| Description |
1 online resource (xix, 404 pages) : illustrations |
| Series |
Springer series in operations research and financial engineering |
|
Springer series in operations research.
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| Contents |
Introduction -- [Part I. Crash Courses.] Crash course I: Regular variation -- Crash course II: Weak convergence; implications for heavy-tail analysis -- [Part II. Statistics.] Dipping a toe in the statistical water -- [Part III. Probability.] The Poisson process -- Multivariate regular variation and the Poisson transform -- Weak convergence and the Poisson process -- Applied probability models and heavy tails -- [Part IV. More statistics.] Additional statistics topics -- [Part V. Appendices.] Notation and conventions -- Software |
| Summary |
"This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. Heavy tails are characteristic of phenomena where there is a significant probability of a single huge value impacting system behavior. Record-breaking insurance losses, financial returns, sizes of files stored on a server and transmission rates of files are all examples of heavy-tailed phenomena." "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 (or at least to learn) a statistics package such as R or Splus. This work will serve second-year graduate students and researchers in the areas of operations research, statistics, applied mathematics, electrical engineering, financial engineering, networking and economics."--Jacket |
| Analysis |
Heavy tail analysis |
| Bibliography |
Includes bibliographical references and index |
| Notes |
English |
|
Print version record |
| In |
Springer eBooks |
| Subject |
Extreme value theory -- Mathematical models
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Distribution (Probability theory) -- Mathematical models
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Finance -- Mathematical models.
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Mathematics.
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distribution (statistics-related concept)
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mathematics.
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applied mathematics.
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Finance -- Mathematical models.
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Verdelingen (statistiek)
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Valeurs extrêmes, Théorie des -- Modèles mathématiques.
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Distribution (Théorie des probabilités) -- Modèles mathématiques.
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Finances -- Modèles mathématiques.
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Extreme value theory -- Mathematical models.
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Distribution (Probability theory) -- Mathematical models.
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Distribution (Probability theory) -- Mathematical models
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Finance -- Mathematical models
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Verdelingen (statistiek)
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| Form |
Electronic book
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| LC no. |
2006934621 |
| ISBN |
9780387450247 |
|
0387450246 |
|
9780387242729 |
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0387242724 |
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