Heavy Tail Phenomena PDF Download
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Author | : Sidney I. Resnick |
Publisher | : Springer Science & Business Media |
Total Pages | : 412 |
Release | : 2007-12-03 |
Genre | : Mathematics |
ISBN | : 0387450246 |
Download Heavy-Tail Phenomena Book in PDF, ePub and Kindle
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 |
Total Pages | : 266 |
Release | : 2022-06-09 |
Genre | : Mathematics |
ISBN | : 1009062964 |
Download The Fundamentals of Heavy Tails Book in PDF, ePub and Kindle
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 Science & Business Media |
Total Pages | : 412 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : 0387242724 |
Download Heavy-Tail Phenomena Book in PDF, ePub and Kindle
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 |
Total Pages | : 0 |
Release | : 2006-12-01 |
Genre | : Mathematics |
ISBN | : 9780387242729 |
Download Heavy-Tail Phenomena Book in PDF, ePub and Kindle
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 | : Natalia Markovich |
Publisher | : John Wiley & Sons |
Total Pages | : 336 |
Release | : 2008-03-11 |
Genre | : Mathematics |
ISBN | : 9780470723593 |
Download Nonparametric Analysis of Univariate Heavy-Tailed Data Book in PDF, ePub and Kindle
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 of the tail, but also the violation of Cramer’s condition, possible non-existence of some moments, and sparse observations in the tail of the distribution. The book focuses on the methods of statistical analysis of heavy-tailed independent identically distributed random variables by empirical samples of moderate sizes. It provides a detailed survey of classical results and recent developments in the theory of nonparametric estimation of the probability density function, the tail index, the hazard rate and the renewal function. Both asymptotical results, for example convergence rates of the estimates, and results for the samples of moderate sizes supported by Monte-Carlo investigation, are considered. The text is illustrated by the application of the considered methodologies to real data of web traffic measurements.
Author | : Roger M. Cooke |
Publisher | : |
Total Pages | : |
Release | : 2014 |
Genre | : MATHEMATICS |
ISBN | : 9781119054207 |
Download Fat-tailed Distributions Book in PDF, ePub and Kindle
Author | : Sidney I. Resnick |
Publisher | : Springer Science & Business Media |
Total Pages | : 640 |
Release | : 2013-12-11 |
Genre | : Mathematics |
ISBN | : 1461203872 |
Download Adventures in Stochastic Processes Book in PDF, ePub and Kindle
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 | : Michele Leonardo Bianchi |
Publisher | : World Scientific |
Total Pages | : 598 |
Release | : 2019-03-08 |
Genre | : Business & Economics |
ISBN | : 9813276215 |
Download Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management Book in PDF, ePub and Kindle
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 | : A. A. Borovkov |
Publisher | : Cambridge University Press |
Total Pages | : 437 |
Release | : 2020-10-29 |
Genre | : Mathematics |
ISBN | : 1108901204 |
Download Asymptotic Analysis of Random Walks Book in PDF, ePub and Kindle
This is a companion book to Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions by A.A. Borovkov and K.A. Borovkov. Its self-contained systematic exposition provides a highly useful resource for academic researchers and professionals interested in applications of probability in statistics, ruin theory, and queuing theory. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time.
Author | : Nassim Nicholas Taleb |
Publisher | : |
Total Pages | : |
Release | : 2020-06-30 |
Genre | : |
ISBN | : 9781544508054 |
Download Statistical Consequences of Fat Tails Book in PDF, ePub and Kindle
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.