Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Univariate Stable Distributions PDF full book. Access full book title Univariate Stable Distributions by John P. Nolan. Download full books in PDF and EPUB format.
Author: John P. Nolan Publisher: 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.
Author: John P. Nolan Publisher: 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.
Author: V. M. Zolotarev Publisher: 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.
Author: Vladimir V. Uchaikin Publisher: 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.
Author: Chrysostomos L. Nikias Publisher: Wiley-Interscience ISBN: Category : Computers Languages : en Pages : 192
Book Description
For the first time, this book offers a full and lucid introduction to a useful type of non-Gaussian models, namely those specified by alpha-stable distributions. Emphasizing the practical rather than the theoretical, it surveys the statistical properties, methods, and applications of symmetrical alpha-stable distributions.
Author: Michele Leonardo Bianchi Publisher: World Scientific ISBN: 9813276215 Category : Business & Economics Languages : en Pages : 598
Book Description
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Author: Gennady Samoradnitsky Publisher: Routledge ISBN: 1351414801 Category : Mathematics Languages : en Pages : 632
Book Description
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.
Author: Ole E Barndorff-Nielsen Publisher: 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.
Author: Robert E. Criss Publisher: Oxford University Press ISBN: 0190283580 Category : Science Languages : en Pages : 264
Book Description
This book presents a quantitative treatment of the theory and natural variations of light stable isotopes. It discusses isotope distribution in the context of fractionation processes, thermodynamics, mass conservation, exchange kinetics, and diffusion theory, and includes more than 100 original equations. The theoretical principles are illustrated with natural examples that emphasize oxygen and hydrogen isotope variations in natural waters, terrestrial and extraterrestrial rocks, and hydrothermal systems. New data on meteoric precipitation, rivers, springs, formation fluids, and hydrothermal systems are included in relation to various natural phenomena. Essentially, this book seeks to reconnect the diverse phenomenological observations of isotope distribution to the quantitative theories of physical chemistry and the language of differential equations. It may serve as a textbook for advanced students, as a research reference, or as a quick source of information. The book is organized into five chapters, each followed by suggested quantitative problems and a short reference list. The three theoretical chapters progress from an elementary review of the physical chemistry of stable isotopes, to the thermodynamics of isotopic compounds, and finally to the calculation of isotope distribution in dynamic systems. The third and fifth chapters emphasize oxygen and hydrogen isotope variations in Earth's hydrosphere and lithosphere, constituting the most important examples of the theoretical principles. Appendices provide data on atomic weights of light elements, physical constants, mathematical relationships, and isotopic fractionation factors.
Author: Michael Grabchak Publisher: Springer ISBN: 3319249274 Category : Mathematics Languages : en Pages : 127
Book Description
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.
Author: Andreas E. Kyprianou Publisher: Cambridge University Press ISBN: 1108480292 Category : Mathematics Languages : en Pages : 485
Book Description
A systematic treatment of stable Lévy processes and self-similar Markov processes, for graduate students and researchers in the field.
Author: John P. Nolan
Author: John P. Nolan
Author: V. M. Zolotarev
Author: Vladimir V. Uchaikin
Author: Chrysostomos L. Nikias
Author: Michele Leonardo Bianchi
Author: Gennady Samoradnitsky
Author: Ole E Barndorff-Nielsen
Author: Robert E. Criss
Author: Michael Grabchak
Author: Andreas E. Kyprianou