Inference for Heavy Tailed Data

Written By Liang Peng
Inference for Heavy Tailed Data
  • Publsiher : Academic Press
  • Release : 11 August 2017
  • ISBN : 012804750X
  • Pages : 180 pages
  • Rating : 4/5 from 21 reviews
GET THIS BOOKInference for Heavy Tailed Data


Read or download book entitled Inference for Heavy Tailed Data written by Liang Peng which was release on 11 August 2017, this book published by Academic Press. Available in PDF, EPUB and Kindle Format. Book excerpt: 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
  • Author : Liang Peng,Yongcheng Qi
  • Publisher : Academic Press
  • Release Date : 2017-08-11
  • Total pages : 180
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

Heavy Tail Phenomena

Heavy Tail Phenomena
  • Author : Sidney I. Resnick
  • Publisher : Springer Science & Business Media
  • Release Date : 2007-12-03
  • Total pages : 404
  • ISBN : 012804750X
GET BOOK

Summary : 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, ...

Nonparametric Analysis of Univariate Heavy Tailed Data

Nonparametric Analysis of Univariate Heavy Tailed Data
  • Author : Natalia Markovich
  • Publisher : John Wiley & Sons
  • Release Date : 2008-03-11
  • Total pages : 336
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

Statistical Inference for Fractional Diffusion Processes

Statistical Inference for Fractional Diffusion Processes
  • Author : B. L. S. Prakasa Rao
  • Publisher : John Wiley & Sons
  • Release Date : 2011-07-05
  • Total pages : 280
  • ISBN : 012804750X
GET BOOK

Summary : Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view. This book deals with Fractional Diffusion ...

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

Heavy Tails And Copulas  Topics In Dependence Modelling In Economics And Finance
  • Author : Ibragimov Rustam,Prokhorov Artem
  • Publisher : World Scientific
  • Release Date : 2017-02-24
  • Total pages : 304
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

Statistical Analysis of Financial Data

Statistical Analysis of Financial Data
  • Author : James Gentle
  • Publisher : CRC Press
  • Release Date : 2020-03-13
  • Total pages : 646
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

A Practical Guide to Heavy Tails

A Practical Guide to Heavy Tails
  • Author : Robert Adler,Raya Feldman,Murad Taqqu
  • Publisher : Springer Science & Business Media
  • Release Date : 1998-10-26
  • Total pages : 534
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

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

Topics in Identification  Limited Dependent Variables  Partial Observability  Experimentation  and Flexible Modeling
  • Author : Ivan Jeliazkov,Justin Tobias
  • Publisher : Emerald Group Publishing
  • Release Date : 2019-10-18
  • Total pages : 272
  • ISBN : 012804750X
GET BOOK

Summary : Volume 40B of Advances in Econometrics examines innovations in stochastic frontier analysis, nonparametric and semiparametric modeling and estimation, A/B experiments, big-data analysis, and quantile regression....

Network Performance Engineering

Network Performance Engineering
  • Author : Demetres D. Kouvatsos
  • Publisher : Springer
  • Release Date : 2011-04-12
  • Total pages : 1080
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

Handbook of Heavy Tailed Distributions in Finance

Handbook of Heavy Tailed Distributions in Finance
  • Author : S.T Rachev
  • Publisher : Elsevier
  • Release Date : 2003-03-05
  • Total pages : 704
  • ISBN : 012804750X
GET BOOK

Summary : 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, ...

An Introduction to Statistical Methods and Data Analysis

An Introduction to Statistical Methods and Data Analysis
  • Author : R. Lyman Ott,Micheal T. Longnecker
  • Publisher : Cengage Learning
  • Release Date : 2008-12-30
  • Total pages : 1296
  • ISBN : 012804750X
GET BOOK

Summary : Ott and Longnecker's AN INTRODUCTION TO STATISTICAL METHODS AND DATA ANALYSIS, Sixth Edition, provides a broad overview of statistical methods for advanced undergraduate and graduate students from a variety of disciplines who have little or no prior course work in statistics. The authors teach students to solve problems encountered in ...

Heavy Tailed Distributions and Robustness in Economics and Finance

Heavy Tailed Distributions and Robustness in Economics and Finance
  • Author : Marat Ibragimov,Rustam Ibragimov,Johan Walden
  • Publisher : Springer
  • Release Date : 2015-05-23
  • Total pages : 119
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

Bayesian Inference

Bayesian Inference
  • Author : Javier Prieto Tejedor
  • Publisher : BoD – Books on Demand
  • Release Date : 2017-11-02
  • Total pages : 378
  • ISBN : 012804750X
GET BOOK

Summary : 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, ...

Statistical Intervals

Statistical Intervals
  • Author : William Q. Meeker,Gerald J. Hahn,Luis A. Escobar
  • Publisher : John Wiley & Sons
  • Release Date : 2017-08-22
  • Total pages : 648
  • ISBN : 012804750X
GET BOOK

Summary : 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 ...

Statistics and Data Analysis for Financial Engineering

Statistics and Data Analysis for Financial Engineering
  • Author : David Ruppert
  • Publisher : Springer Science & Business Media
  • Release Date : 2010-11-08
  • Total pages : 638
  • ISBN : 012804750X
GET BOOK

Summary : Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exercises, and integration of graphical and analytic methods for ...