4 papers
Variational Inference Optimized Using the Curved Geometry of Coupled Free Energy
Kenric Nelson, Igor Oliveira, Amenah Al-Najafi +2
We introduce an optimization framework for variational inference based on the coupled free energy, extending variational inference techniques to account for the curved geometry of…
Independent Approximates provide a maximum likelihood estimate for heavy-tailed distributions
Amenah AL-Najafi, Ugur Tirnakli, Kenric P. Nelson
Heavy-tailed distributions are infamously difficult to estimate because their moments tend to infinity as the shape of the tail decay increases. Nevertheless, this study shows the…
Regression estimators for the tail index
Amenah AL-Najafi, László Viharos
We propose a class of weighted least squares estimators for the tail index of a distribution function with a regularly varying upper tail. Our approach is based on the method devel…
Weighted least squares estimators for the Parzen tail index
Amenah AL-Najafi, László Viharos
Estimation of the tail index of heavy-tailed distributions and its applications are essential in many research areas. We propose a class of weighted least squares (WLS) estimators…