Estimation of heavy-tailed probability density function with applications to Web data
The authors discuss an approach to estimating probability density functions (PDF) using the so-called ``transform-retransform scheme which includes transformation of the data before application of specific estimation methods based on appropriate parametric or nonparametric approximation of the cumulative distribution functions (CDF) and estimation of the PDF of the original data applying the reverse transformation of the PDF estimate of the transformed data. In this context the authors focus on the following questions: what family of distributions is a reasonable approximation of the true CDF; which nonparametric estimate better maintains the tail decay rate of the true PDF. An application of the proposed PDF estimators to a classification problem is described, and their performance in cases of different heavy-tailed distributions is investigated by a simulation study. In particular, the PDF estimators are compared by their capacity to solve a classification problem. Simulation results and an application to Web data analysis are presented and discussed.
- Transformed estimates of densities of heavy-tailed distributions and classification
- Accuracy of transformed kernel density estimates for a heavy-tailed distribution
- Nonparametric estimation of long-tailed density functions and its application to the analysis of World Wide Web traffic
- Inverse beta transformation in kernel density estimation
- A probability density function estimation using F-transform
- A class of tests on the tail index
- Adaptive estimates of parameters of regular variation
- Appendix: A primer on heavy-tailed distributions
- Consistent cross-validated density estimation
- Experimental analysis of nonparametric probability density estimates and of methods for smoothing them
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- Iterated Transformation-Kernel Density Estimation
- Kernel estimates of the tail index of a distribution
- Laws of large numbers for sums of extreme values
- Nonparametric estimation of long-tailed density functions and its application to the analysis of World Wide Web traffic
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- On bandwidth variation in kernel estimates. A square root law
- Smoothing the moment estimator of the extreme value parameter
- Statistical inference using extreme order statistics
- Transformations in Density Estimation
- Analysis of large data logs: An application of Poisson sampling on excite web queries.
- Density estimation techniques for multiscale coupling of kinetic models of the plasma material interface
- Ensemble Gaussian mixture models for probability density estimation
- Accuracy of transformed kernel density estimates for a heavy-tailed distribution
- A probability density function estimation using F-transform
- scientific article; zbMATH DE number 1301871 (Why is no real title available?)
- Nonparametric estimation of long-tailed density functions and its application to the analysis of World Wide Web traffic
- Application of nonparametric approach to extreme value inference in distribution estimation of sample maximum and its properties
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