Search results for "Fat tail"
showing 5 items of 5 documents
Assessing fat-tailed sequential forecast distributions for the Dow-Jones index with logarithmic scoring rules
2007
We use the logarithmic scoring rule for distributions to assess a variety of fat-tailed sequential forecasting distributions for the Dow-Jones industrial stock index from 1980 to the present. The methodology applies Bruno de Finetti''s contributions to understanding how to compare the quality of different coherent forecasting distributions for the same sequence of observations, using proper scoring rules. Four different forms of forecasting distributions are compared: a mixture Normal, a mixture of convex combinations of three Normal distributions, a mixture exponential power distribution, and a mixture of a convex combination of three exponential power distributions. The mixture linear com…
Novel and known signals of selection for fat deposition in domestic sheep breeds from Africa and Eurasia
2018
International audience; Genomic regions subjected to selection frequently show signatures such as within-population reduced nucleotide diversity and outlier values of differentiation among differentially selected populations. In this study, we analyzed 50K SNP genotype data of 373 animals belonging to 23 sheep breeds of different geographic origins using the Rsb (extended haplotype homozygosity) and FST statistical approaches, to identify loci associated with the fat-tail phenotype. We also checked if these putative selection signatures overlapped with regions of high-homozygosity (ROH). The analyses identified novel signals and confirmed the presence of selection signature in genomic regio…
Sequentially Forecasting Economic Indices Using Mixture Linear Combinations of EP Distributions
2021
This article displays an application of the statistical method moti- vated by Bruno de Finetti's operational subjective theory of probability. We use exchangeable forecasting distributions based on mixtures of linear com- binations of exponential power (EP) distributions to forecast the sequence of daily rates of return from the Dow-Jones index of stock prices over a 20 year period. The operational subjective statistical method for comparing distributions is quite different from that commonly used in data analysis, because it rejects the basic tenets underlying the practice of hypothesis test- ing. In its place, proper scoring rules for forecast distributions are used to assess the values o…
Genome-wide analyses reveal population structure and identify candidate genes associated with tail fatness in local sheep from a semi-arid area.
2021
Abstract Under a climate change perspective, the genetic make-up of local livestock breeds showing adaptive traits should be explored and preserved as a priority. We used genotype data from the ovine 50 k Illumina BeadChip for assessing breed autozygosity based on runs of homozygosity (ROH) and fine-scale genetic structure and for detecting genomic regions under selection in 63 Tunisian sheep samples. The average genomic inbreeding coefficients based on ROH were estimated at 0.017, 0.021, and 0.024 for Barbarine (BAR, n = 26), Noire de Thibar (NDT, n = 23), and Queue fine de l'Ouest (QFO, n = 14) breeds, respectively. The genomic relationships among individuals based on identity by state (I…
Simulating term structure of interest rates with arbitrary marginals
2011
Decision models under uncertainty rely their analysis on scenarios of the economic factors. A key economic factor is the term structure of interest rates (yields). Simulation models of the yield curve usually assume that the conjugate distribution of the interest rates is lognormal. Dynamic models, like vector auto-regression, implicitly postulate that the logarithm of the interest rates is normally distributed. Statistical analyses have, however, shown that stationary transformations (yield changes) of the interest rates are substantially leptokurtic, thus posing serious doubts on the reliability of the available models. We propose in this paper a VARTA model (Biller and Nelson, 2003) to s…