A Practical Guide To Heavy Tails Statistical Techniques For Analyzing Heavy Tailed Distributions
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A Practical Guide To Heavy Tails
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Author : Robert Adler
language : en
Publisher: Springer Science & Business Media
Release Date : 1998-10-26
A Practical Guide To Heavy Tails written by Robert Adler and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-10-26 with Mathematics categories.
Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR
A Practical Guide To Heavy Tails Statistical Techniques For Analyzing Heavy Tailed Distributions
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Author :
language : en
Publisher:
Release Date : 1997
A Practical Guide To Heavy Tails Statistical Techniques For Analyzing Heavy Tailed Distributions written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Handbook Of Heavy Tailed Distributions In Finance
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Author : S.T Rachev
language : en
Publisher: Elsevier
Release Date : 2003-03-05
Handbook Of Heavy Tailed Distributions In Finance written by S.T Rachev and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-05 with Business & Economics categories.
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
The Fundamentals Of Heavy Tails
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Author : Jayakrishnan Nair
language : en
Publisher: Cambridge University Press
Release Date : 2022-06-09
The Fundamentals Of Heavy Tails written by Jayakrishnan Nair and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-09 with Mathematics categories.
Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising, and even controversial, primarily because the necessary mathematical models and statistical methods are not widely known. This book, for the first time, provides a rigorous introduction to heavy-tailed distributions accessible to anyone who knows elementary probability. It tackles and tames the zoo of terminology for models and properties, demystifying topics such as the generalized central limit theorem and regular variation. It tracks the natural emergence of heavy-tailed distributions from a wide variety of general processes, building intuition. And it reveals the controversy surrounding heavy tails to be the result of flawed statistics, then equips readers to identify and estimate with confidence. Over 100 exercises complete this engaging package.
Heavy Tail Phenomena
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Author : Sidney I. Resnick
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-03
Heavy Tail Phenomena written by Sidney I. Resnick and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-03 with Mathematics categories.
This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.
Univariate Stable Distributions
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Author : John P. Nolan
language : en
Publisher: Springer Nature
Release Date : 2020-09-13
Univariate Stable Distributions written by John P. Nolan and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-13 with Mathematics categories.
This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws. Because of the author’s accessible and comprehensive approach, readers will be able to understand and use these methods. Both mathematicians and non-mathematicians will find this a valuable resource for more accurately modelling and predicting large values in a number of real-world scenarios. Beginning with an introductory chapter that explains key ideas about stable laws, readers will be prepared for the more advanced topics that appear later. The following chapters present the theory of stable distributions, a wide range of applications, and statistical methods, with the final chapters focusing on regression, signal processing, and related distributions. Each chapter ends with a number of carefully chosen exercises. Links to free software are included as well, where readers can put these methods into practice. Univariate Stable Distributions is ideal for advanced undergraduate or graduate students in mathematics, as well as many other fields, such as statistics, economics, engineering, physics, and more. It will also appeal to researchers in probability theory who seek an authoritative reference on stable distributions.
Passive Active And Digital Filters
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Author : Wai-Kai Chen
language : en
Publisher: CRC Press
Release Date : 2018-10-08
Passive Active And Digital Filters written by Wai-Kai Chen and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-08 with Technology & Engineering categories.
Upon its initial publication, The Circuits and Filters Handbook broke new ground. It quickly became the resource for comprehensive coverage of issues and practical information that can be put to immediate use. Not content to rest on his laurels, in addition to updating the second edition, editor Wai-Kai Chen divided it into tightly-focused texts that made the information easily accessible and digestible. These texts have been revised, updated, and expanded so that they continue to provide solid coverage of standard practices and enlightened perspectives on new and emerging techniques. Passive, Active, and Digital Filters provides an introduction to the characteristics of analog filters and a review of the design process and the tasks that need to be undertaken to translate a set of filter specifications into a working prototype. Highlights include discussions of the passive cascade synthesis and the synthesis of LCM and RC one-port networks; a summary of two-port synthesis by ladder development; a comparison of the cascade approach, the multiple-loop feedback topology, and ladder simulations; an examination of four types of finite wordlength effects; and coverage of methods for designing two-dimensional finite-extent impulse response (FIR) discrete-time filters. The book includes coverage of the basic building blocks involved in low- and high-order filters, limitations and practical design considerations, and a brief discussion of low-voltage circuit design. Revised Chapters: Sensitivity and Selectivity Switched-Capacitor Filters FIR Filters IIR Filters VLSI Implementation of Digital Filters Two-Dimensional FIR Filters Additional Chapters: 1-D Multirate Filter Banks Directional Filter Banks Nonlinear Filtering Using Statistical Signal Models Nonlinear Filtering for Image Denoising Video Demosaicking Filters This volume will undoubtedly take its place as the engineer's first choice in looking for solutions to problems encountered when designing filters.
Discrete Time Series Processes And Applications In Finance
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Author : Gilles Zumbach
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-26
Discrete Time Series Processes And Applications In Finance written by Gilles Zumbach and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-26 with Business & Economics categories.
This book surveys empirical properties of financial time series, discusses their mathematical basis, and describes uses in risk evaluation, option pricing or portfolio construction. The author introduces and assesses a range of processes against the benchmark.
Non Life Insurance Mathematics
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Author : Thomas Mikosch
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Non Life Insurance Mathematics written by Thomas Mikosch and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-21 with Mathematics categories.
"Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties....The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy." --Zentralblatt für Didaktik der Mathematik
Nonparametric Analysis Of Univariate Heavy Tailed Data
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Author : Natalia Markovich
language : en
Publisher: John Wiley & Sons
Release Date : 2008-03-11
Nonparametric Analysis Of Univariate Heavy Tailed Data written by Natalia Markovich and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-11 with Mathematics categories.
Heavy-tailed distributions are typical for phenomena in complex multi-component systems such as biometry, economics, ecological systems, sociology, web access statistics, internet traffic, biblio-metrics, finance and business. The analysis of such distributions requires special methods of estimation due to their specific features. These are not only the slow decay to zero of the tail, but also the violation of Cramer’s condition, possible non-existence of some moments, and sparse observations in the tail of the distribution. The book focuses on the methods of statistical analysis of heavy-tailed independent identically distributed random variables by empirical samples of moderate sizes. It provides a detailed survey of classical results and recent developments in the theory of nonparametric estimation of the probability density function, the tail index, the hazard rate and the renewal function. Both asymptotical results, for example convergence rates of the estimates, and results for the samples of moderate sizes supported by Monte-Carlo investigation, are considered. The text is illustrated by the application of the considered methodologies to real data of web traffic measurements.