Research Catalog

Heavy-tail phenomena : probabilistic and statistical modeling

Title
Heavy-tail phenomena : probabilistic and statistical modeling / Sidney I. Resnick.
Author
Resnick, Sidney I.
Publication
New York, N.Y. : Springer, c2007.

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Details

Description
xix, 404 p. : ill.; 25 cm.
Series Statement
Springer series in operations research and financial engineering
Uniform Title
Springer series in operations research.
Subject
  • Extreme value theory > Mathematical models
  • Distribution (Probability theory) > Mathematical models
  • Finance > Mathematical models
  • Heavy tail analysis
Bibliography (note)
  • Includes bibliographical references and index.
Contents
Introduction -- [Part I. Crash Courses.] Crash course I: Regular variation -- Crash course II: Weak convergence; implications for heavy-tail analysis -- [Part II. Statistics.] Dipping a toe in the statistical water -- [Part III. Probability.] The Poisson process -- Multivariate regular variation and the Poisson transform -- Weak convergence and the Poisson process -- Applied probability models and heavy tails -- [Part IV. More statistics.] Additional statistics topics -- [Part V. Appendices.] Notation and conventions -- Software.
Call Number
JSE 07-331
ISBN
  • 9780387242729 (hbk. : alk. paper)
  • 0387242724 (hbk. : alk. paper)
LCCN
2006934621
OCLC
77481796
Author
Resnick, Sidney I.
Title
Heavy-tail phenomena : probabilistic and statistical modeling / Sidney I. Resnick.
Imprint
New York, N.Y. : Springer, c2007.
Series
Springer series in operations research and financial engineering
Springer series in operations research.
Bibliography
Includes bibliographical references and index.
Indexed Term
Heavy tail analysis
Research Call Number
JSE 07-331
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