Extreme Values in Finance, Telecommunications, and the Environment

Extreme Values in Finance, Telecommunications, and the Environment PDF Author: Barbel Finkenstadt
Publisher: CRC Press
ISBN: 1135438013
Category : Mathematics
Languages : en
Pages : 424

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Book Description
Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume.

Extreme Values in Finance, Telecommunications, and the Environment

Extreme Values in Finance, Telecommunications, and the Environment PDF Author: Barbel Finkenstadt
Publisher: CRC Press
ISBN: 1135438013
Category : Mathematics
Languages : en
Pages : 424

Get Book Here

Book Description
Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory of extreme values in the areas of finance, insurance, the environment, and telecommunications. The comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume.

Extreme Values in Finance, Telecommunications, and the Environment

Extreme Values in Finance, Telecommunications, and the Environment PDF Author: Barbel Finkenstadt
Publisher: CRC Press
ISBN: 0203483359
Category : Mathematics
Languages : en
Pages : 422

Get Book Here

Book Description
Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory

Extreme Value Methods with Applications to Finance

Extreme Value Methods with Applications to Finance PDF Author: Serguei Y. Novak
Publisher: CRC Press
ISBN: 1439835748
Category : Mathematics
Languages : en
Pages : 402

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Book Description
Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers—in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as processes of exceedances, compound Poisson approximation, Poisson cluster approximation, and nonparametric estimation methods. These topics have not been fully focused on in other books on extremes. In addition, the book covers: Extremes in samples of random size Methods of estimating extreme quantiles and tail probabilities Self-normalized sums of random variables Measures of market risk Along with examples from finance and insurance to illustrate the methods, Extreme Value Methods with Applications to Finance includes over 200 exercises, making it useful as a reference book, self-study tool, or comprehensive course text. A systematic background to a rapidly growing branch of modern Probability and Statistics: extreme value theory for stationary sequences of random variables.

Extreme Value Modeling and Risk Analysis

Extreme Value Modeling and Risk Analysis PDF Author: Dipak K. Dey
Publisher: CRC Press
ISBN: 1498701310
Category : Mathematics
Languages : en
Pages : 538

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Book Description
Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subje

Statistical Methods for Stochastic Differential Equations

Statistical Methods for Stochastic Differential Equations PDF Author: Mathieu Kessler
Publisher: CRC Press
ISBN: 1439849765
Category : Mathematics
Languages : en
Pages : 498

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Book Description
The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to th

Quasi-Least Squares Regression

Quasi-Least Squares Regression PDF Author: Justine Shults
Publisher: CRC Press
ISBN: 1420099930
Category : Mathematics
Languages : en
Pages : 223

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Book Description
Drawing on the authors’ substantial expertise in modeling longitudinal and clustered data, Quasi-Least Squares Regression provides a thorough treatment of quasi-least squares (QLS) regression—a computational approach for the estimation of correlation parameters within the framework of generalized estimating equations (GEEs). The authors present a detailed evaluation of QLS methodology, demonstrating the advantages of QLS in comparison with alternative methods. They describe how QLS can be used to extend the application of the traditional GEE approach to the analysis of unequally spaced longitudinal data, familial data, and data with multiple sources of correlation. In some settings, QLS also allows for improved analysis with an unstructured correlation matrix. Special focus is given to goodness-of-fit analysis as well as new strategies for selecting the appropriate working correlation structure for QLS and GEE. A chapter on longitudinal binary data tackles recent issues raised in the statistical literature regarding the appropriateness of semi-parametric methods, such as GEE and QLS, for the analysis of binary data; this chapter includes a comparison with the first-order Markov maximum-likelihood (MARK1ML) approach for binary data. Examples throughout the book demonstrate each topic of discussion. In particular, a fully worked out example leads readers from model building and interpretation to the planning stages for a future study (including sample size calculations). The code provided enables readers to replicate many of the examples in Stata, often with corresponding R, SAS, or MATLAB® code offered in the text or on the book’s website.

Robust Cluster Analysis and Variable Selection

Robust Cluster Analysis and Variable Selection PDF Author: Gunter Ritter
Publisher: CRC Press
ISBN: 1439857962
Category : Computers
Languages : en
Pages : 397

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Book Description
Clustering remains a vibrant area of research in statistics. Although there are many books on this topic, there are relatively few that are well founded in the theoretical aspects. In Robust Cluster Analysis and Variable Selection, Gunter Ritter presents an overview of the theory and applications of probabilistic clustering and variable selection, synthesizing the key research results of the last 50 years. The author focuses on the robust clustering methods he found to be the most useful on simulated data and real-time applications. The book provides clear guidance for the varying needs of both applications, describing scenarios in which accuracy and speed are the primary goals. Robust Cluster Analysis and Variable Selection includes all of the important theoretical details, and covers the key probabilistic models, robustness issues, optimization algorithms, validation techniques, and variable selection methods. The book illustrates the different methods with simulated data and applies them to real-world data sets that can be easily downloaded from the web. This provides you with guidance in how to use clustering methods as well as applicable procedures and algorithms without having to understand their probabilistic fundamentals.

Stochastic Analysis for Gaussian Random Processes and Fields

Stochastic Analysis for Gaussian Random Processes and Fields PDF Author: Vidyadhar S. Mandrekar
Publisher: CRC Press
ISBN: 1498707823
Category : Mathematics
Languages : en
Pages : 200

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Book Description
Stochastic Analysis for Gaussian Random Processes and Fields: With Applications presents Hilbert space methods to study deep analytic properties connecting probabilistic notions. In particular, it studies Gaussian random fields using reproducing kernel Hilbert spaces (RKHSs).The book begins with preliminary results on covariance and associated RKHS

Maximum Likelihood Estimation for Sample Surveys

Maximum Likelihood Estimation for Sample Surveys PDF Author: Raymond L. Chambers
Publisher: CRC Press
ISBN: 1584886323
Category : Mathematics
Languages : en
Pages : 393

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Book Description
Sample surveys provide data used by researchers in a large range of disciplines to analyze important relationships using well-established and widely used likelihood methods. The methods used to select samples often result in the sample differing in important ways from the target population and standard application of likelihood methods can lead to biased and inefficient estimates. Maximum Likelihood Estimation for Sample Surveys presents an overview of likelihood methods for the analysis of sample survey data that account for the selection methods used, and includes all necessary background material on likelihood inference. It covers a range of data types, including multilevel data, and is illustrated by many worked examples using tractable and widely used models. It also discusses more advanced topics, such as combining data, non-response, and informative sampling. The book presents and develops a likelihood approach for fitting models to sample survey data. It explores and explains how the approach works in tractable though widely used models for which we can make considerable analytic progress. For less tractable models numerical methods are ultimately needed to compute the score and information functions and to compute the maximum likelihood estimates of the model parameters. For these models, the book shows what has to be done conceptually to develop analyses to the point that numerical methods can be applied. Designed for statisticians who are interested in the general theory of statistics, Maximum Likelihood Estimation for Sample Surveys is also aimed at statisticians focused on fitting models to sample survey data, as well as researchers who study relationships among variables and whose sources of data include surveys.

Statistical Analysis of Spatial and Spatio-Temporal Point Patterns, Third Edition

Statistical Analysis of Spatial and Spatio-Temporal Point Patterns, Third Edition PDF Author: Peter J. Diggle
Publisher: CRC Press
ISBN: 1466560231
Category : Mathematics
Languages : en
Pages : 302

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Book Description
Written by a prominent statistician and author, the first edition of this bestseller broke new ground in the then emerging subject of spatial statistics with its coverage of spatial point patterns. Retaining all the material from the second edition and adding substantial new material, Statistical Analysis of Spatial and Spatio-Temporal Point Patterns, Third Edition presents models and statistical methods for analyzing spatially referenced point process data. Reflected in the title, this third edition now covers spatio-temporal point patterns. It explores the methodological developments from the last decade along with diverse applications that use spatio-temporally indexed data. Practical examples illustrate how the methods are applied to analyze spatial data in the life sciences. This edition also incorporates the use of R through several packages dedicated to the analysis of spatial point process data. Sample R code and data sets are available on the author’s website.