Author: Alan Paul FenechPublisher:
ISBN:
Category : Distribution (Probability theory)
Languages : en
Pages : 246
Book Description
Asymptotically Maximum Probability Estimators for Parameters of Symmetric Stable Distributions
Author: Alan Paul FenechPublisher:
ISBN:
Category : Distribution (Probability theory)
Languages : en
Pages : 246
Book Description
Chance and Stability
Author: Vladimir V. UchaikinPublisher: Walter de Gruyter
ISBN: 311093597X
Category : Mathematics
Languages : en
Pages : 601
Book Description
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. ZolotarevPublisher: American Mathematical Soc.
ISBN: 0821845195
Category : Mathematics
Languages : en
Pages : 298
Book Description
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.
Univariate Stable Distributions
Author: John P. NolanPublisher: Springer Nature
ISBN: 3030529150
Category : Mathematics
Languages : en
Pages : 342
Book Description
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.
Lévy Processes
Author: Ole E Barndorff-NielsenPublisher: Springer Science & Business Media
ISBN: 1461201977
Category : Mathematics
Languages : en
Pages : 414
Book Description
A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.
Maximum Probability Estimators and Related Topics
Author: L. WeissPublisher: Springer
ISBN: 3540372792
Category : Computers
Languages : en
Pages : 112
Book Description
Rapid Maximum Likelihood Estimation of Stable Distribution Parameters
Author: Timothy MastersTechnical Report
Author: Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix
Author: Lung-Fei LeePublisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 13
Book Description
Computation of Maximum Probability Estimators
Author: Joseph Bing-fai YuPublisher:
ISBN:
Category : Probabilities
Languages : en
Pages : 122
Book Description