Buch, Englisch, Band 53, 264 Seiten, Format (B × H): 178 mm x 255 mm, Gewicht: 684 g
Reihe: Cambridge Series in Statistical and Probabilistic Mathematics
Properties, Emergence, and Estimation
Buch, Englisch, Band 53, 264 Seiten, Format (B × H): 178 mm x 255 mm, Gewicht: 684 g
Reihe: Cambridge Series in Statistical and Probabilistic Mathematics
ISBN: 978-1-316-51173-2
Verlag: Cambridge University Press
Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising, and even controversial, primarily because the necessary mathematical models and statistical methods are not widely known. This book, for the first time, provides a rigorous introduction to heavy-tailed distributions accessible to anyone who knows elementary probability. It tackles and tames the zoo of terminology for models and properties, demystifying topics such as the generalized central limit theorem and regular variation. It tracks the natural emergence of heavy-tailed distributions from a wide variety of general processes, building intuition. And it reveals the controversy surrounding heavy tails to be the result of flawed statistics, then equips readers to identify and estimate with confidence. Over 100 exercises complete this engaging package.
Autoren/Hrsg.
Fachgebiete
- Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Informationstheorie, Kodierungstheorie
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
- Mathematik | Informatik EDV | Informatik Informatik
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Technische Wissenschaften Energietechnik | Elektrotechnik Elektrotechnik
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
Weitere Infos & Material
Commonly used notation; 1. Introduction; Part I. Properties: 2. Scale invariance, power laws, and regular variation; 3. Catastrophes, conspiracies, and subexponential distributions; 4. Residual lives, hazard rates, and long tails; Part II. Emergence: 5. Additive processes; 6. Multiplicative processes; 7. Extremal processes; Part III. Estimation: 8. Estimating power-law distributions: Listen to the body; 9. Estimating power-law tails: Let the tail do the talking; References; Index.
