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A practical guide to heavy tails : statistical techniques and applications

Auteur: Robert J Adler; Raisa E Feldman; Murad S Taqqu
Uitgever: Boston : Birkhäuser, ©1998.
Editie/Formaat:   book_printbook : EngelsAlle edities en materiaalsoorten bekijken.
Database:WorldCat
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Presents techniques and approaches for the statistical analysis of heavy-tailed distributions and processes, with a focus on applicability rather than theory. Emphasis is placed upon numerical  Meer lezen...

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Genre/Vorm: Aufsatzsammlung
Aanvullende fysieke materiaalsoort: Online version:
Practical guide to heavy tails.
Boston : Birkhäuser, ©1998
(OCoLC)806179589
Soort document: Boek
Alle auteurs / medewerkers: Robert J Adler; Raisa E Feldman; Murad S Taqqu
ISBN: 0817639519 9780817639518 3764339519 9783764339517
OCLC-nummer: 36713066
Beschrijving: xvi, 533 pages : illustrations ; 26 cm
Inhoud: Heavy-tailed probability distributions in the World Wide Web / Mark E. Crovella, Murad S. Taqqu and Azer Bestavros --
Self-similarity and heavy tails : structural modeling of network traffic / Walter Willinger, Vern Paxson and Murad S. Taqqu --
Heavy tails in high-frequency financial data / Ulrich A. Müller, Michel M. Dacorogna and Olivier V. Pictet --
Stable paretian modeling in finance : some empirical and theoretical aspects / Stefan Mittnik, Svetlozar T. Rachev and Marc S. Paolella --
Risk management and quantile estimation / Franco Bassi, Paul Embrechts and Maria Kafetzaki --
Analysing stable time series / Robert J. Adler, Raisa E. Feldman and Colin Gallagher --
Inference for linear processes with stable noise / M. Calder and R.A. Davis --
On estimating the intensity of long-range dependence in finite and infinite variance time series / Murad S. Taqqu and Vadim Teverovsky --
Why non-linearities can ruin the heavy-tailed modeler's day / Sidney I. Resnick --
Periodogram estimates from heavy-tailed data / T. Mikosch --
Bayesian inference for time series with infinite variance stable innovations / Nalini Ravishanker and Zuqiang Qiou --
Hill, bootstrap and jackknife estimators for heavy tails / Olivier V. Pictet, Michel M. Dacorogna and Ulrich A. Müller --
Characteristic function based estimation of stable distribution parameters / Stephen M. Kogon and Douglas B. Williams --
Bootstrapping signs and permutations for regression with heavy-tailed errors : a robust resampling / Raoul LePage [and others] --
Linear regression with stable disturbances / J. Huston McCulloch --
Deviation from normality in statistical signal processing : parameter estimation with alpha-stable distributions / Panagiotis Tsakalides and Chrysostomos L. Nikias --Statistical modeling and receiver design for multi-user communication networks / George A. Tsihrintzis --
Subexponential distributions / Charles M. Goldie and Claudia Klüppelberg --
Structure of stationary stable processes / Jan Rosiński --
Tail behavior of some shot noise processes / Gennady Samorodnitsky --
Numerical approximation of the symmetric stable distribution and density / J. Huston McCulloch --
Table of the maximally-skewed stable distributions / J. Huston McCulloch and Don B. Panton --
Multivariate stable distributions : approximation, estimation, simulation and identification ; Univariate stable distributions : parameterizations and software / John P. Nolan.
Verantwoordelijkheid: Robert J. Adler, Raisa E. Feldman, Murad S. Taqqu, editors.

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