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978-0-387-45024-7
DE-He213
20180115171407.0
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100301s2007 xxu| s |||| 0|eng d
9780387450247
978-0-387-45024-7
10.1007/978-0-387-45024-7
doi
QA273.A1-274.9
QA274-274.9
PBT
bicssc
PBWL
bicssc
MAT029000
bisacsh
519.2
23
Resnick, Sidney I.
author.
Heavy-Tail Phenomena
[electronic resource] :
Probabilistic and Statistical Modeling /
by Sidney I. Resnick.
New York, NY :
Springer New York,
2007.
XIX, 404 p.
online resource.
text
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rdacontent
computer
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rdamedia
online resource
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rda
Springer Series in Operations Research and Financial Engineering,
1431-8598
Crash Courses -- Crash Course I: Regular Variation -- Crash Course II: Weak Convergence; Implications for Heavy-Tail Analysis -- Statistics -- Dipping a Toe in the Statistical Water -- Probability -- The Poisson Process -- Multivariate Regular Variation and the Poisson Transform -- Weak Convergence and the Poisson Process -- Applied Probability Models and Heavy Tails -- More Statistics -- Additional Statistics Topics -- Appendices -- Notation and Conventions -- Software.
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 phenomena where there is a significant probability of a single huge value impacting system behavior. Record-breaking insurance losses, financial returns, sizes of files stored on a server, transmission rates of files are all examples of heavy-tailed phenomena. Key features: Unique text devoted to heavy-tails. The treatment of heavy tails is largely dimensionless. The text gives attention to both probability modeling and statistical methods for fitting models. Most other books focus on one or the other but not both. The book emphasizes the broad applicability of heavy-tails to the fields of finance (e.g., value-at- risk), data networks, insurance. The presentation is clear, efficient and coherent and, balances theory and data analysis to show the applicability and limitations of certain methods. Several chapters examine in detail the mathematical properties of the methodologies as well as their implementation in the Splus or R statistical languages. The exposition is 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 operations research, statistics, applied mathematics, electrical engineering, financial engineering, networking and economics. Sidney Resnick is a Professor at Cornell University and has written several well-known bestsellers: A Probability Path (ISBN: 081764055X), Adventures in Stochastic Processes (ISBN: 0817635912) and Extreme Values, Regular Variation, and Point Processes (ISBN: 0387964819).
Mathematics.
Applied mathematics.
Engineering mathematics.
Mathematical models.
Operations research.
Management science.
Probabilities.
Statistics.
Mathematics.
Probability Theory and Stochastic Processes.
Statistical Theory and Methods.
Applications of Mathematics.
Operations Research, Management Science.
Mathematical Modeling and Industrial Mathematics.
SpringerLink (Online service)
Springer eBooks
Printed edition:
9780387242729
Springer Series in Operations Research and Financial Engineering,
1431-8598
http://dx.doi.org/10.1007/978-0-387-45024-7
ZDB-2-SMA
369499
369499
0
0
0
0
EBook
elib
elib
2018-01-15
2018-01-15
2018-01-15
EBOOK