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Author : Manuela Schaller
Publisher :
ISBN 13 :
Total Pages : 179 pages
Book Rating : 4.:/5 (427 download)
Download or read book On Robust Tail Parameter Estimation written by Manuela Schaller and published by . This book was released on 2005 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jayakrishnan Nair
Publisher : Cambridge University Press
ISBN 13 : 1009062964
Total Pages : 266 pages
Book Rating : 4.0/5 (9 download)
Download or read book The Fundamentals of Heavy Tails written by Jayakrishnan Nair and published by Cambridge University Press. This book was released on 2022-06-09 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Robert Adler
Publisher : Springer Science & Business Media
ISBN 13 : 9780817639518
Total Pages : 560 pages
Book Rating : 4.6/5 (395 download)
Download or read book A Practical Guide to Heavy Tails written by Robert Adler and published by Springer Science & Business Media. This book was released on 1998-10-26 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR
Author : Jan Beirlant
Publisher : John Wiley & Sons
ISBN 13 : 0470012374
Total Pages : 522 pages
Book Rating : 4.4/5 (7 download)
Download or read book Statistics of Extremes written by Jan Beirlant and published by John Wiley & Sons. This book was released on 2006-03-17 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.
Author : Ping-Hung Hsieh
Publisher :
ISBN 13 :
Total Pages : 374 pages
Book Rating : 4.3/5 (91 download)
Download or read book Robustness of Tail Index Estimation written by Ping-Hung Hsieh and published by . This book was released on 1997 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (318 download)
Download or read book Diverging Moments and Parameter Estimation written by and published by . This book was released on 2003 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Heavy tailed distributions enjoy increased popularity and become more readily applicable as the arsenal of analytical and numerical tools grows. They play key roles in modeling approaches in networking, finance, hydrology to name but a few. The tail parameter alpha is of central importance as it governs both the existence of moments of positive order and the thickness of the tails of the distribution. Some of the best known tail estimators such as Koutrouvelis and Hill are either parametric or show lack in robustness or accuracy. This paper develops a shift and scale invariant, non-parametric estimator for both, upper and lower bounds for orders with finite moments. The estimator builds on the equivalence between tail behavior and the regularity of the characteristic function of the origin and achieves its goal by deriving a simplified wavelet analysis which is particularly suited to characteristic functions.
Author : V. Pisarenko
Publisher : Springer Science & Business Media
ISBN 13 : 9048191718
Total Pages : 199 pages
Book Rating : 4.0/5 (481 download)
Download or read book Heavy-Tailed Distributions in Disaster Analysis written by V. Pisarenko and published by Springer Science & Business Media. This book was released on 2010-07-20 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematically, natural disasters of all types are characterized by heavy tailed distributions. The analysis of such distributions with common methods, such as averages and dispersions, can therefore lead to erroneous conclusions. The statistical methods described in this book avoid such pitfalls. Seismic disasters are studied, primarily thanks to the availability of an ample statistical database. New approaches are presented to seismic risk estimation and forecasting the damage caused by earthquakes, ranging from typical, moderate events to very rare, extreme disasters. Analysis of these latter events is based on the limit theorems of probability and the duality of the generalized Pareto distribution and generalized extreme value distribution. It is shown that the parameter most widely used to estimate seismic risk – Mmax, the maximum possible earthquake value – is potentially non-robust. Robust analogues of this parameter are suggested and calculated for some seismic catalogues. Trends in the costs inferred by damage from natural disasters as related to changing social and economic situations are examined for different regions. The results obtained argue for sustainable development, whereas entirely different, incorrect conclusions can be drawn if the specific properties of the heavy-tailed distribution and change in completeness of data on natural hazards are neglected. This pioneering work is directed at risk assessment specialists in general, seismologists, administrators and all those interested in natural disasters and their impact on society.
Author : Michal Brzezinski
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Robust Estimation of the Pareto Index written by Michal Brzezinski and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Pareto distribution is often used in many areas of economics to model the right tail of heavy-tailed distributions. However, the standard method of estimating the shape parameter (the Pareto index) of this distribution - the maximum likelihood estimator (MLE) - is non-robust, in the sense that it is very sensitive to extreme observations, data contamination or model deviation. In recent years, a number of robust estimators for the Pareto index have been proposed, which correct the deficiency of the MLE. However, little is known about the performance of these estimators in small-sample setting, which often occurs in practice. This paper investigates the small-sample properties of the most popular robust estimators for the Pareto index, including the optimal B-robust estimator (OBRE) (Victoria-Feser and Ronchetti, 1994, The Canadian Journal of Statistics 22:247-258), the weighted maximum likelihood estimator (WMLE) (Dupuis and Victoria-Feser, 2006, Canadian Journal of Statistics 34:639-658), the generalized median estimator (GME) (Brazauskas and Serfling, 2001a, Extremes 3, 231-249), the partial density component estimator (PDCE) (Vandewalle et al., 2007, Computational Statistics & Data Analysis 51:6252-6268), and the probability integral transform statistic estimator (PITSE) (Finkelstein et al., 2006, North American Actuarial Journal 10, 1-10). Monte Carlo simulations show that the PITSE offers the desired compromise between ease of use and power to protect against outliers in the small-sample setting.
Author : A Clifford Cohen
Publisher : CRC Press
ISBN 13 : 1000147231
Total Pages : 312 pages
Book Rating : 4.0/5 (1 download)
Download or read book Parameter Estimation in Reliability and Life Span Models written by A Clifford Cohen and published by CRC Press. This book was released on 2020-07-26 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offers an applications-oriented treatment of parameter estimation from both complete and censored samples; contains notations, simplified formats for estimates, graphical techniques, and numerous tables and charts allowing users to calculate estimates and analyze sample data quickly and easily. Anno
Author : Paul Embrechts
Publisher : Springer Science & Business Media
ISBN 13 : 9783540609315
Total Pages : 672 pages
Book Rating : 4.6/5 (93 download)
Download or read book Modelling Extremal Events written by Paul Embrechts and published by Springer Science & Business Media. This book was released on 2013-01-02 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS
Author : Bernard C. Levy
Publisher : Springer Science & Business Media
ISBN 13 : 0387765425
Total Pages : 647 pages
Book Rating : 4.3/5 (877 download)
Download or read book Principles of Signal Detection and Parameter Estimation written by Bernard C. Levy and published by Springer Science & Business Media. This book was released on 2008-07-07 with total page 647 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a comprehensive and current understanding of signal detection and estimation, including problems and solutions for each chapter. Signal detection plays an important role in fields such as radar, sonar, digital communications, image processing, and failure detection. The book explores both Gaussian detection and detection of Markov chains, presenting a unified treatment of coding and modulation topics. Addresses asymptotic of tests with the theory of large deviations, and robust detection. This text is appropriate for students of Electrical Engineering in graduate courses in Signal Detection and Estimation.
Author : Dieter Schell
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (932 download)
Download or read book On Robust Tail Index Estimation and Related Topics written by Dieter Schell and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Georgij Leonidovič Ševljakov
Publisher : VSP
ISBN 13 : 9789067643511
Total Pages : 334 pages
Book Rating : 4.6/5 (435 download)
Download or read book Robustness in Data Analysis written by Georgij Leonidovič Ševljakov and published by VSP. This book was released on 2002 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of mathematical statistics called robustness statistics deals with the stability of statistical inference under variations of accepted distribution models. Although robust statistics involves mathematically highly defined tools, robust methods exhibit a satisfactory behaviour in small samples, thus being quite useful in applications. This volume in the book series Modern Probability and Statistics addresses various topics in the field of robust statistics and data analysis, such as: a probability-free approach in data analysis; minimax variance estimators of location, scale, regression, autoregression and correlation; "L1-norm methods; adaptive, data reduction, bivariate boxplot, and multivariate outlier detection algorithms; applications in reliability, detection of signals, and analysis of the sudden cardiac death risk factors. The book contains new results related to robustness and data analysis technologies, including both theoretical aspects and practical needs of data processing, which have been relatively inaccessible as they were originally only published in Russian. This book will be of value and interest to researchers in mathematical statistics as well as to those using statistical methods.
Author : Joanna Kołodziej
Publisher : Springer
ISBN 13 : 3030162729
Total Pages : 364 pages
Book Rating : 4.0/5 (31 download)
Download or read book High-Performance Modelling and Simulation for Big Data Applications written by Joanna Kołodziej and published by Springer. This book was released on 2019-03-25 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book was prepared as a Final Publication of the COST Action IC1406 “High-Performance Modelling and Simulation for Big Data Applications (cHiPSet)“ project. Long considered important pillars of the scientific method, Modelling and Simulation have evolved from traditional discrete numerical methods to complex data-intensive continuous analytical optimisations. Resolution, scale, and accuracy have become essential to predict and analyse natural and complex systems in science and engineering. When their level of abstraction raises to have a better discernment of the domain at hand, their representation gets increasingly demanding for computational and data resources. On the other hand, High Performance Computing typically entails the effective use of parallel and distributed processing units coupled with efficient storage, communication and visualisation systems to underpin complex data-intensive applications in distinct scientific and technical domains. It is then arguably required to have a seamless interaction of High Performance Computing with Modelling and Simulation in order to store, compute, analyse, and visualise large data sets in science and engineering. Funded by the European Commission, cHiPSet has provided a dynamic trans-European forum for their members and distinguished guests to openly discuss novel perspectives and topics of interests for these two communities. This cHiPSet compendium presents a set of selected case studies related to healthcare, biological data, computational advertising, multimedia, finance, bioinformatics, and telecommunications.
Author : Jana Jureckova
Publisher : CRC Press
ISBN 13 : 1420035134
Total Pages : 210 pages
Book Rating : 4.4/5 (2 download)
Download or read book Robust Statistical Methods with R written by Jana Jureckova and published by CRC Press. This book was released on 2005-11-29 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robust statistical methods were developed to supplement the classical procedures when the data violate classical assumptions. They are ideally suited to applied research across a broad spectrum of study, yet most books on the subject are narrowly focused, overly theoretical, or simply outdated. Robust Statistical Methods with R provides a systemati
Author : Marat Ibragimov
Publisher : Springer
ISBN 13 : 3319168770
Total Pages : 131 pages
Book Rating : 4.3/5 (191 download)
Download or read book Heavy-Tailed Distributions and Robustness in Economics and Finance written by Marat Ibragimov and published by Springer. This book was released on 2015-05-23 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in these fields, depending on the degree of heavy-tailed ness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.
Author :
Publisher : Elsevier
ISBN 13 : 0080471269
Total Pages : 458 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of Latent Variable and Related Models written by and published by Elsevier. This book was released on 2011-08-11 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook covers latent variable models, which are a flexible class of models for modeling multivariate data to explore relationships among observed and latent variables. - Covers a wide class of important models - Models and statistical methods described provide tools for analyzing a wide spectrum of complicated data - Includes illustrative examples with real data sets from business, education, medicine, public health and sociology. - Demonstrates the use of a wide variety of statistical, computational, and mathematical techniques.
