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Self-similar communication models and very heavy tails
9 references·6 citing·40 second hop
Self-similar communication models and very heavy tails (2000)Self-similar communication models and ver…Stochastic Storage Processes: Queues, Insurance Risk, Dams and Data Communication (1999)Stochastic Storage Processes:…Asymptotic results for multiplexing subexponential on-off processes (1999)Asymptotic results for multip…Subexponential asymptotics of a Markov-modulated random walk with queueing applications (1998)Subexponential asymptotics of…Smoothing the Hill Estimator (1997)Smoothing the Hill EstimatorThe qq-estimator and heavy tails (1996)The qq-estimator and heavy ta…Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics (1996)Tail Index Estimation, Pareto…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Applied Probability and Queues (1987)Applied Probability and QueuesON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010)ON TAIL INDEX ESTIMATION FOR …The M/G/∞ system revisited: finiteness, summability, long range dependence, and reverse engineering (2006)The M/G/∞ system revisited: f…Asymptotic independence and a network traffic model (2002)Asymptotic independence and a…Steady-State Distribution of the Buffer Content for M/G/ infinity Input Fluid Queues (2001)Steady-State Distribution of …LIMITS FOR CUMULATIVE INPUT PROCESSES TO QUEUES (2000)LIMITS FOR CUMULATIVE INPUT P…An overview of Brownian and non-Brownian FCLTs for the single-server queue (2000)An overview of Brownian and n…Kernel Estimates of the Tail Index of a Distribution (1985)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)The New Introduction to Geographical Economics (2009)Power-law distributions in binned empirical data (2014)On Some Simple Estimates of an Exponent of Regular Variation (1982)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter (2002)Diagnostics for Dependence within Time Series Extremes (2003)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)The stability of a queue with non-independent inter-arrival and service times (1962)Stochastic Processes in Queueing Theory (1976)The impact of a heavy-tailed service-time distribution upon the M/GI/s waiting-time distribution (2000)Subexponential Distributions (2004)Discrete and Continuous Time Modulated Random Walks with Heavy-Tailed Increments (2007)Introduction to Stochastic Processes (2014)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Long memory and tail dependence in trading volume and volatility (2013)Asymmetry in tail dependence in equity portfolios (2015)MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2019)Stochastic Theory of a Data-Handling System with Multiple Sources (1982)Tail probabilities for non-standard risk and queueing processes with subexponential jumps (1999)Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion? (2002)Precise large deviations for sums of random variables with consistently varying tails (2004)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Discussion of the Danish Data on Large Fire Insurance Losses (1997)Tail index estimation for dependent data (1998)Financial Risk and Heavy Tails (2003)The asymptotic variance of departures in critically loaded queues (2011)The G t /GI/s t +GI many-server fluid queue (2012)Production-Inventory Systems with Lost Sales and Compound Poisson Demands (2014)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)
this work references cited by second hop

References

  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1987Applied Probability and Queues2,704 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics223 cited
  • 1996The qq-estimator and heavy tails203 cited
  • 1997Smoothing the Hill Estimator172 cited
  • 1999Asymptotic results for multiplexing subexponential on-off processes129 cited
  • 1999Stochastic Storage Processes: Queues, Insurance Risk, Dams and Data Communication89 cited
  • 1998Subexponential asymptotics of a Markov-modulated random walk with queueing applications81 cited

Cited by

  • 2010ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA94 cited
  • 2002Asymptotic independence and a network traffic model79 cited
  • 2001Steady-State Distribution of the Buffer Content for M/G/ infinity Input Fluid Queues32 cited
  • 2006The M/G/∞ system revisited: finiteness, summability, long range dependence, and reverse engineering23 cited
  • 2000An overview of Brownian and non-Brownian FCLTs for the single-server queue21 cited
  • 2000LIMITS FOR CUMULATIVE INPUT PROCESSES TO QUEUES

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19 cited