Nonparametric Analysis Of Univariate Heavy Tailed Data
DOWNLOAD
Download Nonparametric Analysis Of Univariate Heavy Tailed Data PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Nonparametric Analysis Of Univariate Heavy Tailed Data book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Nonparametric Analysis Of Univariate Heavy Tailed Data
DOWNLOAD
Author : Natalia Markovich
language : en
Publisher: Wiley-Interscience
Release Date : 2007-12-03
Nonparametric Analysis Of Univariate Heavy Tailed Data written by Natalia Markovich and has been published by Wiley-Interscience this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-03 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.
Nonparametric Analysis Of Univariate Heavy Tailed Data
DOWNLOAD
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.
Dynamic Models For Volatility And Heavy Tails
DOWNLOAD
Author : Andrew C. Harvey
language : en
Publisher: Cambridge University Press
Release Date : 2013-04-22
Dynamic Models For Volatility And Heavy Tails written by Andrew C. Harvey 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 2013-04-22 with Business & Economics categories.
The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.
Regression Analysis By Example
DOWNLOAD
Author : Samprit Chatterjee
language : en
Publisher: John Wiley & Sons
Release Date : 2015-02-25
Regression Analysis By Example written by Samprit Chatterjee 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 2015-02-25 with Mathematics categories.
Praise for the Fourth Edition: "This book is . . . an excellent source of examples for regression analysis. It has been and still is readily readable and understandable." —Journal of the American Statistical Association Regression analysis is a conceptually simple method for investigating relationships among variables. Carrying out a successful application of regression analysis, however, requires a balance of theoretical results, empirical rules, and subjective judgment. Regression Analysis by Example, Fifth Edition has been expanded and thoroughly updated to reflect recent advances in the field. The emphasis continues to be on exploratory data analysis rather than statistical theory. The book offers in-depth treatment of regression diagnostics, transformation, multicollinearity, logistic regression, and robust regression. The book now includes a new chapter on the detection and correction of multicollinearity, while also showcasing the use of the discussed methods on newly added data sets from the fields of engineering, medicine, and business. The Fifth Edition also explores additional topics, including: Surrogate ridge regression Fitting nonlinear models Errors in variables ANOVA for designed experiments Methods of regression analysis are clearly demonstrated, and examples containing the types of irregularities commonly encountered in the real world are provided. Each example isolates one or two techniques and features detailed discussions, the required assumptions, and the evaluated success of each technique. Additionally, methods described throughout the book can be carried out with most of the currently available statistical software packages, such as the software package R. Regression Analysis by Example, Fifth Edition is suitable for anyone with an understanding of elementary statistics.
Introduction To Linear Regression Analysis
DOWNLOAD
Author : Douglas C. Montgomery
language : en
Publisher: John Wiley & Sons
Release Date : 2021-02-24
Introduction To Linear Regression Analysis written by Douglas C. Montgomery 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 2021-02-24 with Mathematics categories.
INTRODUCTION TO LINEAR REGRESSION ANALYSIS A comprehensive and current introduction to the fundamentals of regression analysis Introduction to Linear Regression Analysis, 6th Edition is the most comprehensive, fulsome, and current examination of the foundations of linear regression analysis. Fully updated in this new sixth edition, the distinguished authors have included new material on generalized regression techniques and new examples to help the reader understand retain the concepts taught in the book. The new edition focuses on four key areas of improvement over the fifth edition: New exercises and data sets New material on generalized regression techniques The inclusion of JMP software in key areas Carefully condensing the text where possible Introduction to Linear Regression Analysis skillfully blends theory and application in both the conventional and less common uses of regression analysis in today’s cutting-edge scientific research. The text equips readers to understand the basic principles needed to apply regression model-building techniques in various fields of study, including engineering, management, and the health sciences.
Time Series Analysis
DOWNLOAD
Author : George E. P. Box
language : en
Publisher: John Wiley & Sons
Release Date : 2015-06-02
Time Series Analysis written by George E. P. Box 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 2015-06-02 with Mathematics categories.
Praise for the Fourth Edition "The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control." —Mathematical Reviews Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the Fifth Edition continues to serve as one of the most influential and prominent works on the subject. Time Series Analysis: Forecasting and Control, Fifth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, the new edition covers modern topics with new features that include: A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models Numerous examples drawn from finance, economics, engineering, and other related fields The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting Updates to literature references throughout and new end-of-chapter exercises Streamlined chapter introductions and revisions that update and enhance the exposition Time Series Analysis: Forecasting and Control, Fifth Edition is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.
Approximate Dynamic Programming
DOWNLOAD
Author : Warren B. Powell
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-26
Approximate Dynamic Programming written by Warren B. Powell 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 2011-10-26 with Mathematics categories.
Praise for the First Edition "Finally, a book devoted to dynamic programming and written using the language of operations research (OR)! This beautiful book fills a gap in the libraries of OR specialists and practitioners." —Computing Reviews This new edition showcases a focus on modeling and computation for complex classes of approximate dynamic programming problems Understanding approximate dynamic programming (ADP) is vital in order to develop practical and high-quality solutions to complex industrial problems, particularly when those problems involve making decisions in the presence of uncertainty. Approximate Dynamic Programming, Second Edition uniquely integrates four distinct disciplines—Markov decision processes, mathematical programming, simulation, and statistics—to demonstrate how to successfully approach, model, and solve a wide range of real-life problems using ADP. The book continues to bridge the gap between computer science, simulation, and operations research and now adopts the notation and vocabulary of reinforcement learning as well as stochastic search and simulation optimization. The author outlines the essential algorithms that serve as a starting point in the design of practical solutions for real problems. The three curses of dimensionality that impact complex problems are introduced and detailed coverage of implementation challenges is provided. The Second Edition also features: A new chapter describing four fundamental classes of policies for working with diverse stochastic optimization problems: myopic policies, look-ahead policies, policy function approximations, and policies based on value function approximations A new chapter on policy search that brings together stochastic search and simulation optimization concepts and introduces a new class of optimal learning strategies Updated coverage of the exploration exploitation problem in ADP, now including a recently developed method for doing active learning in the presence of a physical state, using the concept of the knowledge gradient A new sequence of chapters describing statistical methods for approximating value functions, estimating the value of a fixed policy, and value function approximation while searching for optimal policies The presented coverage of ADP emphasizes models and algorithms, focusing on related applications and computation while also discussing the theoretical side of the topic that explores proofs of convergence and rate of convergence. A related website features an ongoing discussion of the evolving fields of approximation dynamic programming and reinforcement learning, along with additional readings, software, and datasets. Requiring only a basic understanding of statistics and probability, Approximate Dynamic Programming, Second Edition is an excellent book for industrial engineering and operations research courses at the upper-undergraduate and graduate levels. It also serves as a valuable reference for researchers and professionals who utilize dynamic programming, stochastic programming, and control theory to solve problems in their everyday work.
Methodological Developments In Data Linkage
DOWNLOAD
Author : Katie Harron
language : en
Publisher: John Wiley & Sons
Release Date : 2015-09-22
Methodological Developments In Data Linkage written by Katie Harron 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 2015-09-22 with Medical categories.
A comprehensive compilation of new developments in data linkage methodology The increasing availability of large administrative databases has led to a dramatic rise in the use of data linkage, yet the standard texts on linkage are still those which describe the seminal work from the 1950-60s, with some updates. Linkage and analysis of data across sources remains problematic due to lack of discriminatory and accurate identifiers, missing data and regulatory issues. Recent developments in data linkage methodology have concentrated on bias and analysis of linked data, novel approaches to organising relationships between databases and privacy-preserving linkage. Methodological Developments in Data Linkage brings together a collection of contributions from members of the international data linkage community, covering cutting edge methodology in this field. It presents opportunities and challenges provided by linkage of large and often complex datasets, including analysis problems, legal and security aspects, models for data access and the development of novel research areas. New methods for handling uncertainty in analysis of linked data, solutions for anonymised linkage and alternative models for data collection are also discussed. Key Features: Presents cutting edge methods for a topic of increasing importance to a wide range of research areas, with applications to data linkage systems internationally Covers the essential issues associated with data linkage today Includes examples based on real data linkage systems, highlighting the opportunities, successes and challenges that the increasing availability of linkage data provides Novel approach incorporates technical aspects of both linkage, management and analysis of linked data This book will be of core interest to academics, government employees, data holders, data managers, analysts and statisticians who use administrative data. It will also appeal to researchers in a variety of areas, including epidemiology, biostatistics, social statistics, informatics, policy and public health.
Extreme Events In Finance
DOWNLOAD
Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-09-21
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 2016-09-21 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.
Geostatistics
DOWNLOAD
Author : Jean-Paul Chilès
language : en
Publisher: John Wiley & Sons
Release Date : 2012-03-26
Geostatistics written by Jean-Paul Chilès 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 2012-03-26 with Mathematics categories.
Praise for the First Edition ". . . a readable, comprehensive volume that . . . belongs on the desk, close at hand, of any serious researcher or practitioner." Mathematical Geosciences The state of the art in geostatistics Geostatistical models and techniques such as kriging and stochastic multi-realizations exploit spatial correlations to evaluate natural resources, help optimize their development, and address environmental issues related to air and water quality, soil pollution, and forestry. Geostatistics: Modeling Spatial Uncertainty, Second Edition presents a comprehensive, up-to-date reference on the topic, now featuring the latest developments in the field. The authors explain both the theory and applications of geostatistics through a unified treatment that emphasizes methodology. Key topics that are the foundation of geostatistics are explored in-depth, including stationary and nonstationary models; linear and nonlinear methods; change of support; multivariate approaches; and conditional simulations. The Second Edition highlights the growing number of applications of geostatistical methods and discusses three key areas of growth in the field: New results and methods, including kriging very large datasets; kriging with outliers; nonse??parable space-time covariances; multipoint simulations; pluri-gaussian simulations; gradual deformation; and extreme value geostatistics Newly formed connections between geostatistics and other approaches such as radial basis functions, Gaussian Markov random fields, and data assimilation New perspectives on topics such as collocated cokriging, kriging with an external drift, discrete Gaussian change-of-support models, and simulation algorithms Geostatistics, Second Edition is an excellent book for courses on the topic at the graduate level. It also serves as an invaluable reference for earth scientists, mining and petroleum engineers, geophysicists, and environmental statisticians who collect and analyze data in their everyday work.