| Heavy-Tail Phenomena: Probabilistic and Statistical Modeling 2007 Edition Contributor(s): Resnick, Sidney I. (Author) |
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ISBN: 0387242724 ISBN-13: 9780387242729 Publisher: Springer OUR PRICE: $94.99 Product Type: Hardcover - Other Formats Published: December 2006 Annotation: This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. Heavy tails are characteristic of many phenomena where the probability of a single huge value impacts heavily. Record-breaking insurance losses, financial-log returns, files sizes stored on a server, transmission rates of files are all examples of heavy-tailed phenomena. Key features: * Unique text devoted to heavy-tails * Emphasizes both probability modeling and statistical methods for fitting models. Most treatments focus on one or the other but not both * Presents broad applicability of heavy-tails to the fields of data networks, finance (e.g., value-at- risk), insurance, and hydrology * Clear, efficient and coherent exposition, balancing theory and actual data to show the applicability and limitations of certain methods * Examines in detail the mathematical properties of the methodologies as well as their implementation in Splus or R statistical languages * Exposition driven by numerous examples and exercises 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 (or at least to learn) a statistics package such as R or Splus. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Applied - Mathematics | Linear & Nonlinear Programming |
| Dewey: 510 |
| LCCN: 2006934621 |
| Series: Springer Series in Operations Research and Financial Enginee |
| Physical Information: 0.99" H x 7.28" W x 9.48" (1.91 lbs) 404 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |