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Simulation-based Assessment of the stationary Tail Distribution of a stochastic differential equation.

Krzysztof BisewskiDaan CrommelinMichel Mandjes
Published in: WSC (2018)
Keyphrases
  • power law
  • heavy tailed
  • non stationary
  • stochastic differential equations
  • multiresolution
  • steady state
  • probability density function
  • maximum a posteriori estimation