Download or read book The Fundamentals of Heavy Tails written by Jayakrishnan Nair and published by Cambridge University Press. This book was released on 2022-06-09 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Fat tailed Distributions written by Roger M. Cooke and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Practical Guide to Heavy Tails written by Robert Adler and published by Springer Science & Business Media. This book was released on 1998-10-26 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Download or read book Handbook Of Heavy tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and published by World Scientific. This book was released on 2019-03-08 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 707 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Heavy Tailed Distributions and Robustness in Economics and Finance written by Marat Ibragimov and published by Springer. This book was released on 2015-05-23 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Nonparametric Analysis of Univariate Heavy Tailed Data written by Natalia Markovich and published by John Wiley & Sons. This book was released on 2008-03-11 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book An Introduction to Heavy Tailed and Subexponential Distributions written by Sergey Foss and published by Springer. This book was released on 2013-05-20 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems. They are frequently used to accurately model inputs and outputs of computer and data networks and service facilities such as call centers. They are an essential for describing risk processes in finance and also for insurance premia pricing, and such distributions occur naturally in models of epidemiological spread. The class includes distributions with power law tails such as the Pareto, as well as the lognormal and certain Weibull distributions. One of the highlights of this new edition is that it includes problems at the end of each chapter. Chapter 5 is also updated to include interesting applications to queueing theory, risk, and branching processes. New results are presented in a simple, coherent and systematic way. Graduate students as well as modelers in the fields of finance, insurance, network science and environmental studies will find this book to be an essential reference.

Download or read book Heavy Tails and Copulas written by Rustam Ibragimov and published by . This book was released on 2017 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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."--Publisher's website.

Download or read book Towards Tree level Evapotranspiration Estimation with Small UAVs in Precision Agriculture written by Haoyu Niu and published by Springer Nature. This book was released on 2022-10-27 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimating evapotranspiration (ET) has been one of the most critical research areas in agriculture because of water scarcity, the growing population, and climate change. The accurate estimation and mapping of ET are necessary for crop water management. Traditionally, researchers use water balance, soil moisture, weighing lysimeters, or an energy balance approach, such as Bowen ratio or eddy covariance towers to estimate ET. However, these ET methods are point-specific or area-weighted measurements and cannot be extended to a large scale. On the other hand, while remote sensing is able to provide spatially distributed measurements, the spatial resolution of multispectral satellite images is often not enough for crops with clumped canopy structures, such as trees and vines. Unmanned aerial vehicles (UAVs) can mitigate these spatial and temporal limitations. Lightweight cameras and sensors can be mounted on the UAVs and take high-resolution images. Unlike satellite imagery, the spatial resolution of the UAV images can be at the centimeter-level. UAVs can also fly on-demand, which provides high temporal imagery. This book examines the different UAV-based approaches of ET estimation. Models and algorithms, such as mapping evapotranspiration at high resolution with internalized calibration (METRIC), the two-source energy balance (TSEB) model, and machine learning (ML) are discussed. It also covers the challenges and opportunities for UAVs in ET estimation, with the final chapters devoted to new ET estimation methods and their potential applications for future research.

Download or read book Extreme Events in Finance written by Francois Longin and published by John Wiley & Sons. This book was released on 2016-09-30 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Statistical Modelling and Risk Analysis written by Christos P. Kitsos and published by Springer Nature. This book was released on 2024-01-13 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume covers the latest results on novel methods in Risk Analysis and assessment, with applications in Biostatistics (which is providing food for thought since the first ICRAs, covering traditional areas of RA, until now), Engineering Reliability, the Environmental Sciences and Economics. The contributions, based on lectures given at the 9th International Conference on Risk Analysis (ICRA 9), at Perugia, Italy, May 2022, detail a wide variety of daily risks, building on ideas presented at previous ICRA conferences. Working within a strong theoretical framework, supporting applications, the material describes a modern extension of the traditional research of the 1980s. This book is intended for graduate students in Mathematics, Statistics, Biology, Toxicology, Medicine, Management, and Economics, as well as quantitative researchers in Risk Analysis.

Download or read book Network Performance Engineering written by Demetres D. Kouvatsos and published by Springer. This book was released on 2011-04-12 with total page 1073 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Nonlinear Signal and Image Processing written by Kenneth E. Barner and published by CRC Press. This book was released on 2003-11-24 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear signal and image processing methods are fast emerging as an alternative to established linear methods for meeting the challenges of increasingly sophisticated applications. Advances in computing performance and nonlinear theory are making nonlinear techniques not only viable, but practical. This book details recent advances in nonl

Download or read book Distributed Computer and Communication Networks written by Vladimir M. Vishnevskiy and published by Springer. This book was released on 2017-09-06 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 20th International Conference on Distributed and Computer and Communication Networks, DCCN 2017, held in Moscow, Russia, in September 2017. The 39 full papers and the two short papers were carefully reviewed and selected from 176 submissions. The papers cover the following topics: computer and communication networks architecture optimization; control in computer and communication networks; performance and QoS/QoE evaluation in wireless networks; analytical modeling and simulation of next-generation communications systems; queueing theory and reliability theory applications in computer networks; wireless 4G/5G networks, cm- and mm-wave radio technologies; RFID technology and its application in intellectual transportation networks; Internet of Things, wearables, and applications of distributed information systems; probabilistic and statistical models in information systems; mathematical modeling of high-tech systems; mathematical modeling and control problems; distributed and cloud computing systems, big data analytics.

Download or read book Asymptotic Methods in Stochastics written by Lajos Horvath and Barbara Szyszkowicz and published by American Mathematical Soc.. This book was released on with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Honoring over forty years of Miklos Csorgo's work in probability and statistics, this title shows the state of the research. This book covers such topics as: path properties of stochastic processes, weak convergence of random size sums, almost sure stability of weighted maxima, and procedures for detecting changes in statistical models.

Download or read book Nonparametric Statistics written by Michele La Rocca and published by Springer Nature. This book was released on 2020-11-11 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highlighting the latest advances in nonparametric and semiparametric statistics, this book gathers selected peer-reviewed contributions presented at the 4th Conference of the International Society for Nonparametric Statistics (ISNPS), held in Salerno, Italy, on June 11-15, 2018. It covers theory, methodology, applications and computational aspects, addressing topics such as nonparametric curve estimation, regression smoothing, models for time series and more generally dependent data, varying coefficient models, symmetry testing, robust estimation, and rank-based methods for factorial design. It also discusses nonparametric and permutation solutions for several different types of data, including ordinal data, spatial data, survival data and the joint modeling of both longitudinal and time-to-event data, permutation and resampling techniques, and practical applications of nonparametric statistics. The International Society for Nonparametric Statistics is a unique global organization, and its international conferences are intended to foster the exchange of ideas and the latest advances and trends among researchers from around the world and to develop and disseminate nonparametric statistics knowledge. The ISNPS 2018 conference in Salerno was organized with the support of the American Statistical Association, the Institute of Mathematical Statistics, the Bernoulli Society for Mathematical Statistics and Probability, the Journal of Nonparametric Statistics and the University of Salerno.