Saddlepoint Approximations With Applications
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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.
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.
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 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.
Approximated And Estimated Saddlepoint Approximations
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Author : Pamela Ann Ohman
language : en
Publisher:
Release Date : 1997
Approximated And Estimated Saddlepoint Approximations written by Pamela Ann Ohman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Statistical Methods For Financial Engineering
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Author : Bruno Remillard
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Statistical Methods For Financial Engineering written by Bruno Remillard and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in f
Bootstrap Methods And Their Application
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Author : A. C. Davison
language : en
Publisher: Cambridge University Press
Release Date : 1997-10-28
Bootstrap Methods And Their Application written by A. C. Davison 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 1997-10-28 with Computers categories.
Disk contains the library functions and documentation for use with Splus for Windows.
Statistical Tools For Finance And Insurance
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Author : Pavel Cizek
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-18
Statistical Tools For Finance And Insurance written by Pavel Cizek 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 2011-03-18 with Business & Economics categories.
Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methods and the applicability of the stochastic technology Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations Covers topics such as - expected shortfall for heavy tailed and mixture distributions* - pricing of variance swaps* - volatility smile calibration in FX markets - pricing of catastrophe bonds and temperature derivatives* - building loss models and ruin probability approximation - insurance pricing with GLM* - equity linked retirement plans*(new topics in the second edition marked with*) Presents extensive examples
Golden Winged Warbler Ecology Conservation And Habitat Management
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Author : Henry M. Streby
language : en
Publisher: CRC Press
Release Date : 2016-10-26
Golden Winged Warbler Ecology Conservation And Habitat Management written by Henry M. Streby and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-26 with Nature categories.
Golden-winged Warblers (Vermivora chrysoptera) are migratory songbirds that breed in temperate North America, primarily in the Great Lakes region with remnant populations throughout the Appalachian Mountains, and winter in Central and northern South America. Their breeding range has contracted dramatically in the Appalachian Mountains and many populations have dramatically declined, likely due to habitat loss, competition and interbreeding with Blue-winged Warblers (Vermivora pinus), andglobal climate change.. As a result of population declines in much of the eastern portion of their breeding range, Golden-winged Warblers are listed as endangered or threatened in 10 U.S. states and in Canada and have been petitioned for protection under the U.S. Endangered Species Act. Published in collaboration with and on behalf of The American Ornithological Society, this volume in the highly-regarded Studies in Avian Biology series compiles extensive, current research on Golden-winged Warblers and summarizes what is known and identifies many remaining unknowns, providing a wealth of peer-reviewed science on which future research and listing decisions can be based.