Heavy Tailed Functional Time Series
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Heavy Tailed Functional Time Series
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Author : Thomas Meinguet
language : en
Publisher: Presses univ. de Louvain
Release Date : 2010-08
Heavy Tailed Functional Time Series written by Thomas Meinguet and has been published by Presses univ. de Louvain this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08 with Science categories.
The goal of this thesis is to treat the temporal tail dependence and the cross-sectional tail dependence of heavy tailed functional time series. Functional time series are aimed at modelling spatio-temporal phenomena; for instance rain, temperature, pollution on a given geographical area, with temporally dependent observations. Heavy tails mean that the series can exhibit much higher spikes than with Gaussian distributions for instance. In such cases, second moments cannot be assumed to exist, violating the basic assumption in standard functional data analysis based on the sequence of autocovariance operators. As for random variables, regular variation provides the mathematical backbone for a coherent theory of extreme values. The main tools introduced in this thesis for a regularly varying functional time series are its tail process and its spectral process. These objects capture all the aspects of the probability distribution of extreme values jointly over time and space. The development of the tail and spectral process for heavy tailed functional time series is followed by three theoretical applications. The first application is a characterization of a variety of indices and objects describing the extremal behavior of the series: the extremal index, tail dependence coefficients, the extremogram and the point process of extremes. The second is the computation of an explicit expression of the tail and spectral processes for heavy tailed linear functional time series. The third and final application is the introduction and the study of a model for the spatio-temporal dependence for functional time series called maxima of moving maxima of continuous functions (CM3 processes), with the development of an estimation method.
Heavy Tailed Time Series
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Author : Rafal Kulik
language : en
Publisher: Springer
Release Date : 2020-08-13
Heavy Tailed Time Series written by Rafal Kulik and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-13 with Mathematics categories.
This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while including historical insights at each chapter’s conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence.
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
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.
Heavy Tailed Time Series
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Author : Rafal Kulik
language : en
Publisher: Springer Nature
Release Date : 2020-07-01
Heavy Tailed Time Series written by Rafal Kulik and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-01 with Mathematics categories.
This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while including historical insights at each chapter’s conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence.
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.
Proceedings Of The 11th International Conference On Asian And Pacific Coasts
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Author : Yoshimitsu Tajima
language : en
Publisher: Springer Nature
Release Date : 2024-06-18
Proceedings Of The 11th International Conference On Asian And Pacific Coasts written by Yoshimitsu Tajima and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-06-18 with Technology & Engineering categories.
This book presents peer reviewed articles from the 11th International Conference on Asian and Pacific Coasts (APAC 2023). APAC aims to promote academic and technological progress and activities, international technical transfer and cooperation, and opportunities for engineers and researchers to maintain and improve scientific and technical competence in the field of coastal engineering and related fields, among Asian and Pacific countries/regions. Besides coastal engineering, related fields include but not limited to coastal environment, marine ecology, coastal oceanography, and fishery science and engineering. APAC is jointly supported by the Chinese Ocean Engineering Society (COES), the Coastal Engineering Committee of the Japan Society of Civil Engineers (JSCE), and the Korean Society of Coastal and Ocean Engineers (KSCOE). Chapters "OILPARI - a real-time oil transport simulator for marine disaster response: Its functionary, update, and progresstoward the next generation, "Application of Building Cube Method to reproduce high-resolution hydrodynamics of a dredged borrow pit in Osaka Bay, Japan" and "Geographical Distribution and Recent Change in the Meteorological Event Causing the Annual Maximum Wave Height and Storm Surge around Japan" are available open access under a Creative Commons Attribution 4.0 International License via link.springer.com.
Cyclostationarity Theory And Methods
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Author : Fakher Chaari
language : en
Publisher: Springer Science & Business Media
Release Date : 2014-01-16
Cyclostationarity Theory And Methods written by Fakher Chaari 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 2014-01-16 with Technology & Engineering categories.
In the last decade the research in signal analysis was dominated by models that encompass nonstationarity as an important feature. This book presents the results of a workshop held in Grodek—Poland in February 2013 which was dedicated to the investigation of cyclostationary signals. Its main objective is to highlight the strong interactions between theory and applications of cyclostationary signals with the use of modern statistical tools. An important application of cyclostationary signals is the analysis of mechanical signals generated by a vibrating mechanism. Cyclostationary models are very important to perform basic operations on signals in both time and frequency domains. One of the fundamental problems in diagnosis of rotating machine is the identification of significant modulating frequencies that contribute to the cyclostationary nature of the signals. The book shows that there are modern tools available for analyzing cyclostationary signals without the assumption of gaussianity. Those methods are based on the ideas of bootstrap, subsampling and Fraction-of-time (FOT) models. The book is organised in two parts. The first part will be dedicated to pure theory on cyclostationarity. Applications are presented in the second part including several mechanical systems such as bearings, gears, with or without damages.
Recent Advances And Future Directions In Causality Prediction And Specification Analysis
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Author : Xiaohong Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-01
Recent Advances And Future Directions In Causality Prediction And Specification Analysis written by Xiaohong Chen 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 2012-08-01 with Business & Economics categories.
This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Nonstationary Systems Theory And Applications
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Author : Fakher Chaari
language : en
Publisher: Springer Nature
Release Date : 2021-07-21
Nonstationary Systems Theory And Applications written by Fakher Chaari and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-21 with Technology & Engineering categories.
This book offers an overview of current and recent methods for the analysis of the nonstationary processes, focusing on cyclostationary systems that are ubiquitous in various application fields. Based on the 13th Workshop on Nonstationary Systems and Their Applications, held on February 3-5, 2020, in Grodek nad Dunajcem, Poland, the book merges theoretical contributions describing new statistical and intelligent methods for analyzing nonstationary processes, and applied works showing how the proposed methods can be implemented in practice and do perform in real-world case studies. A significant part of the book is dedicated to nonstationary systems applications, with a special emphasis on those in condition monitoring.