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Bayesian robustness modelling using regularly varying distributions
Bayesian robustness heavy-tailed distributions conicting information regular variation credence
2009/9/21
Bayesian robustness modelling using heavy-tailed distributions pro-
vides a exible approach to resolving problems of conicts between the data and
prior distributions. See Dawid (1973) and OHaga (197...
Regularly varying multivariate time series
clusters of extremes extremal index heavy tails mixing moving average multivariate regular variation point processes
2010/4/30
A multivariate, stationary time series is said to be jointly regularly
varying if all its finite-dimensional distributions are multivariate regularly
varying. This property is shown to be equivalent...