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Diverging moments and parameter estimation
Heavy tailed distributions enjoy increased popularity and become more readily applicable as the arsenal of analytical and numerical tools grows. They play key roles in modeling approaches in networking, finance, hydrology ...
Multiscale Likelihood Analysis and Complexity Penalized Estimation
We describe here a framework for a certain class of multiscale likelihood factorization wherein, in analogy to a wavlet decomposition of an LÂ² function, a given likelihood function has an alternative representation as a ...