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Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (Springer Series in Operations Research and Financial Engineering)

Posted on 2010-04-13




Name:Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (Springer Series in Operations Research and Financial Engineering)
ASIN/ISBN:0387242724
Author:Sidney I. Resnick
Publisher:Springer (2006)
Language:English
Pages:Hardcover, 406 pages
File size:11.28 Mb
   Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (Springer Series in Operations Research and Financial Engineering)


Author: Sidney I. Resnick


Publisher: Springer (2006)


Binding: Hardcover, 406 pages


pricer: $59.95


ISBN-10: 0387242724


editorialreviews

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.




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