Stable Distributions
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Univariate Stable Distributions
Author | : John P. Nolan |
Publsiher | : Springer Nature |
Total Pages | : 342 |
Release | : 2020-09-13 |
Genre | : Mathematics |
ISBN | : 9783030529154 |
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This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws. Because of the author’s accessible and comprehensive approach, readers will be able to understand and use these methods. Both mathematicians and non-mathematicians will find this a valuable resource for more accurately modelling and predicting large values in a number of real-world scenarios. Beginning with an introductory chapter that explains key ideas about stable laws, readers will be prepared for the more advanced topics that appear later. The following chapters present the theory of stable distributions, a wide range of applications, and statistical methods, with the final chapters focusing on regression, signal processing, and related distributions. Each chapter ends with a number of carefully chosen exercises. Links to free software are included as well, where readers can put these methods into practice. Univariate Stable Distributions is ideal for advanced undergraduate or graduate students in mathematics, as well as many other fields, such as statistics, economics, engineering, physics, and more. It will also appeal to researchers in probability theory who seek an authoritative reference on stable distributions.
Chance and Stability
Author | : Vladimir V. Uchaikin,Vladimir M. Zolotarev |
Publsiher | : Walter de Gruyter |
Total Pages | : 601 |
Release | : 2011-09-08 |
Genre | : Mathematics |
ISBN | : 9783110935974 |
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The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
One dimensional Stable Distributions
Author | : V. M. Zolotarev |
Publsiher | : American Mathematical Soc. |
Total Pages | : 298 |
Release | : 1986-06-30 |
Genre | : Mathematics |
ISBN | : 9780821845196 |
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This is the first book specifically devoted to a systematic exposition of the essential facts known about the properties of stable distributions. In addition to its main focus on the analytic properties of stable laws, the book also includes examples of the occurrence of stable distributions in applied problems and a chapter on the problem of statistical estimation of the parameters determining stable laws. A valuable feature of the book is the author's use of several formally different ways of expressing characteristic functions corresponding to these laws.
Tempered Stable Distributions
Author | : Michael Grabchak |
Publsiher | : Springer |
Total Pages | : 118 |
Release | : 2016-01-26 |
Genre | : Mathematics |
ISBN | : 9783319249278 |
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This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions. A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics.
Financial Modeling Under Non Gaussian Distributions
Author | : Eric Jondeau,Ser-Huang Poon,Michael Rockinger |
Publsiher | : Springer Science & Business Media |
Total Pages | : 541 |
Release | : 2007-04-05 |
Genre | : Mathematics |
ISBN | : 9781846286964 |
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This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Stable Non Gaussian Random Processes
Author | : Gennady Samoradnitsky |
Publsiher | : Routledge |
Total Pages | : 519 |
Release | : 2017-11-22 |
Genre | : Mathematics |
ISBN | : 9781351414791 |
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This book serves as a standard reference, making this area accessible not only to researchers in probability and statistics, but also to graduate students and practitioners. The book assumes only a first-year graduate course in probability. Each chapter begins with a brief overview and concludes with a wide range of exercises at varying levels of difficulty. The authors supply detailed hints for the more challenging problems, and cover many advances made in recent years.
A Practical Guide to Heavy Tails
Author | : Robert Adler,Raya Feldman,Murad Taqqu |
Publsiher | : Springer Science & Business Media |
Total Pages | : 560 |
Release | : 1998-10-26 |
Genre | : Mathematics |
ISBN | : 0817639519 |
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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
Stable Non Gaussian Random Processes
Author | : Gennady Samoradnitsky |
Publsiher | : Routledge |
Total Pages | : 632 |
Release | : 2017-11-22 |
Genre | : Mathematics |
ISBN | : 9781351414807 |
Download Stable Non Gaussian Random Processes Book in PDF, Epub and Kindle
This book serves as a standard reference, making this area accessible not only to researchers in probability and statistics, but also to graduate students and practitioners. The book assumes only a first-year graduate course in probability. Each chapter begins with a brief overview and concludes with a wide range of exercises at varying levels of difficulty. The authors supply detailed hints for the more challenging problems, and cover many advances made in recent years.