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A Practical Guide To Heavy Tails Statistical Techniques For Analyzing Heavy Tailed Distributions


A Practical Guide To Heavy Tails Statistical Techniques For Analyzing Heavy Tailed Distributions
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A Practical Guide To Heavy Tails


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



Handbook Of Heavy Tailed Distributions In Finance


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.



A Practical Guide To Heavy Tails Statistical Techniques For Analyzing Heavy Tailed Distributions


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.




Heavy Tail Phenomena


Heavy Tail Phenomena
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Author : Sidney I. Resnick
language : en
Publisher: Springer Science & Business Media
Release Date : 2007

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 with Business & Economics 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.



Handbook Of Analytic Computational Methods In Applied Mathematics


Handbook Of Analytic Computational Methods In Applied Mathematics
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Author : George Anastassiou
language : en
Publisher: CRC Press
Release Date : 2019-06-03

Handbook Of Analytic Computational Methods In Applied Mathematics written by George Anastassiou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-03 with Mathematics categories.


Working computationally in applied mathematics is the very essence of dealing with real-world problems in science and engineering. Approximation theory-on the borderline between pure and applied mathematics- has always supplied some of the most innovative ideas, computational methods, and original approaches to many types of problems. The f



Univariate Stable Distributions


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.



The Fundamentals Of Heavy Tails


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 Business & Economics categories.


An accessible yet rigorous package of probabilistic and statistical tools for anyone who must understand or model extreme events.



Fundamental Statistical Inference


Fundamental Statistical Inference
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Author : Marc S. Paolella
language : en
Publisher: John Wiley & Sons
Release Date : 2018-09-04

Fundamental Statistical Inference written by Marc S. Paolella 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 2018-09-04 with Mathematics categories.


A hands-on approach to statistical inference that addresses the latest developments in this ever-growing field This clear and accessible book for beginning graduate students offers a practical and detailed approach to the field of statistical inference, providing complete derivations of results, discussions, and MATLAB programs for computation. It emphasizes details of the relevance of the material, intuition, and discussions with a view towards very modern statistical inference. In addition to classic subjects associated with mathematical statistics, topics include an intuitive presentation of the (single and double) bootstrap for confidence interval calculations, shrinkage estimation, tail (maximal moment) estimation, and a variety of methods of point estimation besides maximum likelihood, including use of characteristic functions, and indirect inference. Practical examples of all methods are given. Estimation issues associated with the discrete mixtures of normal distribution, and their solutions, are developed in detail. Much emphasis throughout is on non-Gaussian distributions, including details on working with the stable Paretian distribution and fast calculation of the noncentral Student's t. An entire chapter is dedicated to optimization, including development of Hessian-based methods, as well as heuristic/genetic algorithms that do not require continuity, with MATLAB codes provided. The book includes both theory and nontechnical discussions, along with a substantial reference to the literature, with an emphasis on alternative, more modern approaches. The recent literature on the misuse of hypothesis testing and p-values for model selection is discussed, and emphasis is given to alternative model selection methods, though hypothesis testing of distributional assumptions is covered in detail, notably for the normal distribution. Presented in three parts—Essential Concepts in Statistics; Further Fundamental Concepts in Statistics; and Additional Topics—Fundamental Statistical Inference: A Computational Approach offers comprehensive chapters on: Introducing Point and Interval Estimation; Goodness of Fit and Hypothesis Testing; Likelihood; Numerical Optimization; Methods of Point Estimation; Q-Q Plots and Distribution Testing; Unbiased Point Estimation and Bias Reduction; Analytic Interval Estimation; Inference in a Heavy-Tailed Context; The Method of Indirect Inference; and, as an appendix, A Review of Fundamental Concepts in Probability Theory, the latter to keep the book self-contained, and giving material on some advanced subjects such as saddlepoint approximations, expected shortfall in finance, calculation with the stable Paretian distribution, and convergence theorems and proofs.



Nonparametric Analysis Of Univariate Heavy Tailed Data


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.



The Statistical Mechanics Of Financial Markets


The Statistical Mechanics Of Financial Markets
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Author : Johannes Voit
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29

The Statistical Mechanics Of Financial Markets written by Johannes Voit 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 2013-06-29 with Science categories.


These book grew out of a course entitled "Physikalische Modelle in der Fi nanzwirtschaft" which I have taught at the University of Freiburg during the winter term 1998/1999, building on a similar course a year before at the University of Bayreuth. It was an experiment. My interest in the statistical mechanics of capital markets goes back to a public lecture on self-organized criticality, given at the University of Bayreuth in early 1994. Bak, Tang, and Wiesenfeld, in the first longer paper on their theory of self-organized criticality [Phys. Rev. A 38, 364 (1988)] mention Mandelbrot's 1963 paper [J. Business 36, 394 (1963)] on power-law scaling in commodity markets, and speculate on economic systems being described by their theory. Starting from about 1995, papers appeared with increasing frequency on the Los Alamos preprint server, and in the physics literature, showing that physicists found the idea of applying methods of statistical physics to problems of economy exciting and that they produced interesting results. I also was tempted to start work in this new field. However, there was one major problem: my traditional field of research is the theory of strongly correlated quasi-one-dimensional electrons, conducting polymers, quantum wires and organic superconductors, and I had no prior education in the advanced methods of either stochastics and quantitative finance.