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Stochastic Models Volume 28, 2012 - Issue 1
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Regular Articles

Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not?

Arijit Chakrabarty Statistics and Mathematics Unit, Indian Statistical Institute, New Delhi, IndiaCorrespondence[email protected]
&
Gennady Samorodnitsky Operations Research and Information Engineering, Cornell University, Ithaca, New York, USA
Pages 109-143 | Received 01 Jan 2010, Accepted 01 Apr 2011, Published online: 03 Feb 2012

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Michael Grabchak. (2020) On the simulation of general tempered stable Ornstein–Uhlenbeck processes. Journal of Statistical Computation and Simulation 90:6, pages 1057-1081.
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MarkM. Meerschaert, Parthanil Roy & Qin Shao. (2012) Parameter Estimation for Exponentially Tempered Power Law Distributions. Communications in Statistics - Theory and Methods 41:10, pages 1839-1856.
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Vygantas Paulauskas & Julius Damarackas. (2021) Limit theorems for linear random fields with tapered innovations. II: The stable case. Lithuanian Mathematical Journal 61:4, pages 502-517.
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Ekaterina Morozova & Vladimir Panov. (2021) Extreme Value Analysis for Mixture Models with Heavy-Tailed Impurity. Mathematics 9:18, pages 2208.
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Ning Ma, Yanbing Bai & Shengwang Meng. (2021) Return Period Evaluation of the Largest Possible Earthquake Magnitudes in Mainland China Based on Extreme Value Theory. Sensors 21:10, pages 3519.
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Vygantas Paulauskas. (2021) Limit Theorems for Linear Random Fields with Tapered Innovations. I: The Gaussian case. Lithuanian Mathematical Journal 61:2, pages 261-273.
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Vygantas Paulauskas. (2019) A note on linear processes with tapered innovations. Lithuanian Mathematical Journal 60:1, pages 64-79.
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Jorge Gonzalez, Jorge Gonzalez & Chad A. Bollmann. (2019) Aggregated Impulses: Towards Explanatory Models for Self-Similar Alpha Stable Network Traffic. Aggregated Impulses: Towards Explanatory Models for Self-Similar Alpha Stable Network Traffic.
V. De la Luz, E. P. Balanzario & T. Tsiftsi. (2018) Estimating the Maximum Intensities of Soft X-Ray Flares Using Extreme Value Theory. Solar Physics 293:8.
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Michael Grabchak. (2018) Domains of attraction for positive and discrete tempered stable distributions. Journal of Applied Probability 55:1, pages 30-42.
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Arijit Chakrabarty. (2018) Large deviations for truncated heavy-tailed random variables: A boundary case. Indian Journal of Pure and Applied Mathematics 48:4, pages 671-703.
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Jan Beirlant, Isabel Fraga Alves & Tom Reynkens. (2017) Fitting tails affected by truncation. Electronic Journal of Statistics 11:1.
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Jan Beirlant, Isabel Fraga Alves & Ivette Gomes. (2016) Tail fitting for truncated and non-truncated Pareto-type distributions. Extremes 19:3, pages 429-462.
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Stergios Xouridas. (2015) Agricultural Financial Risks Resulting from Extreme Events. Journal of Agricultural Economics 66:1, pages 192-220.
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M. Grabchak & S. A. Molchanov. (2015) Limit Theorems and Phase Transitions for Two Models of Summation of Independent Identically Distributed Random Variables with a Parameter. Theory of Probability & Its Applications 59:2, pages 222-243.
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Eric L. Geist & Tom Parsons. (2014) Undersampling power-law size distributions: effect on the assessment of extreme natural hazards. Natural Hazards 72:2, pages 565-595.
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M Grabchak, M Grabchak, S A Molchanov & S A Molchanov. (2014) Limit theorems and phase transitions for two models of summation of i.i.d. random variables with a parameterLimit theorems and phase transitions for two models of summation of i.i.d. random variables with a parameter. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 59:2, pages 340-364.
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Guus Balkema. (2013) New power limits for extremes. Extremes 16:4, pages 457-485.
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M. Grabchak & S. A. Molchanov. (2013) Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters. Doklady Mathematics 88:1, pages 431-434.
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Arijit Chakrabarty. (2012) Effect of truncation on large deviations for heavy-tailed random vectors. Stochastic Processes and their Applications 122:2, pages 623-653.
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Arijit Chakrabarty. (2011) Asymptotic Normality of Hill Estimator for Truncated Data. Electronic Journal of Probability 16:none.
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Arijit Chakrabarty. (2010) Central Limit Theorem for truncated heavy tailed Banach valued random vectors. Electronic Communications in Probability 15:none.
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