Tempered Stable Distributions / SpringerBriefs in Mathematics (PDF)
Stochastic Models for Multiscale Processes
(Sprache: Englisch)
This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions.
A tempered stable distribution is one which takes a stable...
A tempered stable distribution is one which takes a stable...
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This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions.
A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics.
Bibliographische Angaben
- Autor: Michael Grabchak
- 2016, 1st ed. 2015, 118 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3319249274
- ISBN-13: 9783319249278
- Erscheinungsdatum: 26.01.2016
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Dateiformat: PDF
- Größe: 1.39 MB
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- Vorlesefunktion
Sprache:
Englisch
Pressezitat
“This is a very nicely written book on tempered stable distributions. The exposition is careful and very readable. … The book will be a very helpful source for researchers working in the area of tempered stable distributions and for all that want to apply them.” (Alexander Lindner, zbMATH 1361.60003, 2017)Kommentar zu "Tempered Stable Distributions / SpringerBriefs in Mathematics"
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