Measuring Risk In Complex Stochastic Systems
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Measuring Risk In Complex Stochastic Systems
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Author : J. Franke
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Measuring Risk In Complex Stochastic Systems written by J. Franke 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.
Complex dynamic processes of life and sciences generate risks that have to be taken. The need for clear and distinctive definitions of different kinds of risks, adequate methods and parsimonious models is obvious. The identification of important risk factors and the quantification of risk stemming from an interplay between many risk factors is a prerequisite for mastering the challenges of risk perception, analysis and management successfully. The increasing complexity of stochastic systems, especially in finance, have catalysed the use of advanced statistical methods for these tasks. The methodological approach to solving risk management tasks may, however, be undertaken from many different angles. A financial insti tution may focus on the risk created by the use of options and other derivatives in global financial processing, an auditor will try to evalu ate internal risk management models in detail, a mathematician may be interested in analysing the involved nonlinearities or concentrate on extreme and rare events of a complex stochastic system, whereas a statis tician may be interested in model and variable selection, practical im plementations and parsimonious modelling. An economist may think about the possible impact of risk management tools in the framework of efficient regulation of financial markets or efficient allocation of capital.
Measuring Risk In Complex Stochastic Systems
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Author : J. Franke
language : en
Publisher:
Release Date : 2000-06-01
Measuring Risk In Complex Stochastic Systems written by J. Franke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06-01 with categories.
Measuring Risk In Complex Stochastic Systems
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Author : J. Franke
language : en
Publisher: Springer
Release Date : 2000-06-15
Measuring Risk In Complex Stochastic Systems written by J. Franke and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06-15 with Business & Economics categories.
This collection of articles by leading researchers will be of interest to people working in the area of mathematical finance.
Measuring Market Risk
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Author : Kevin Dowd
language : en
Publisher: John Wiley & Sons
Release Date : 2007-01-11
Measuring Market Risk written by Kevin Dowd 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 2007-01-11 with Business & Economics categories.
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.
An Introduction To Market Risk Measurement
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Author : Kevin Dowd
language : en
Publisher: John Wiley & Sons
Release Date : 2003-03-14
An Introduction To Market Risk Measurement written by Kevin Dowd 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 2003-03-14 with Business & Economics categories.
Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software. Covers the subject without advanced or exotic material.
Multivariate Nonparametric Methods With R
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Author : Hannu Oja
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-03-25
Multivariate Nonparametric Methods With R written by Hannu Oja 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 2010-03-25 with Mathematics categories.
This book offers a new, fairly efficient, and robust alternative to analyzing multivariate data. The analysis of data based on multivariate spatial signs and ranks proceeds very much as does a traditional multivariate analysis relying on the assumption of multivariate normality; the regular L2 norm is just replaced by different L1 norms, observation vectors are replaced by spatial signs and ranks, and so on. A unified methodology starting with the simple one-sample multivariate location problem and proceeding to the general multivariate multiple linear regression case is presented. Companion estimates and tests for scatter matrices are considered as well. The R package MNM is available for computation of the procedures. This monograph provides an up-to-date overview of the theory of multivariate nonparametric methods based on spatial signs and ranks. The classical book by Puri and Sen (1971) uses marginal signs and ranks and different type of L1 norm. The book may serve as a textbook and a general reference for the latest developments in the area. Readers are assumed to have a good knowledge of basic statistical theory as well as matrix theory. Hannu Oja is an academy professor and a professor in biometry in the University of Tampere. He has authored and coauthored numerous research articles in multivariate nonparametrical and robust methods as well as in biostatistics.
Block Designs A Randomization Approach
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Author : Tadeusz Calinski
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Block Designs A Randomization Approach written by Tadeusz Calinski 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 book is composed of two volumes, each consisting of five chapters. In Vol ume I, following some statistical motivation based on a randomization model, a general theory of the analysis of experiments in block designs has been de veloped. In the present Volume II, the primary aim is to present methods of that satisfy the statistical requirements described in constructing block designs Volume I, particularly those considered in Chapters 3 and 4, and also to give some catalogues of plans of the designs. Thus, the constructional aspects are of predominant interest in Volume II, with a general consideration given in Chapter 6. The main design investigations are systematized by separating the material into two contents, depending on whether the designs provide unit efficiency fac tors for some contrasts of treatment parameters (Chapter 7) or not (Chapter 8). This distinction in classifying block designs may be essential from a prac tical point of view. In general, classification of block designs, whether proper or not, is based here on efficiency balance (EB) in the sense of the new termi nology proposed in Section 4. 4 (see, in particular, Definition 4. 4. 2). Most of the attention is given to connected proper designs because of their statistical advantages as described in Volume I, particularly in Chapter 3. When all con trasts are of equal importance, either the class of (v - 1; 0; O)-EB designs, i. e.
Nonparametric Goodness Of Fit Testing Under Gaussian Models
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Author : Yu. I. Ingster
language : en
Publisher: Springer Science & Business Media
Release Date : 2003
Nonparametric Goodness Of Fit Testing Under Gaussian Models written by Yu. I. Ingster 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 2003 with Mathematics categories.
This book presents the modern theory of nonparametric goodness-of-fit testing. It fills the gap in modern nonparametric statistical theory by discussing hypothesis testing and addresses mathematical statisticians who are interesting in the theory of non-parametric statistical inference. It will be of interest to specialists who are dealing with applied non-parametric statistical problems relevant in signal detection and transmission and in technical and medical diagnostics among others.
Projecting Statistical Functionals
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Author : Tomasz Rychlik
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Projecting Statistical Functionals written by Tomasz Rychlik 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.
About 10 years ago I began studying evaluations of distributions of or der statistics from samples with general dependence structure. Analyzing in [78] deterministic inequalities for arbitrary linear combinations of order statistics expressed in terms of sample moments, I observed that we obtain the optimal bounds once we replace the vectors of original coefficients of the linear combinations by the respective Euclidean norm projections onto the convex cone of vectors with nondecreasing coordinates. I further veri fied that various optimal evaluations of order and record statistics, derived earlier by use of diverse techniques, may be expressed by means of projec tions. In Gajek and Rychlik [32], we formulated for the first time an idea of applying projections onto convex cones for determining accurate moment bounds on the expectations of order statistics. Also for the first time, we presented such evaluations for non parametric families of distributions dif ferent from families of arbitrary, symmetric, and nonnegative distributions. We realized that this approach makes it possible to evaluate various func tionals of great importance in applied probability and statistics in different restricted families of distributions. The purpose of this monograph is to present the method of using pro jections of elements of functional Hilbert spaces onto convex cones for es tablishing optimal mean-variance bounds of statistical functionals, and its wide range of applications. This is intended for students, researchers, and practitioners in probability, statistics, and reliability.
Tools For Constructing Chronologies
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Author : Caitlin E. Buck
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Tools For Constructing Chronologies written by Caitlin E. Buck 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 first book to group together and analyze all the chronology construction methods used in different disciplines, this book will appeal to a wide range of researchers, scientists and graduate students using chronologies in their work; from applied statisticians to archaeologists, geologists and paleontologists, to those working in bioinformatics and chronometry. It is truly interdisciplinary and designed to enable cross fertilization of techniques.