A Practical Guide to Heavy Tails
A Practical Guide to Heavy Tails

Author: Robert Adler

Publisher: Springer Science & Business Media

Published: 1998-10-26

Total Pages: 560

ISBN-13: 9780817639518

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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 stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR

Handbook of Heavy Tailed Distributions in Finance
Handbook of Heavy Tailed Distributions in Finance

Author: S.T Rachev

Publisher: Elsevier

Published: 2003-03-05

Total Pages: 707

ISBN-13: 0080557732

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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, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series.This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

The Fundamentals of Heavy Tails
The Fundamentals of Heavy Tails

Author: Jayakrishnan Nair

Publisher: Cambridge University Press

Published: 2022-06-09

Total Pages: 266

ISBN-13: 1009062964

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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.

Heavy-Tail Phenomena
Heavy-Tail Phenomena

Author: Sidney I. Resnick

Publisher: Springer Science & Business Media

Published: 2007-12-03

Total Pages: 412

ISBN-13: 0387450246

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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.

Univariate Stable Distributions
Univariate Stable Distributions

Author: John P. Nolan

Publisher: Springer Nature

Published: 2020-09-13

Total Pages: 342

ISBN-13: 3030529150

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This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws. Because of the author’s accessible and comprehensive approach, readers will be able to understand and use these methods. Both mathematicians and non-mathematicians will find this a valuable resource for more accurately modelling and predicting large values in a number of real-world scenarios. Beginning with an introductory chapter that explains key ideas about stable laws, readers will be prepared for the more advanced topics that appear later. The following chapters present the theory of stable distributions, a wide range of applications, and statistical methods, with the final chapters focusing on regression, signal processing, and related distributions. Each chapter ends with a number of carefully chosen exercises. Links to free software are included as well, where readers can put these methods into practice. Univariate Stable Distributions is ideal for advanced undergraduate or graduate students in mathematics, as well as many other fields, such as statistics, economics, engineering, physics, and more. It will also appeal to researchers in probability theory who seek an authoritative reference on stable distributions.

Passive, Active, and Digital Filters
Passive, Active, and Digital Filters

Author: Wai-Kai Chen

Publisher: CRC Press

Published: 2018-10-08

Total Pages: 838

ISBN-13: 142005886X

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Upon its initial publication, The Circuits and Filters Handbook broke new ground. It quickly became the resource for comprehensive coverage of issues and practical information that can be put to immediate use. Not content to rest on his laurels, in addition to updating the second edition, editor Wai-Kai Chen divided it into tightly-focused texts that made the information easily accessible and digestible. These texts have been revised, updated, and expanded so that they continue to provide solid coverage of standard practices and enlightened perspectives on new and emerging techniques. Passive, Active, and Digital Filters provides an introduction to the characteristics of analog filters and a review of the design process and the tasks that need to be undertaken to translate a set of filter specifications into a working prototype. Highlights include discussions of the passive cascade synthesis and the synthesis of LCM and RC one-port networks; a summary of two-port synthesis by ladder development; a comparison of the cascade approach, the multiple-loop feedback topology, and ladder simulations; an examination of four types of finite wordlength effects; and coverage of methods for designing two-dimensional finite-extent impulse response (FIR) discrete-time filters. The book includes coverage of the basic building blocks involved in low- and high-order filters, limitations and practical design considerations, and a brief discussion of low-voltage circuit design. Revised Chapters: Sensitivity and Selectivity Switched-Capacitor Filters FIR Filters IIR Filters VLSI Implementation of Digital Filters Two-Dimensional FIR Filters Additional Chapters: 1-D Multirate Filter Banks Directional Filter Banks Nonlinear Filtering Using Statistical Signal Models Nonlinear Filtering for Image Denoising Video Demosaicking Filters This volume will undoubtedly take its place as the engineer's first choice in looking for solutions to problems encountered when designing filters.

Discrete Time Series, Processes, and Applications in Finance
Discrete Time Series, Processes, and Applications in Finance

Author: Gilles Zumbach

Publisher: Springer Science & Business Media

Published: 2012-09-26

Total Pages: 326

ISBN-13: 3642317413

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This book surveys empirical properties of financial time series, discusses their mathematical basis, and describes uses in risk evaluation, option pricing or portfolio construction. The author introduces and assesses a range of processes against the benchmark.

Non-Life Insurance Mathematics
Non-Life Insurance Mathematics

Author: Thomas Mikosch

Publisher: Springer Science & Business Media

Published: 2009-04-21

Total Pages: 435

ISBN-13: 3540882332

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"Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties....The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy." --Zentralblatt für Didaktik der Mathematik

Stochastic-Process Limits
Stochastic-Process Limits

Author: Ward Whitt

Publisher: Springer Science & Business Media

Published: 2006-04-11

Total Pages: 616

ISBN-13: 0387217487

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From the reviews: "The material is self-contained, but it is technical and a solid foundation in probability and queuing theory is beneficial to prospective readers. [... It] is intended to be accessible to those with less background. This book is a must to researchers and graduate students interested in these areas." ISI Short Book Reviews

System Performance Evaluation
System Performance Evaluation

Author: Erol Gelenbe

Publisher: CRC Press

Published: 2000-03-24

Total Pages: 465

ISBN-13: 1482274531

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Throughout successive generations of information technology, the importance of the performance evaluation of software, computer architectures, and computer networks endures. For example, the performance issues of transaction processing systems and redundant arrays of independent disks replace the virtual memory and input-output problems of the 70s.