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Special Issue: Multivariate Distributions, Inference and Applications in Memory of Norman L. Johnson

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 144

Book Description

Special Issue: Multivariate Distributions, Inference and Applications in Memory of Norman L. Johnson

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 144

Book Description

Multivariate Distributions, Inference and Applications in Memory of Norman L. Johnson

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :

Book Description

Continuous Multivariate Distributions, Volume 1

Author: Samuel Kotz
Publisher: John Wiley & Sons
ISBN: 0471183873
Category : Mathematics
Languages : en
Pages : 752

Book Description
Seit dem Erscheinen der ersten Auflage dieses Werkes (1972) hat sich das Gebiet der kontinuierlichen multivariaten Verteilungen rasch weiterentwickelt. Moderne Anwendungsfelder sind die Erforschung von Hochwasser, Erdbeben, Regenfällen und Stürmen. Entsprechend wurde das Buch überarbeitet und erweitert: Nunmehr zwei Bände beschreiben eine Vielzahl multivariater Verteilungsmodelle anhand zahlreicher Beispiele. (05/00)

The Sharpe Ratio

Author: Steven E. Pav
Publisher: CRC Press
ISBN: 1000442713
Category : Business & Economics
Languages : en
Pages : 498

Book Description
The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical properties of the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns, and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2 and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, hedging out assets, and the use of conditioning information on both expected returns and risk. The Sharpe Ratio: Statistics and Applications is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: 1. Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. 2. Inference via both Frequentist and Bayesian paradigms. 3. A comprehensive treatment of overoptimism and overfitting of trading strategies. 4. Advice on backtesting strategies. 5. Dozens of examples and hundreds of exercises for self study. The Sharpe Ratio: Statistics and Applications is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student.

Univariate Discrete Distributions

Author: Norman L. Johnson
Publisher: John Wiley & Sons
ISBN: 0471272469
Category : Mathematics
Languages : en
Pages : 690

Book Description
This Set Contains: Continuous Multivariate Distributions, Volume 1, Models and Applications, 2nd Edition by Samuel Kotz, N. Balakrishnan and Normal L. Johnson Continuous Univariate Distributions, Volume 1, 2nd Edition by Samuel Kotz, N. Balakrishnan and Normal L. Johnson Continuous Univariate Distributions, Volume 2, 2nd Edition by Samuel Kotz, N. Balakrishnan and Normal L. Johnson Discrete Multivariate Distributions by Samuel Kotz, N. Balakrishnan and Normal L. Johnson Univariate Discrete Distributions, 3rd Edition by Samuel Kotz, N. Balakrishnan and Normal L. Johnson Discover the latest advances in discrete distributions theory The Third Edition of the critically acclaimed Univariate Discrete Distributions provides a self-contained, systematic treatment of the theory, derivation, and application of probability distributions for count data. Generalized zeta-function and q-series distributions have been added and are covered in detail. New families of distributions, including Lagrangian-type distributions, are integrated into this thoroughly revised and updated text. Additional applications of univariate discrete distributions are explored to demonstrate the flexibility of this powerful method. A thorough survey of recent statistical literature draws attention to many new distributions and results for the classical distributions. Approximately 450 new references along with several new sections are introduced to reflect the current literature and knowledge of discrete distributions. Beginning with mathematical, probability, and statistical fundamentals, the authors provide clear coverage of the key topics in the field, including: Families of discrete distributions Binomial distribution Poisson distribution Negative binomial distribution Hypergeometric distributions Logarithmic and Lagrangian distributions Mixture distributions Stopped-sum distributions Matching, occupancy, runs, and q-series distributions Parametric regression models and miscellanea Emphasis continues to be placed on the increasing relevance of Bayesian inference to discrete distribution, especially with regard to the binomial and Poisson distributions. New derivations of discrete distributions via stochastic processes and random walks are introduced without unnecessarily complex discussions of stochastic processes. Throughout the Third Edition, extensive information has been added to reflect the new role of computer-based applications. With its thorough coverage and balanced presentation of theory and application, this is an excellent and essential reference for statisticians and mathematicians.

Discrete Multivariate Distributions

Author: Norman L. Johnson
Publisher: Wiley-Interscience
ISBN: 9780471128441
Category : Mathematics
Languages : en
Pages : 328

Book Description
Timely, comprehensive, practical--an important working resource for all who use this critical statistical method Discrete Multivariate Distributions is the only comprehensive, single-source reference for this increasingly important statistical subdiscipline. It covers all significant advances that have occurred in the field over the past quarter century in the theory, methodology, computational procedures, and applications of discrete multivariate distributions in a wide range of disciplines. Distributions covered include multinomial, binomial, negative binomial, Poisson, power series, hypergeometric, Polya-Eggenberger, Ewens, orders, and some families of distributions. Each distribution is presented in its own chapter, along with necessary details and descriptions of real-world applications gleaned from the current literature on discrete multivariate distributions. Discrete Multivariate Distributions is the fourth volume of the ongoing revision of Johnson and Kotz's acclaimed Distributions in Statistics--universally acknowledged to be the definitive work on statistical distributions. Originally planned as a revision of Chapter 11 of that classic, this project soon blossomed into a substantial volume as a result of the unprecedented growth that has occurred in the literature on discrete multivariate distributions and their applications over the past quarter century. The only comprehensive, single-volume work on the subject, this valuable reference affords statisticians direct access to all of the latest developments concerning discrete multivariate distributions. Concentrating primarily on areas of interest to theoretical as well as applied statisticians, the authors provide complete coverage of several important discrete multivariate distributions. These include multinomial, binomial, negative binomial, Poisson, power series, hypergeometric, Polya-Eggenberger, Ewens, orders, and some families of distributions. Discrete Multivariate Distributions begins with a general overview of the multivariate method in which the authors lay the basic theoretical groundwork for the discussions that follow. For clarity and consistency, subsequent chapters follow a similar format, beginning with a concise historical account followed by a discussion of properties and characteristics. Coverage then advances to in-depth explorations of inferential issues and applications, liberally supplemented with helpful details and a collection of real-world applications obtained from the authors' extensive searches of current literature worldwide. Discrete Multivariate Distributions is an essential working resource for researchers, professionals, practitioners, and graduate students in statistics, mathematics, computer science, engineering, medicine, and the biological sciences.