A self-calibrating method for heavy tailed data modeling : Application in neuroscience and finance
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Keywords
Extreme Value Theory; Heavy tailed data; Generalized Pareto Distribution; Least squares optimization; Gaussian distribution; Algorithm; Neural data; S&P 500 index; Levenberg Marquardt algorithm; Hybrid model;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2017-04-23 (Risk Management)
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