Search results for "Log-normal distribution"
showing 10 items of 19 documents
Large deviations results for subexponential tails, with applications to insurance risk
1996
AbstractConsider a random walk or Lévy process {St} and let τ(u) = inf {t⩾0 : St > u}, P(u)(·) = P(· | τ(u) < ∞). Assuming that the upwards jumps are heavy-tailed, say subexponential (e.g. Pareto, Weibull or lognormal), the asymptotic form of the P(u)-distribution of the process {St} up to time τ(u) is described as u → ∞. Essentially, the results confirm the folklore that level crossing occurs as result of one big jump. Particular sharp conclusions are obtained for downwards skip-free processes like the classical compound Poisson insurance risk process where the formulation is in terms of total variation convergence. The ideas of the proof involve excursions and path decompositions for Mark…
The Influence of the Severity of Fading and Shadowing on the Statistical Properties of the Capacity of Nakagami-Lognormal Channels
2008
This paper deals with the study of the statistical properties of the capacity of Nakagami-lognormal (NLN) channels for various fading environments. Specifically, the impact of shadowing and the severity of fading on the channel capacity is investigated. We have derived analytical expressions for the probability density function (PDF), cumulative distribution function (CDF), level-crossing rate (LCR), and average duration of fades (ADF) of the channel capacity. These results are analyzed for different levels of shadowing and for various fading conditions, corresponding to different terrestrial environments. It is observed that the severity of fading and shadowing has a significant influence …
On the statistical properties of the capacity of OSTBC Nakagami-lognormal MIMO channels
2010
This article presents a thorough statistical analysis of the capacity of orthogonal space-time block coded (OSTBC) Nakagami-lognormal (NLN) multiple-input multipleoutput (MIMO) channels. The NLN channel model allows to study the joint effects of fast fading and shadowing on the statistical properties of the channel capacity. We have derived exact analytical expressions for the probability density function (PDF), cumulative distribution function (CDF), level-crossing rate (LCR), and average duration of fades (ADF) of the capacity of NLN MIMO channels. It is observed that an increase in the MIMO dimension1 or a decrease in the severity of fading results in an increase in the mean channel capa…
Statistics of return times for weighted maps of the interval
2000
For non markovian, piecewise monotonic maps of the interval associated to a potential, we prove that the law of the entrance time in a cylinder, when renormalized by the measure of the cylinder, converges to an exponential law for almost all cylinders. Thanks to this result, we prove that the fluctuations of Rn, first return time in a cylinder, are lognormal.
PARETO OR LOG-NORMAL? BEST FIT AND TRUNCATION IN THE DISTRIBUTION OF ALL CITIES*
2015
In the literature, the distribution of city size is a controversial issue with two common contenders: the Pareto and the log-normal. While the first is most accredited when the distribution is truncated above a certain threshold, the latter is usually considered a better representation for the untruncated distribution of all cities. In this paper, we reassess the empirical evidence on the best-fitting distribution in relation to the truncation point issue. Specifically, we provide a comparison among four recently proposed approaches and alternative definitions of U.S. cities. Our results highlight the importance to look at issue of the best-fitting distribution together with the truncation …
Design and Simulation of Measurement-Based Correlation Models for Shadow Fading
2011
This paper deals with the design of measurement-based correlation models for shadow fading. Based on the correlation model, we design a simulation model using the sum-of-sinusoids (SOS) method to enable the simulation of spatial lognormal processes characterizing real-world shadow fading scenarios. The model parameters of the simulation model are computed by applying the Lp-norm method (LPNM). This method facilitates an excellent fitting of the simulation model’s autocorrelation function (ACF) to that of measured channels. Our study includes an evaluation of all important statistical quantities of the proposed measurement-based simulation model, such as the probability density function (PDF…
Simulating Term Structure of Interest Rates with Arbitrary Marginals
2007
Decision models under uncertainty need to be feeded with scenarios of the interest rate curve. Such scenarios have to comply, as close as possible, with the empirical distribution of each rate. Simulation models of the term structure 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 vector au…
Annual runoff regional frequency analysis in Sicily
2009
Abstract This paper performs annual runoff frequency analysis in Sicily, Italy using the index runoff method. Homogeneous regions, not necessarily defined by geographical boundaries but sharing common features from a morphologic and climatic standpoint, have been identified. For each region a single probability distribution function can be fitted to the available annual runoff data scaled by the index runoff. Starting from an initial dataset of 105 hydrometric stations, 57 stations have been selected using heuristic criteria associated with the Hosking and Wallis’s discordancy measure. The Mantel tests have been then applied to find out the physical and morphological parameters best correla…
A Study of the Influence of Shadowing on the Statistical Properties of the Capacity of Mobile Radio Channels
2008
Article from the journal: Wireless Personal Communications The original publication is available at www.springerlink.com : http://dx.doi.org/10.1007/s11277-008-9545-7 This paper studies the influence of shadowing on the statistical properties of the channel capacity. The problem is addressed by using a Suzuki process as an appropriate statistical channel model for land mobile terrestrial channels. Using this model, exact solutions for the probability density function (PDF), cumulative distribution function (CDF), level-crossing rate (LCR), and average duration of fades (ADF) of the channel capacity are derived. The results are studied for different levels of shadowing, corresponding to diff…
A Highly Flexible Trajectory Model Based on the Primitives of Brownian Fields—Part II: Analysis of the Statistical Properties
2016
In the first part of our paper, we have proposed a highly flexible trajectory model based on the primitives of Brownian fields (BFs). In this second part, we study the statistical properties of that trajectory model in depth. These properties include the autocorrelation function (ACF), mean, and the variance of the path along each axis. We also derive the distribution of the angle-of-motion (AOM) process, the incremental traveling length process, and the overall traveling length. It is shown that the path process is in general non-stationary. We show that the AOM and the incremental traveling length processes can be modeled by the phase and the envelope of a complex Gaussian process with no…