Heavy-Tail Phenomena PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Heavy-Tail Phenomena PDF full book. Access full book title Heavy-Tail Phenomena by Sidney I. Resnick. Download full books in PDF and EPUB format.
Author: Sidney I. Resnick
Publisher: Springer Science & Business Media
ISBN: 0387242724
Category : Business & Economics
Languages : en
Pages : 412
Get Book Here
Book Description
This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.
Author: Sidney I. Resnick
Publisher: Springer Science & Business Media
ISBN: 0387242724
Category : Business & Economics
Languages : en
Pages : 412
Get Book Here
Book Description
This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.
Author: Sidney I. Resnick
Publisher: Springer Science & Business Media
ISBN: 0387450246
Category : Mathematics
Languages : en
Pages : 412
Get Book Here
Book Description
This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.
Author: Jayakrishnan Nair
Publisher: Cambridge University Press
ISBN: 1009062964
Category : Mathematics
Languages : en
Pages : 266
Get Book Here
Book Description
Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising, and even controversial, primarily because the necessary mathematical models and statistical methods are not widely known. This book, for the first time, provides a rigorous introduction to heavy-tailed distributions accessible to anyone who knows elementary probability. It tackles and tames the zoo of terminology for models and properties, demystifying topics such as the generalized central limit theorem and regular variation. It tracks the natural emergence of heavy-tailed distributions from a wide variety of general processes, building intuition. And it reveals the controversy surrounding heavy tails to be the result of flawed statistics, then equips readers to identify and estimate with confidence. Over 100 exercises complete this engaging package.
Author: Sidney I. Resnick
Publisher: Springer
ISBN: 9780387504698
Category : Mathematics
Languages : en
Pages : 0
Get Book Here
Book Description
This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.
Author: Michele Leonardo Bianchi
Publisher: World Scientific
ISBN: 9813276215
Category : Business & Economics
Languages : en
Pages : 598
Get Book Here
Book Description
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Author: Roger M. Cooke
Publisher:
ISBN: 9781119054207
Category : MATHEMATICS
Languages : en
Pages :
Get Book Here
Book Description
Author: Sidney I. Resnick
Publisher: Springer Science & Business Media
ISBN: 1461203872
Category : Mathematics
Languages : en
Pages : 640
Get Book Here
Book Description
Stochastic processes are necessary ingredients for building models of a wide variety of phenomena exhibiting time varying randomness. This text offers easy access to this fundamental topic for many students of applied sciences at many levels. It includes examples, exercises, applications, and computational procedures. It is uniquely useful for beginners and non-beginners in the field. No knowledge of measure theory is presumed.
Author: Nassim Nicholas Taleb
Publisher:
ISBN: 9781544508054
Category :
Languages : en
Pages :
Get Book Here
Book Description
The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions requires more than "changing the color of the dress." Traditional asymptotics deal mainly with either n=1 or n=∞, and the real world is in between, under the "laws of the medium numbers"-which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence. A few examples: - The sample mean is rarely in line with the population mean, with effect on "naïve empiricism," but can be sometimes be estimated via parametric methods. - The "empirical distribution" is rarely empirical. - Parameter uncertainty has compounding effects on statistical metrics. - Dimension reduction (principal components) fails. - Inequality estimators (Gini or quantile contributions) are not additive and produce wrong results. - Many "biases" found in psychology become entirely rational under more sophisticated probability distributions. - Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions. This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.
Author: Jayakrishnan Nair
Publisher: Cambridge University Press
ISBN: 1316511731
Category : Business & Economics
Languages : en
Pages : 265
Get Book Here
Book Description
An accessible yet rigorous package of probabilistic and statistical tools for anyone who must understand or model extreme events.
Author: Aleksandr Alekseevich Borovkov
Publisher: Cambridge University Press
ISBN:
Category : Asymptotic expansions
Languages : en
Pages : 655
Get Book Here
Book Description
A comprehensive monograph presenting a unified systematic exposition of the large deviations theory for heavy-tailed random walks.
