3,933 research outputs found

    Tail asymptotics of randomly weighted large risks

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    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

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    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

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    We study adaptation of a haploid asexual population on a fitness landscape defined over binary genotype sequences of length LL. 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 cc is a parameter that interpolates between the limits of an uncorrelated random landscape (c=0c = 0) and an effectively additive landscape (cc \to \infty). 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 LL \to \infty, different from its values for c=0c=0 and c=c = \infty, if cc is scaled with LL in an appropriate combination.Comment: minor change

    Statistical modeling of ground motion relations for seismic hazard analysis

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    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

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    In this paper we discuss the asymptotic behaviour of random contractions X=RSX=RS, where RR, with distribution function FF, is a positive random variable independent of S(0,1)S\in (0,1). Random contractions appear naturally in insurance and finance. Our principal contribution is the derivation of the tail asymptotics of XX assuming that FF is in the max-domain of attraction of an extreme value distribution and the distribution function of SS 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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