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

Resnick, Sidney I.

ISBN 10: 0387242724 / ISBN 13: 9780387242729

Published by Springer, 2006

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Bibliographic Details

• Title: Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (Springer Series in Operations Research and Financial Engineering)
• Publisher: Springer
• Publication Date: 2006
• Language: English
• ISBN 10: 0387242724
• ISBN 13: 9780387242729
• Binding: Hardcover
• Condition: Good

About this title

Synopsis

Unique text devoted to heavy-tails

The treatment of heavy tails is largely dimensionless

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

The book emphasizes the broad applicability of heavy-tails to the fields of finance (e.g., value-at- risk), data networks, insurance

The presentation is clear, efficient and coherent and, balances theory and data analysis to show the applicability and limitations of certain methods

Several chapters examine in detail the mathematical properties of the methodologies as well as their implementation in the Splus or R statistical languages

The exposition is driven by numerous examples and exercises

About the Author

Sidney Resnick is a Professor at Cornell University.