Inference for Heavy Tailed Data

• Author : Liang Peng,Yongcheng Qi
• Publisher : Academic Press
• Release Date : 2017-08-11
• Total pages : 180
• ISBN : 012804750X

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Summary : Heavy tailed data appears frequently in social science, internet traffic, insurance and finance. Statistical inference has been studied for many years, which includes recent bias-reduction estimation for tail index and high quantiles with applications in risk management, empirical likelihood based interval estimation for tail index and high quantiles, hypothesis tests ...

• Author : Sidney I. Resnick
• Publisher : Springer Science & Business Media
• Release Date : 2007-12-03
• Total pages : 404
• ISBN : 012804750X

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Summary : 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, ...

• Author : Natalia Markovich
• Publisher : John Wiley & Sons
• Release Date : 2008-03-11
• Total pages : 336
• ISBN : 012804750X

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Summary : 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 ...

• Author : Robert Adler,Raya Feldman,Murad Taqqu
• Publisher : Springer Science & Business Media
• Release Date : 1998-10-26
• Total pages : 534
• ISBN : 012804750X

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Summary : Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of ...

• Author : Ibragimov Rustam,Prokhorov Artem
• Publisher : World Scientific
• Release Date : 2017-02-24
• Total pages : 304
• ISBN : 012804750X

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Summary : This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics ...

• Author : Ivan Jeliazkov,Justin Tobias
• Publisher : Emerald Group Publishing
• Release Date : 2019-10-18
• Total pages : 272
• ISBN : 012804750X

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Summary : Volume 40B of Advances in Econometrics examines innovations in stochastic frontier analysis, nonparametric and semiparametric modeling and estimation, A/B experiments, big-data analysis, and quantile regression....

• Author : Demetres D. Kouvatsos
• Publisher : Springer
• Release Date : 2011-04-12
• Total pages : 1080
• ISBN : 012804750X

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Summary : During recent years a great deal of progress has been made in performance modelling and evaluation of the Internet, towards the convergence of multi-service networks of diverging technologies, supported by internetworking and the evolution of diverse access and switching technologies. The 44 chapters presented in this handbook are revised invited works ...

• Author : Marat Ibragimov,Rustam Ibragimov,Johan Walden
• Publisher : Springer
• Release Date : 2015-05-23
• Total pages : 119
• ISBN : 012804750X

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Summary : This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in ...

• Author : S.T Rachev
• Publisher : Elsevier
• Release Date : 2003-03-05
• Total pages : 704
• ISBN : 012804750X

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Summary : The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, ...

• Author : Javier Prieto Tejedor
• Publisher : BoD – Books on Demand
• Release Date : 2017-11-02
• Total pages : 378
• ISBN : 012804750X

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Summary : The range of Bayesian inference algorithms and their different applications has been greatly expanded since the first implementation of a Kalman filter by Stanley F. Schmidt for the Apollo program. Extended Kalman filters or particle filters are just some examples of these algorithms that have been extensively applied to logistics, ...

• Author : Francois Longin
• Publisher : John Wiley & Sons
• Release Date : 2016-09-21
• Total pages : 640
• ISBN : 012804750X

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Summary : 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) ...

• Author : Patrice Bertail,Delphine Blanke,Pierre-André Cornillon,Eric Matzner-Løber
• Publisher : Springer
• Release Date : 2019-03-08
• Total pages : 390
• ISBN : 012804750X

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Summary : This volume presents the latest advances and trends in nonparametric statistics, and gathers selected and peer-reviewed contributions from the 3rd Conference of the International Society for Nonparametric Statistics (ISNPS), held in Avignon, France on June 11-16, 2016. It covers a broad range of nonparametric statistical methods, from density estimation, survey sampling, ...

• Author : R. Lyman Ott,Micheal T. Longnecker
• Publisher : Cengage Learning
• Release Date : 2008-12-30
• Total pages : 1296
• ISBN : 012804750X

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Summary : Ott and Longnecker's AN INTRODUCTION TO STATISTICAL METHODS AND DATA ANALYSIS, Sixth Edition, provides a broad overview of statistical methods for advanced undergraduate and graduate students from a variety of disciplines who have little or no prior course work in statistics. The authors teach students to solve problems encountered in ...

• Author : James Gentle
• Publisher : CRC Press
• Release Date : 2020-03-13
• Total pages : 646
• ISBN : 012804750X

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Summary : Statistical Analysis of Financial Data covers the use of statistical analysis and the methods of data science to model and analyze financial data. The first chapter is an overview of financial markets, describing the market operations and using exploratory data analysis to illustrate the nature of financial data. The software ...

• Author : William Q. Meeker,Gerald J. Hahn,Luis A. Escobar
• Publisher : John Wiley & Sons
• Release Date : 2017-08-22
• Total pages : 648
• ISBN : 012804750X

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Summary : Describes statistical intervals to quantify sampling uncertainty,focusing on key application needs and recently developed methodology in an easy-to-apply format Statistical intervals provide invaluable tools for quantifying sampling uncertainty. The widely hailed first edition, published in 1991, described the use and construction of the most important statistical intervals. Particular emphasis was ...