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María E. Sousa-Vieira and Manuel Fernández-Veiga
In this paper, we study via simulation the performance of irregular repetition slotted ALOHA under multi-packet detection and different patterns of the load process. On the one hand, we model the arrival process with a version of the M/G/8 process able t...
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Zach D. Merino, Jenny Farmer and Donald J. Jacobs
We present a novel nonparametric adaptive partitioning and stitching (NAPS) algorithm to estimate a probability density function (PDF) of a single variable. Sampled data is partitioned into blocks using a branching tree algorithm that minimizes deviation...
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Olga Rumyantseva, Andrey Sarantsev and Nikolay Strigul
Forecasting of forest dynamics at a large scale is essential for land use management, global climate change and biogeochemistry modeling. We develop time series models of the forest dynamics in the conterminous United States based on forest inventory dat...
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Neil A. Wilmot
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes?or jump?in prices...
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Bridget Nkemnole,Olaide Abass
AbstractOrientation: Geometric Brownian motion (GBM) model basically suggests whether the distribution of asset returns is normal or lognormal. However, many empirical studies have revealed that return distributions are usually not normal. These stu...
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Pieter-Henk Boer,Elias Munapo,Martin Chanza,Issaah A. Mhlanga
AbstractOrientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency.Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to...
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Simone Kruse, Thomas Tischer, Timo Wittig
The global platinum market has been in downturn and unstable for five consecutive years, and thus market participants are demanding effective quantitative risk management tools. Since platinum is so widely used and serves as an important investment vehic...
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Hanieh Panahi
Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we c...
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