A practical guide to heavy tails : statistical techniques and applications
Enregistré dans:
| Hovedforfatter: | |
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| Andre forfattere: | , |
| Format: | Livre papier |
| Sprog: | Anglais |
| Udgivet: |
Boston ; Basel ; Berlin :
Birkhäuser
C 1998.
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| Fag: | |
| Kommentar: |
Textes et résumés en anglais Communications données lors d'un séminaire tenu à Santa Barbara, Calif., en décembre 1995 |
| Autres localisations: | Voir dans le Sudoc |
Indholdsfortegnelse:
- I. Applications
- 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
- II. Time series
- 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
- III. Heavy-tail estimation
- 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
- IV. Regression
- Bootstrapping signs and permutations for regression with heavy-tailed errors : a robust resampling / Raoul LePage ... [et al.]
- Linear regression with stable disturbances / J. Huston McCulloch
- V. Signal processing
- 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
- VI. Model structures
- Subexponential distributions / Charles M. Goldie and Claudia Klüppelberg
- Structure of stationary stable processes / Jan Rosiński
- Tail behavior of some shot noise processes / Gennady Samorodnitsky
- VII. Numerical procedures
- 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