Saddlepoint Approximations Edgeworth Expansions And Normal Approximations
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Saddlepoint Approximations Edgeworth Expansions And Normal Approximations
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Author : Jens Ledet Jensen
language : en
Publisher:
Release Date : 1993
Saddlepoint Approximations Edgeworth Expansions And Normal Approximations written by Jens Ledet Jensen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Approximation theory categories.
Saddlepoint Approximations
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Author : Jens Ledet Jensen
language : en
Publisher: Oxford University Press
Release Date : 1995
Saddlepoint Approximations written by Jens Ledet Jensen and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Mathematics categories.
Although introduced more than 60 years ago it is only during the last 15 years that there has been a systematic development of saddlepoint approximations. These approximations give a highly accurate expression for the tail of a distribution, not only in the centre of the distribution but also for very small tail probabilities. The price for this is a more cumbersome formula, the evaluation of which sometimes requires the use of a small personal computer. This book explains the ideas behind the saddlepoint approximations as well as giving a detailed mathematical description of the subject. The emphasis is two- fold. One is on popularizing the formulae through many worked out and ready to use examples. The second is on giving a comprehensive mathematical background for further research in the field. Some of the major subjects treated are uniformity of the approximations, tests in exponential families, and compound sums with applications in insurance mathematics.
Saddlepoint Approximations With Applications
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Author : Ronald W. Butler
language : en
Publisher: Cambridge University Press
Release Date : 2007-08-16
Saddlepoint Approximations With Applications written by Ronald W. Butler 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 2007-08-16 with Mathematics categories.
Modern statistical methods use complex, sophisticated models that can lead to intractable computations. Saddlepoint approximations can be the answer. Written from the user's point of view, this book explains in clear language how such approximate probability computations are made, taking readers from the very beginnings to current applications. The core material is presented in chapters 1-6 at an elementary mathematical level. Chapters 7-9 then give a highly readable account of higher-order asymptotic inference. Later chapters address areas where saddlepoint methods have had substantial impact: multivariate testing, stochastic systems and applied probability, bootstrap implementation in the transform domain, and Bayesian computation and inference. No previous background in the area is required. Data examples from real applications demonstrate the practical value of the methods. Ideal for graduate students and researchers in statistics, biostatistics, electrical engineering, econometrics, and applied mathematics, this is both an entry-level text and a valuable reference.
Saddlepoint Approximation Methods In Financial Engineering
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Author : Yue Kuen Kwok
language : en
Publisher: Springer
Release Date : 2018-02-16
Saddlepoint Approximation Methods In Financial Engineering written by Yue Kuen Kwok and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-16 with Mathematics categories.
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
Asymptotic Theory Of Statistics And Probability
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Author : Anirban DasGupta
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-03-07
Asymptotic Theory Of Statistics And Probability written by Anirban DasGupta 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 2008-03-07 with Mathematics categories.
This unique book delivers an encyclopedic treatment of classic as well as contemporary large sample theory, dealing with both statistical problems and probabilistic issues and tools. The book is unique in its detailed coverage of fundamental topics. It is written in an extremely lucid style, with an emphasis on the conceptual discussion of the importance of a problem and the impact and relevance of the theorems. There is no other book in large sample theory that matches this book in coverage, exercises and examples, bibliography, and lucid conceptual discussion of issues and theorems.
Series Approximation Methods In Statistics
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Author : John E. Kolassa
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-09-23
Series Approximation Methods In Statistics written by John E. Kolassa 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 2006-09-23 with Mathematics categories.
This revised book presents theoretical results relevant to Edgeworth and saddlepoint expansions to densities and distribution functions. It provides examples of their application in some simple and a few complicated settings, along with numerical, as well as asymptotic, assessments of their accuracy. Variants on these expansions, including much of modern likelihood theory, are discussed and applications to lattice distributions are extensively treated.
Memoirs
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Author :
language : en
Publisher:
Release Date : 1993
Memoirs written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Encyclopedia Of Statistical Sciences Volume 1
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Author :
language : en
Publisher: John Wiley & Sons
Release Date : 2005-12-16
Encyclopedia Of Statistical Sciences Volume 1 written by 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 2005-12-16 with Mathematics categories.
Countless professionals and students who use statistics in their work rely on the multi-volume Encyclopedia of Statistical Sciences as a superior and unique source of information on statistical theory, methods, and applications. This new edition (available in both print and on-line versions) is designed to bring the encyclopedia in line with the latest topics and advances made in statistical science over the past decade--in areas such as computer-intensive statistical methodology, genetics, medicine, the environment, and other applications. Written by over 600 world-renowned experts (including the editors), the entries are self-contained and easily understood by readers with a limited statistical background. With the publication of this second edition in 16 printed volumes, the Encyclopedia of Statistical Sciences retains its position as a cutting-edge reference of choice for those working in statistics, biostatistics, quality control, economics, sociology, engineering, probability theory, computer science, biomedicine, psychology, and many other areas.
Rabi N Bhattacharya
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Author : Manfred Denker
language : en
Publisher: Birkhäuser
Release Date : 2016-06-30
Rabi N Bhattacharya written by Manfred Denker and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-30 with Mathematics categories.
This volume presents some of the most influential papers published by Rabi N. Bhattacharya, along with commentaries from international experts, demonstrating his knowledge, insight, and influence in the field of probability and its applications. For more than three decades, Bhattacharya has made significant contributions in areas ranging from theoretical statistics via analytical probability theory, Markov processes, and random dynamics to applied topics in statistics, economics, and geophysics. Selected reprints of Bhattacharya’s papers are divided into three sections: Modes of Approximation, Large Times for Markov Processes, and Stochastic Foundations in Applied Sciences. The accompanying articles by the contributing authors not only help to position his work in the context of other achievements, but also provide a unique assessment of the state of their individual fields, both historically and for the next generation of researchers. Rabi N. Bhattacharya: Selected Papers will be a valuable resource for young researchers entering the diverse areas of study to which Bhattacharya has contributed. Established researchers will also appreciate this work as an account of both past and present developments and challenges for the future.
Asymptotics In Statistics And Probability
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Author : Madan L. Puri
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2018-11-05
Asymptotics In Statistics And Probability written by Madan L. Puri and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-05 with Mathematics categories.
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