Univariate stable distributions : models for heavy tailed data /: models for heavy tailed data. (2020)

• Record Type: Book
• Further Information: Note: John P. Nolan.
• Other Names: Nolan, John P
• Contents: Intro -- Preface -- Contents -- 1 Basic Properties of Univariate Stable Distributions -- 1.1 Definition of stable random variables -- 1.2 Other definitions of stability -- 1.3 Parameterizations of stable laws -- 1.4 Densities and distribution functions -- 1.5 Tail probabilities, moments, and quantiles -- 1.6 Sums of stable random variables -- 1.7 Simulation -- 1.8 Generalized Central Limit Theorem and Domains of Attraction -- 1.9 Multivariate stable -- 1.10 Problems -- 2 Modeling with Stable Distributions -- 2.1 Lighthouse problem -- 2.2 Distribution of masses in space -- 2.3 Random walks 2.4 Hitting time for Brownian motion -- 2.5 Differential equations and fractional diffusions -- 2.6 Financial applications -- 2.6.1 Stock returns -- 2.6.2 Value-at-risk and expected shortfall -- 2.6.3 Other financial applications -- 2.6.4 Multiple assets -- 2.7 Signal processing -- 2.8 Miscellaneous applications -- 2.8.1 Stochastic resonance -- 2.8.2 Network traffic and queues -- 2.8.3 Earth Sciences -- 2.8.4 Physics -- 2.8.5 Embedding of Banach spaces -- 2.8.6 Hazard function, survival analysis, and reliability -- 2.8.7 Biology and medicine -- 2.8.8 Discrepancies -- 2.8.9 Computer Science
• Publisher Details: Cham : Springer
• Publication Date: 2020
• Copyright Date: 2020
• Extent: 1 online resource (333 pages)
• Subjects: 519.5/3; Multivariate analysis; Distribution (Probability theory); Applied mathematics; Probability & statistics; Mathematics -- Applied; Mathematics -- Probability & Statistics -- General; Distribution (Probability theory); Multivariate analysis; Electronic books; Electronic books
• Languages: English
• ISBNs: 9783030529154
• Related ISBNs: 9783030529147
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.