Skip to main content

Inference For Heavy Tailed Data Analysis

Download Inference For Heavy Tailed Data Analysis Full eBooks in PDF, EPUB, and kindle. Inference For Heavy Tailed Data Analysis is one my favorite book and give us some inspiration, very enjoy to read. you could read this book anywhere anytime directly from your device.

Inference for Heavy Tailed Data Analysis

Inference for Heavy Tailed Data Analysis Book
Author : Liang Peng,Yongcheng Qi
Publisher : Academic Press
Release : 2017-08-15
ISBN : 9780128046760
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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 for heavy tails, the choice of sample fraction in tail index and high quantile inference. These results for independent data, dependent data, linear time series and nonlinear time series are scattered in different statistics journals. Inference for Heavy-Tailed Data Analysis puts these methods into a single place with a clear picture on learning and using these techniques. Contains comprehensive coverage of new techniques of heavy tailed data analysis Provides examples of heavy tailed data and its uses Brings together, in a single place, a clear picture on learning and using these techniques

Inference for Heavy Tailed Data

Inference for Heavy Tailed Data Book
Author : Liang Peng,Yongcheng Qi
Publisher : Academic Press
Release : 2017-08-11
ISBN : 012804750X
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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 for heavy tails, the choice of sample fraction in tail index and high quantile inference. These results for independent data, dependent data, linear time series and nonlinear time series are scattered in different statistics journals. Inference for Heavy-Tailed Data Analysis puts these methods into a single place with a clear picture on learning and using these techniques. Contains comprehensive coverage of new techniques of heavy tailed data analysis Provides examples of heavy tailed data and its uses Brings together, in a single place, a clear picture on learning and using these techniques

Heavy Tail Phenomena

Heavy Tail Phenomena Book
Author : Sidney I. Resnick
Publisher : Springer Science & Business Media
Release : 2007-12-03
ISBN : 0387450246
Language : En, Es, Fr & De

DOWNLOAD

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.

Nonparametric Analysis of Univariate Heavy Tailed Data

Nonparametric Analysis of Univariate Heavy Tailed Data Book
Author : Natalia Markovich
Publisher : John Wiley & Sons
Release : 2008-03-11
ISBN : 9780470723593
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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.

A Practical Guide to Heavy Tails

A Practical Guide to Heavy Tails Book
Author : Robert Adler,Raya Feldman,Murad Taqqu
Publisher : Springer Science & Business Media
Release : 1998-10-26
ISBN : 9780817639518
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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

Heavy Tails And Copulas Topics In Dependence Modelling In Economics And Finance

Heavy Tails And Copulas  Topics In Dependence Modelling In Economics And Finance Book
Author : Ibragimov Rustam,Prokhorov Artem
Publisher : World Scientific
Release : 2017-02-24
ISBN : 9814689815
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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 and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.

Network Performance Engineering

Network Performance Engineering Book
Author : Demetres D. Kouvatsos
Publisher : Springer
Release : 2011-04-12
ISBN : 3642027423
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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 drawn from PhD courses held at recent HETNETs International Working Conferences on Performance Modelling and Evaluation of Heterogeneous Networks. They constitute essential introductory material preparing the reader for further research and development in the field of performance modelling, analysis and engineering of heterogeneous networks and of next and future generation Internets. The handbook aims to unify relevant material already known but dispersed in the literature, introduce the readers to unfamiliar and unexposed research areas and, generally, illustrate the diversity of research found in the high growth field of convergent heterogeneous networks and the Internet. The chapters have been broadly classified into 12 parts covering the following topics: Measurement Techniques; Traffic Modelling and Engineering; Queueing Systems and Networks; Analytic Methodologies; Simulation Techniques; Performance Evaluation Studies; Mobile, Wireless and Ad Hoc Networks, Optical Networks; QoS Metrics and Algorithms; All IP Convergence and Networking; Network Management and Services; and Overlay Networks.

Heavy Tailed Distributions and Robustness in Economics and Finance

Heavy Tailed Distributions and Robustness in Economics and Finance Book
Author : Marat Ibragimov,Rustam Ibragimov,Johan Walden
Publisher : Springer
Release : 2015-05-23
ISBN : 3319168770
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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 these fields, depending on the degree of heavy-tailed ness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.

Bayesian Inference

Bayesian Inference Book
Author : Javier Prieto Tejedor
Publisher : BoD – Books on Demand
Release : 2017-11-02
ISBN : 9535135775
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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, medical services, search and rescue operations, or automotive safety, among others. This book takes a look at both theoretical foundations of Bayesian inference and practical implementations in different fields. It is intended as an introductory guide for the application of Bayesian inference in the fields of life sciences, engineering, and economics, as well as a source document of fundamentals for intermediate Bayesian readers.

Handbook of Heavy Tailed Distributions in Finance

Handbook of Heavy Tailed Distributions in Finance Book
Author : S.T Rachev
Publisher : Elsevier
Release : 2003-03-05
ISBN : 9780080557731
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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.

Extreme Events in Finance

Extreme Events in Finance Book
Author : Francois Longin
Publisher : John Wiley & Sons
Release : 2016-09-21
ISBN : 1118650336
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.

Nonparametric Statistics

Nonparametric Statistics Book
Author : Patrice Bertail,Delphine Blanke,Pierre-André Cornillon,Eric Matzner-Løber
Publisher : Springer
Release : 2019-03-08
ISBN : 3319969412
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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, resampling methods, kernel methods and extreme values, to statistical learning and classification, both in the standard i.i.d. case and for dependent data, including big data. The International Society for Nonparametric Statistics is uniquely global, and its international conferences are intended to foster the exchange of ideas and the latest advances among researchers from around the world, in cooperation with established statistical societies such as the Institute of Mathematical Statistics, the Bernoulli Society and the International Statistical Institute. The 3rd ISNPS conference in Avignon attracted more than 400 researchers from around the globe, and contributed to the further development and dissemination of nonparametric statistics knowledge.

The Multivariate Student T Model in Robust Inference and Data Analysis

The Multivariate Student T Model in Robust Inference and Data Analysis Book
Author : Trevor S. Breusch,John C. Robertson,A. H. Welsh
Publisher : Unknown
Release : 1993
ISBN : 0987650XXX
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

Download The Multivariate Student T Model in Robust Inference and Data Analysis book written by Trevor S. Breusch,John C. Robertson,A. H. Welsh, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Statistical Analysis of Financial Data

Statistical Analysis of Financial Data Book
Author : James Gentle
Publisher : CRC Press
Release : 2020-03-12
ISBN : 0429939221
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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 used to obtain the data for the examples in the first chapter and for all computations and to produce the graphs is R. However discussion of R is deferred to an appendix to the first chapter, where the basics of R, especially those most relevant in financial applications, are presented and illustrated. The appendix also describes how to use R to obtain current financial data from the internet. Chapter 2 describes the methods of exploratory data analysis, especially graphical methods, and illustrates them on real financial data. Chapter 3 covers probability distributions useful in financial analysis, especially heavy-tailed distributions, and describes methods of computer simulation of financial data. Chapter 4 covers basic methods of statistical inference, especially the use of linear models in analysis, and Chapter 5 describes methods of time series with special emphasis on models and methods applicable to analysis of financial data. Features * Covers statistical methods for analyzing models appropriate for financial data, especially models with outliers or heavy-tailed distributions. * Describes both the basics of R and advanced techniques useful in financial data analysis. * Driven by real, current financial data, not just stale data deposited on some static website. * Includes a large number of exercises, many requiring the use of open-source software to acquire real financial data from the internet and to analyze it.

Statistical Intervals

Statistical Intervals Book
Author : William Q. Meeker,Gerald J. Hahn,Luis A. Escobar
Publisher : John Wiley & Sons
Release : 2017-08-22
ISBN : 1118595165
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

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 given to intervals—such as prediction intervals, tolerance intervals and confidence intervals on distribution quantiles—frequently needed in practice, but often neglected in introductory courses. Vastly improved computer capabilities over the past 25 years have resulted in an explosion of the tools readily available to analysts. This second edition—more than double the size of the first—adds these new methods in an easy-to-apply format. In addition to extensive updating of the original chapters, the second edition includes new chapters on: Likelihood-based statistical intervals Nonparametric bootstrap intervals Parametric bootstrap and other simulation-based intervals An introduction to Bayesian intervals Bayesian intervals for the popular binomial, Poisson and normal distributions Statistical intervals for Bayesian hierarchical models Advanced case studies, further illustrating the use of the newly described methods New technical appendices provide justification of the methods and pathways to extensions and further applications. A webpage directs readers to current readily accessible computer software and other useful information. Statistical Intervals: A Guide for Practitioners and Researchers, Second Edition is an up-to-date working guide and reference for all who analyze data, allowing them to quantify the uncertainty in their results using statistical intervals.

An Introduction to Bayesian Analysis

An Introduction to Bayesian Analysis Book
Author : Jayanta K. Ghosh,Mohan Delampady,Tapas Samanta
Publisher : Springer Science & Business Media
Release : 2007-07-03
ISBN : 0387354336
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

This is a graduate-level textbook on Bayesian analysis blending modern Bayesian theory, methods, and applications. Starting from basic statistics, undergraduate calculus and linear algebra, ideas of both subjective and objective Bayesian analysis are developed to a level where real-life data can be analyzed using the current techniques of statistical computing. Advances in both low-dimensional and high-dimensional problems are covered, as well as important topics such as empirical Bayes and hierarchical Bayes methods and Markov chain Monte Carlo (MCMC) techniques. Many topics are at the cutting edge of statistical research. Solutions to common inference problems appear throughout the text along with discussion of what prior to choose. There is a discussion of elicitation of a subjective prior as well as the motivation, applicability, and limitations of objective priors. By way of important applications the book presents microarrays, nonparametric regression via wavelets as well as DMA mixtures of normals, and spatial analysis with illustrations using simulated and real data. Theoretical topics at the cutting edge include high-dimensional model selection and Intrinsic Bayes Factors, which the authors have successfully applied to geological mapping. The style is informal but clear. Asymptotics is used to supplement simulation or understand some aspects of the posterior.

Scientific and Technical Aerospace Reports

Scientific and Technical Aerospace Reports Book
Author : Anonim
Publisher : Unknown
Release : 1977
ISBN : 0987650XXX
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

Download Scientific and Technical Aerospace Reports book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Topics in Identification Limited Dependent Variables Partial Observability Experimentation and Flexible Modelling

Topics in Identification  Limited Dependent Variables  Partial Observability  Experimentation  and Flexible Modelling Book
Author : Ivan Jeliazkov,Justin Tobias
Publisher : Emerald Group Publishing
Release : 2019-08-30
ISBN : 1789732417
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

In honor of Dale J. Poirier, experienced editors Ivan Jeliazkov and Justin Tobias bring together a cast of expert contributors to explore the most up-to-date research on econometrics, including subjects such as panel data models, posterior simulation, and Bayesian models.

Dynamic Models for Volatility and Heavy Tails

Dynamic Models for Volatility and Heavy Tails Book
Author : Andrew C. Harvey
Publisher : Cambridge University Press
Release : 2013-04-22
ISBN : 1107034728
Language : En, Es, Fr & De

DOWNLOAD

Book Description :

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.