A self-calibrating method for heavy tailed data modeling : Application in neuroscience and finance
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More about this item
Keywords
Algorithm; Extreme Value Theory; Gaussian distribution; Generalized Pareto Distribution; Heavy tailed data; Hybrid model; Least squares optimization; Levenberg Marquardt algorithm; Neural data; S&P 500 index;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-02-26 (Econometrics)
- NEP-RMG-2017-02-26 (Risk Management)
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