/∞ arrival process. M/G/∞ process consists of sessions with Poisson starting times, independent intermediately regularly varying session durations and constant arrival rates. The session duration distributions and arrival rates are selected from a finite set of distinct choices. For this queue we derive the asymptotic...