Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (Springer Series in Operations Research and Financial Engineering) - Tapa blanda

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<p>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.</p> <p>Key features:</p> <p>Unique text devoted to heavy-tails.</p> <p>The treatment of heavy tails is largely dimensionless.</p> <p>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.</p> <p>The book emphasizes the broad applicability of heavy-tails to the fields of finance (e.g., value-at- risk), data networks, insurance.</p> <p>The presentation is clear, efficient and coherent and, balances theory and data analysis to show the applicability and limitations of certain methods.</p> <p>Several chapters examine in detail the mathematical properties of the methodologies as well as their implementation in the Splus or R statistical languages.</p> <p>The exposition is driven by numerous examples and exercises.</p> <p>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.</p> <p>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).</p>