Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation.
Lorenzo HernándezJorge TejeroAlberto SuárezSantiago Carrillo-MenéndezPublished in: Stat. Comput. (2014)
Keyphrases
- random variables
- heavy tailed
- graphical models
- probability distribution
- independent and identically distributed
- directed acyclic graph
- bayesian networks
- conditional independence
- joint distribution
- probability density
- latent variables
- conditional probabilities
- stochastic processes
- large deviations
- cross validation
- closed form
- approximate inference
- generalized gaussian
- mutual information