Extremes And Related Properties Of Random Sequences And Processes
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Extremes And Related Properties Of Random Sequences And Processes
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Author : M. R. Leadbetter
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Extremes And Related Properties Of Random Sequences And Processes written by M. R. Leadbetter 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 2012-12-06 with Mathematics categories.
Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued.
Extremes And Related Properties Of Random Sequences And Processes
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Author : M.R. Leadbetter
language : en
Publisher:
Release Date : 1983-03-02
Extremes And Related Properties Of Random Sequences And Processes written by M.R. Leadbetter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983-03-02 with categories.
An Introduction To Statistical Modeling Of Extreme Values
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Author : Stuart Coles
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-08-20
An Introduction To Statistical Modeling Of Extreme Values written by Stuart Coles 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 2001-08-20 with Mathematics categories.
Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.
Probability Models For Dna Sequence Evolution
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Author : Rick Durrett
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Probability Models For Dna Sequence Evolution written by Rick Durrett 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 2013-03-09 with Mathematics categories.
Our basic question is: Given a collection of DNA sequences, what underlying forces are responsible for the observed patterns of variability? To approach this question we introduce and analyze a number of probability models: the Wright-Fisher model, the coalescent, the infinite alleles model, and the infinite sites model. We study the complications that come from nonconstant population size, recombination, population subdivision, and three forms of natural selection: directional selection, balancing selection, and background selection. These theoretical results set the stage for the investigation of various statistical tests to detect departures from "neutral evolution." The final chapter studies the evolution of whole genomes by chromosomal inversions, reciprocal translocations, and genome duplication. Throughout the book, the theory is developed in close connection with data from more than 60 experimental studies from the biology literature that illustrate the use of these results. This book is written for mathematicians and for biologists alike. We assume no previous knowledge of concepts from biology and only a basic knowledge of probability: a one semester undergraduate course and some familiarity with Markov chains and Poisson processes. Rick Durrett received his Ph.D. in operations research from Stanford University in 1976. He taught in the UCLA mathematics department before coming to Cornell in 1985. He is the author of six books and 125 research papers, and is the academic father of more than 30 Ph.D. students. His current interests are the use of probability models in genetics and ecology, and decreasing the mean and variance of his golf.
Extreme Events In Nature And Society
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Author : Sergio Albeverio
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-02-18
Extreme Events In Nature And Society written by Sergio Albeverio 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 2006-02-18 with Science categories.
Significant, and usually unwelcome, surprises, such as floods, financial crisis, epileptic seizures, or material rupture, are the topics of Extreme Events in Nature and Society. The book, authored by foremost experts in these fields, reveals unifying and distinguishing features of extreme events, including problems of understanding and modelling their origin, spatial and temporal extension, and potential impact. The chapters converge towards the difficult problem of anticipation: forecasting the event and proposing measures to moderate or prevent it. Extreme Events in Nature and Society will interest not only specialists, but also the general reader eager to learn how the multifaceted field of extreme events can be viewed as a coherent whole.
Extreme Value Theory
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Author : Jürg Hüsler
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Extreme Value Theory written by Jürg Hüsler 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 2012-12-06 with Mathematics categories.
The urgent need to describe and to solve certain problems connected to extreme phenomena in various areas of applications has been of decisive influence on the vital development of extreme value theory. After the pioneering work of M. Frechet (1927) and of R.A. Fisher and L.R.C. Tippett (1928), who discovered the limiting distributions of extremes, the importance of mathematical concepts of extreme behavior in applications was impressively demonstrated by statisticians like E.J. Gumbel and W. Weibull. The predominant role of applied aspects in that early period may be highlighted by the fact that two of the "Fisher-Tippett asymptotes" also carry the names of Gumbel and Weibull. In the last years, the complexity of problems and their tractability by mathematical methods stimulated a rapid development of mathematical theory that substantially helped to improve our understanding of extreme behavior. Due to the depth and richness of mathematical ideas, extreme value theory has become more and more of interest for mathematically oriented research workers. This was one of the reasons to organize a conference on extreme value theory which was held at the Mathematische Forschungsinstitut at Oberwolfach (FRG) in December 1987.
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-09-30
Extreme Events In Finance written by Francois Longin 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 2016-09-30 with Business & Economics categories.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Stable Non Gaussian Random Processes
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Author : Gennady Samoradnitsky
language : en
Publisher: Routledge
Release Date : 2017-11-22
Stable Non Gaussian Random Processes written by Gennady Samoradnitsky and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-22 with Mathematics categories.
This book serves as a standard reference, making this area accessible not only to researchers in probability and statistics, but also to graduate students and practitioners. The book assumes only a first-year graduate course in probability. Each chapter begins with a brief overview and concludes with a wide range of exercises at varying levels of difficulty. The authors supply detailed hints for the more challenging problems, and cover many advances made in recent years.
Statistics Of Extremes
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Author : Jan Beirlant
language : en
Publisher: John Wiley & Sons
Release Date : 2006-03-17
Statistics Of Extremes written by Jan Beirlant 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 2006-03-17 with Mathematics categories.
Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.
Journal Of Research Of The National Institute Of Standards And Technology
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Author :
language : en
Publisher:
Release Date : 1994
Journal Of Research Of The National Institute Of Standards And Technology written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Measurement categories.