1,657 research outputs found
On the Efficient Simulation of the Left-Tail of the Sum of Correlated Log-normal Variates
The sum of Log-normal variates is encountered in many challenging
applications such as in performance analysis of wireless communication systems
and in financial engineering. Several approximation methods have been developed
in the literature, the accuracy of which is not ensured in the tail regions.
These regions are of primordial interest wherein small probability values have
to be evaluated with high precision. Variance reduction techniques are known to
yield accurate, yet efficient, estimates of small probability values. Most of
the existing approaches, however, have considered the problem of estimating the
right-tail of the sum of Log-normal random variables (RVS). In the present
work, we consider instead the estimation of the left-tail of the sum of
correlated Log-normal variates with Gaussian copula under a mild assumption on
the covariance matrix. We propose an estimator combining an existing
mean-shifting importance sampling approach with a control variate technique.
The main result is that the proposed estimator has an asymptotically vanishing
relative error which represents a major finding in the context of the left-tail
simulation of the sum of Log-normal RVs. Finally, we assess by various
simulation results the performances of the proposed estimator compared to
existing estimators
Two Universality Properties Associated with the Monkey Model of Zipf's Law
The distribution of word probabilities in the monkey model of Zipf's law is
associated with two universality properties: (1) the power law exponent
converges strongly to as the alphabet size increases and the letter
probabilities are specified as the spacings from a random division of the unit
interval for any distribution with a bounded density function on ; and
(2), on a logarithmic scale the version of the model with a finite word length
cutoff and unequal letter probabilities is approximately normally distributed
in the part of the distribution away from the tails. The first property is
proved using a remarkably general limit theorem for the logarithm of sample
spacings from Shao and Hahn, and the second property follows from Anscombe's
central limit theorem for a random number of i.i.d. random variables. The
finite word length model leads to a hybrid Zipf-lognormal mixture distribution
closely related to work in other areas.Comment: 14 pages, 3 figure
Statistics and geometry of cosmic voids
We introduce new statistical methods for the study of cosmic voids, focusing
on the statistics of largest size voids. We distinguish three different types
of distributions of voids, namely, Poisson-like, lognormal-like and Pareto-like
distributions. The last two distributions are connected with two types of
fractal geometry of the matter distribution. Scaling voids with Pareto
distribution appear in fractal distributions with box-counting dimension
smaller than three (its maximum value), whereas the lognormal void distribution
corresponds to multifractals with box-counting dimension equal to three.
Moreover, voids of the former type persist in the continuum limit, namely, as
the number density of observable objects grows, giving rise to lacunar
fractals, whereas voids of the latter type disappear in the continuum limit,
giving rise to non-lacunar (multi)fractals. We propose both lacunar and
non-lacunar multifractal models of the cosmic web structure of the Universe. A
non-lacunar multifractal model is supported by current galaxy surveys as well
as cosmological -body simulations. This model suggests, in particular, that
small dark matter halos and, arguably, faint galaxies are present in cosmic
voids.Comment: 39 pages, 8 EPS figures, supersedes arXiv:0802.038
Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal noise
To understand the sample-to-sample fluctuations in disorder-generated
multifractal patterns we investigate analytically as well as numerically the
statistics of high values of the simplest model - the ideal periodic
Gaussian noise. By employing the thermodynamic formalism we predict the
characteristic scale and the precise scaling form of the distribution of number
of points above a given level. We demonstrate that the powerlaw forward tail of
the probability density, with exponent controlled by the level, results in an
important difference between the mean and the typical values of the counting
function. This can be further used to determine the typical threshold of
extreme values in the pattern which turns out to be given by
with . Such observation provides a
rather compelling explanation of the mechanism behind universality of .
Revealed mechanisms are conjectured to retain their qualitative validity for a
broad class of disorder-generated multifractal fields. In particular, we
predict that the typical value of the maximum of intensity is to be
given by , where is the
corresponding singularity spectrum vanishing at . For the
noise we also derive exact as well as well-controlled approximate
formulas for the mean and the variance of the counting function without
recourse to the thermodynamic formalism.Comment: 28 pages; 7 figures, published version with a few misprints
corrected, editing done and references adde
A review of conditional rare event simulation for tail probabilities of heavy tailed random variables
Approximating the tail probability of a sum of heavy-tailed random variables is a difficult problem. In this review we exhibit the challenges of approximating such probabilities and concentrate on a rare event simulation methodology capable of delivering the most reliable results: Conditional Monte Carlo. To provide a better flavor of this topic we further specialize on two algorithms which were specifically designed for tackling this problem: the Asmussen-Binswanger estimator and the Asmussen-Kroese estimator. We extend the applicability of these estimators to the non-independent case and prove their efficiency
- …