3,933 research outputs found
Tail asymptotics of randomly weighted large risks
In this paper we are concerned with a sample of asymptotically independent
risks. Tail asymptotic probabilities for linear combinations of randomly
weighted order statistics are approximated under various assumptions, where the
individual tail behaviour has a crucial role. An application is provided for
Log-Normal risks
Adaptation in tunably rugged fitness landscapes: The Rough Mount Fuji Model
Much of the current theory of adaptation is based on Gillespie's mutational
landscape model (MLM), which assumes that the fitness values of genotypes
linked by single mutational steps are independent random variables. On the
other hand, a growing body of empirical evidence shows that real fitness
landscapes, while possessing a considerable amount of ruggedness, are smoother
than predicted by the MLM. In the present article we propose and analyse a
simple fitness landscape model with tunable ruggedness based on the Rough Mount
Fuji (RMF) model originally introduced by Aita et al. [Biopolymers 54:64-79
(2000)] in the context of protein evolution. We provide a comprehensive
collection of results pertaining to the topographical structure of RMF
landscapes, including explicit formulae for the expected number of local
fitness maxima, the location of the global peak, and the fitness correlation
function. The statistics of single and multiple adaptive steps on the RMF
landscape are explored mainly through simulations, and the results are compared
to the known behavior in the MLM model. Finally, we show that the RMF model can
explain the large number of second-step mutations observed on a highly-fit
first step backgound in a recent evolution experiment with a microvirid
bacteriophage [Miller et al., Genetics 187:185-202 (2011)].Comment: 43 pages, 12 figures; revised version with new results on the number
of fitness maxim
Greedy adaptive walks on a correlated fitness landscape
We study adaptation of a haploid asexual population on a fitness landscape
defined over binary genotype sequences of length . We consider greedy
adaptive walks in which the population moves to the fittest among all single
mutant neighbors of the current genotype until a local fitness maximum is
reached. The landscape is of the rough mount Fuji type, which means that the
fitness value assigned to a sequence is the sum of a random and a deterministic
component. The random components are independent and identically distributed
random variables, and the deterministic component varies linearly with the
distance to a reference sequence. The deterministic fitness gradient is a
parameter that interpolates between the limits of an uncorrelated random
landscape () and an effectively additive landscape ().
When the random fitness component is chosen from the Gumbel distribution,
explicit expressions for the distribution of the number of steps taken by the
greedy walk are obtained, and it is shown that the walk length varies
non-monotonically with the strength of the fitness gradient when the starting
point is sufficiently close to the reference sequence. Asymptotic results for
general distributions of the random fitness component are obtained using
extreme value theory, and it is found that the walk length attains a
non-trivial limit for , different from its values for and
, if is scaled with in an appropriate combination.Comment: minor change
Statistical modeling of ground motion relations for seismic hazard analysis
We introduce a new approach for ground motion relations (GMR) in the
probabilistic seismic hazard analysis (PSHA), being influenced by the extreme
value theory of mathematical statistics. Therein, we understand a GMR as a
random function. We derive mathematically the principle of area-equivalence;
wherein two alternative GMRs have an equivalent influence on the hazard if
these GMRs have equivalent area functions. This includes local biases. An
interpretation of the difference between these GMRs (an actual and a modeled
one) as a random component leads to a general overestimation of residual
variance and hazard. Beside this, we discuss important aspects of classical
approaches and discover discrepancies with the state of the art of stochastics
and statistics (model selection and significance, test of distribution
assumptions, extreme value statistics). We criticize especially the assumption
of logarithmic normally distributed residuals of maxima like the peak ground
acceleration (PGA). The natural distribution of its individual random component
(equivalent to exp(epsilon_0) of Joyner and Boore 1993) is the generalized
extreme value. We show by numerical researches that the actual distribution can
be hidden and a wrong distribution assumption can influence the PSHA negatively
as the negligence of area equivalence does. Finally, we suggest an estimation
concept for GMRs of PSHA with a regression-free variance estimation of the
individual random component. We demonstrate the advantages of event-specific
GMRs by analyzing data sets from the PEER strong motion database and estimate
event-specific GMRs. Therein, the majority of the best models base on an
anisotropic point source approach. The residual variance of logarithmized PGA
is significantly smaller than in previous models. We validate the estimations
for the event with the largest sample by empirical area functions. etc
Asymptotics of Random Contractions
In this paper we discuss the asymptotic behaviour of random contractions
, where , with distribution function , is a positive random
variable independent of . Random contractions appear naturally in
insurance and finance. Our principal contribution is the derivation of the tail
asymptotics of assuming that is in the max-domain of attraction of an
extreme value distribution and the distribution function of satisfies a
regular variation property. We apply our result to derive the asymptotics of
the probability of ruin for a particular discrete-time risk model. Further we
quantify in our asymptotic setting the effect of the random scaling on the
Conditional Tail Expectations, risk aggregation, and derive the joint
asymptotic distribution of linear combinations of random contractions.Comment: 25 page
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