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Souvik Ghosh

Publications and source records attributed to Souvik Ghosh.

41 records · Page 3Linked to original sources
arXiv2010

When does the mean excess plot look linear?

In risk analysis, the mean excess plot is a commonly used exploratory plotting technique for confirming iid data is consistent with a generalized Pareto assumption for the underlying distribution, since in the presence of such a distribution thresholded data have a mean excess plot that is roughly linear. Does any other class of distributions share this linearity of the plot? Under some extra assumptions, we are able to conclude that only the generalized Pareto family has this property.

math.ST↗
arXiv2010

A strong law for the rate of growth of long latency periods in cloud computing service

Cloud-computing shares a common pool of resources across customers at a scale that is orders of magnitude larger than traditional multi-user systems. Constituent physical compute servers are allocated multiple "virtual machines" (VM) to serve simultaneously. Each VM user should ideally be unaffected by others' demand. Naturally, this environment produces new challenges for the service providers in meeting customer expectations while extracting an efficient utilization from server resources. We study a new cloud service metric that measures prolonged latency or delay suffered by customers. We model the workload process of a cloud server and analyze the process as the customer population grows. The capacity required to ensure that average workload does not exceed a threshold over long segments is characterized. This can be used by cloud operators to provide service guarantees on avoiding long durations of latency. As part of the analysis, we provide a uniform large-deviation principle for collections of random variables that is of independent interest.

cs.DC↗
arXiv2010

Long Strange Segments, Ruin Probabilities and the Effect of Memory on Moving Average Processes

We obtain the rate of growth of long strange segments and the rate of decay of infinite horizon ruin probabilities for a class of infinite moving average processes with exponentially light tails. The rates are computed explicitly. We show that the rates are very similar to those of an i.i.d. process as long as the moving average coefficients decay fast enough. If they do not, then the rates are significantly different. This demonstrates the change in the length of memory in a moving average process associated with certain changes in the rate of decay of the coefficients.

math.PR↗
arXiv2010

A Discussion on Mean Excess Plots

A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.

math.PR↗