37,050 research outputs found
Heavy-tailed Distributions In Stochastic Dynamical Models
Heavy-tailed distributions are found throughout many naturally occurring
phenomena. We have reviewed the models of stochastic dynamics that lead to
heavy-tailed distributions (and power law distributions, in particular)
including the multiplicative noise models, the models subjected to the
Degree-Mass-Action principle (the generalized preferential attachment
principle), the intermittent behavior occurring in complex physical systems
near a bifurcation point, queuing systems, and the models of Self-organized
criticality. Heavy-tailed distributions appear in them as the emergent
phenomena sensitive for coupling rules essential for the entire dynamics
Calculation of aggregate loss distributions
Estimation of the operational risk capital under the Loss Distribution
Approach requires evaluation of aggregate (compound) loss distributions which
is one of the classic problems in risk theory. Closed-form solutions are not
available for the distributions typically used in operational risk. However
with modern computer processing power, these distributions can be calculated
virtually exactly using numerical methods. This paper reviews numerical
algorithms that can be successfully used to calculate the aggregate loss
distributions. In particular Monte Carlo, Panjer recursion and Fourier
transformation methods are presented and compared. Also, several closed-form
approximations based on moment matching and asymptotic result for heavy-tailed
distributions are reviewed
Queue Length Asymptotics for Generalized Max-Weight Scheduling in the presence of Heavy-Tailed Traffic
We investigate the asymptotic behavior of the steady-state queue length
distribution under generalized max-weight scheduling in the presence of
heavy-tailed traffic. We consider a system consisting of two parallel queues,
served by a single server. One of the queues receives heavy-tailed traffic, and
the other receives light-tailed traffic. We study the class of throughput
optimal max-weight-alpha scheduling policies, and derive an exact asymptotic
characterization of the steady-state queue length distributions. In particular,
we show that the tail of the light queue distribution is heavier than a
power-law curve, whose tail coefficient we obtain explicitly. Our asymptotic
characterization also contains an intuitively surprising result - the
celebrated max-weight scheduling policy leads to the worst possible tail of the
light queue distribution, among all non-idling policies. Motivated by the above
negative result regarding the max-weight-alpha policy, we analyze a
log-max-weight (LMW) scheduling policy. We show that the LMW policy guarantees
an exponentially decaying light queue tail, while still being throughput
optimal
Distributed Nonparametric Sequential Spectrum Sensing under Electromagnetic Interference
A nonparametric distributed sequential algorithm for quick detection of
spectral holes in a Cognitive Radio set up is proposed. Two or more local nodes
make decisions and inform the fusion centre (FC) over a reporting Multiple
Access Channel (MAC), which then makes the final decision. The local nodes use
energy detection and the FC uses mean detection in the presence of fading,
heavy-tailed electromagnetic interference (EMI) and outliers. The statistics of
the primary signal, channel gain or the EMI is not known. Different
nonparametric sequential algorithms are compared to choose appropriate
algorithms to be used at the local nodes and the FC. Modification of a recently
developed random walk test is selected for the local nodes for energy detection
as well as at the fusion centre for mean detection. It is shown via simulations
and analysis that the nonparametric distributed algorithm developed performs
well in the presence of fading, EMI and is robust to outliers. The algorithm is
iterative in nature making the computation and storage requirements minimal.Comment: 8 pages; 6 figures; Version 2 has the proofs for the theorems.
Version 3 contains a new section on approximation analysi
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