Download or read book Approximate Distributions of Order Statistics written by Rolf-Dieter Reiss and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed as a unified and mathematically rigorous treatment of some recent developments of the asymptotic distribution theory of order statistics (including the extreme order statistics) that are relevant for statistical theory and its applications. Particular emphasis is placed on results concern ing the accuracy oflimit theorems, on higher order approximations, and other approximations in quite a general sense. Contrary to the classical limit theorems that primarily concern the weak convergence of distribution functions, our main results will be formulated in terms of the variational and the Hellinger distance. These results will form the proper springboard for the investigation of parametric approximations of nonparametric models of joint distributions of order statistics. The approxi mating models include normal as well as extreme value models. Several applications will show the usefulness of this approach. Other recent developments in statistics like nonparametric curve estima tion and the bootstrap method will be studied as far as order statistics are concerned. 1n connection with this, graphical methods will, to some extent, be explored.
Download or read book Order Statistics written by Herbert A. David and published by John Wiley & Sons. This book was released on 2004-03-22 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides an up-to-date coverage of the theory and applications of ordered random variables and their functions. Furthermore, it develops the distribution theory of OS systematically. Applications include procedures for the treatment of outliers and other data analysis techniques. Even when chapter and section headings are the same as in OSII, there are appreciable changes, mostly additions, with some obvious deletions. Parts of old Ch. 7, for example, are prime candidates for omission. Appendices are designed to help collate tables, computer algorithms, and software, as well as to compile related monographs on the subject matter. Extensive exercise sets will continue, many of them replaced by newer ones.
Download or read book Extremes and Related Properties of Random Sequences and Processes written by M. R. Leadbetter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued.
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Extreme Value Theory in Engineering written by Enrique Castillo and published by Elsevier. This book was released on 2012-12-02 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a comprehensive guide to extreme value theory in engineering. Written for the end user with intermediate and advanced statistical knowledge, it covers classical methods as well as recent advances. A collection of 150 examples illustrates the theoretical results and takes the reader from simple applications through complex cases of dependence.
Download or read book Technical Abstract Bulletin written by and published by . This book was released on 1980 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Methodologies written by Jan Peter Hessling and published by BoD – Books on Demand. This book was released on 2020-02-26 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical practices have recently been questioned by numerous independent authors, to the extent that a significant fraction of accepted research findings can be questioned. This suggests that statistical methodologies may have gone too far into an engineering practice, with minimal concern for their foundation, interpretation, assumptions, and limitations, which may be jeopardized in the current context. Disguised by overwhelming data sets, advanced processing, and stunning presentations, the basic approach is often intractable to anyone but the analyst. The hierarchical nature of statistical inference, exemplified by Bayesian aggregation of prior and derived knowledge, may also be challenging. Conceptual simplified studies of the kind presented in this book could therefore provide valuable guidance when developing statistical methodologies, but also applying state of the art with greater confidence.
Download or read book Government Reports Announcements Index written by and published by . This book was released on 1981 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modelling Extremal Events written by Paul Embrechts and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS
Download or read book Extreme Events in Finance written by Francois Longin and published by John Wiley & Sons. This book was released on 2016-09-21 with total page 639 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 Government Reports Annual Index written by and published by . This book was released on 1983 with total page 1378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Extreme Value Distributions written by Samuel Kotz and published by World Scientific. This book was released on 2000-10-09 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book provides an up-to-date comprehensive and down-to-earth survey of the theory and practice of extreme value distributions — one of the most prominent success stories of modern applied probability and statistics. Originated by E J Gumbel in the early forties as a tool for predicting floods, extreme value distributions evolved during the last 50 years into a coherent theory with applications in practically all fields of human endeavor where maximal or minimal values (the so-called extremes) are of relevance. The book is of usefulness both for a beginner with a limited probabilistic background and to expert in the field./a
Download or read book Probability Theory Subject Indexes from Mathematical Reviews written by American Mathematical Society and published by . This book was released on 1987 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Co integration Error Correction and the Econometric Analysis of Non Stationary Data written by Anindya Banerjee and published by Oxford University Press. This book was released on 1993-05-27 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Download or read book Referativny zhurnal written by and published by . This book was released on 1983 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Quantile Regression written by Roger Koenker and published by CRC Press. This book was released on 2017-10-12 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantile regression constitutes an ensemble of statistical techniques intended to estimate and draw inferences about conditional quantile functions. Median regression, as introduced in the 18th century by Boscovich and Laplace, is a special case. In contrast to conventional mean regression that minimizes sums of squared residuals, median regression minimizes sums of absolute residuals; quantile regression simply replaces symmetric absolute loss by asymmetric linear loss. Since its introduction in the 1970's by Koenker and Bassett, quantile regression has been gradually extended to a wide variety of data analytic settings including time series, survival analysis, and longitudinal data. By focusing attention on local slices of the conditional distribution of response variables it is capable of providing a more complete, more nuanced view of heterogeneous covariate effects. Applications of quantile regression can now be found throughout the sciences, including astrophysics, chemistry, ecology, economics, finance, genomics, medicine, and meteorology. Software for quantile regression is now widely available in all the major statistical computing environments. The objective of this volume is to provide a comprehensive review of recent developments of quantile regression methodology illustrating its applicability in a wide range of scientific settings. The intended audience of the volume is researchers and graduate students across a diverse set of disciplines.
Download or read book Mathematical Reviews written by and published by . This book was released on 2002 with total page 964 pages. Available in PDF, EPUB and Kindle. Book excerpt:
