Описание: This book presents a study of order statistics from standard Inverse Gaussian distributions and their moments, and applies the moments of order statistics to derive the best linear unbiased estimators of the location and scale parameters based on complete as well as Type-II censored samples.
Описание: This book focusses on inverse Gaussian approximation for the distribution of the first level-crossing time in a shifted compound renewal process framework.
Описание: This handbook brings together a comprehensive collection of mathematical material in one location. It also offers a variety of new results interpreted in a form that is particularly useful to engineers, scientists, and applied mathematicians.
Автор: Jondeau Eric Название: Financial Modeling Under Non-Gaussian Distributions ISBN: 1849965994 ISBN-13(EAN): 9781849965996 Издательство: Springer Цена: 12577.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. Consequently, non-Gaussian models and models based on processes with jumps, are gaining popularity among financial market practitioners.
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. One of the main aims is to bridge the gap between the theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models or black boxes. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates.
The authors have taken care to make the material accessible to anyone with a basic knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models.
This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.
Описание: Presents elaborate tables of moments of order statistics as well as BLUES based on complete and censored samples for lognormal distributions. This book includes various illustrative examples for the different uses of these tables pertaining to inference and prediction.
Описание: Presents elaborate tables of moments of order statistics as well as BLUES based on complete and censored samples for lognormal distributions. This title includes various illustrative examples for the different uses of these tables pertaining to inference and prediction.
Автор: Krishnamoorthy, K. Название: Handbook of statistical distributions with applications ISBN: 0367658704 ISBN-13(EAN): 9780367658700 Издательство: Taylor&Francis Рейтинг: Цена: 7348.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This handbook provides quick access to common and specialized probability distributions for modeling practical problems and performing statistical calculations. This second edition enhances the PC calculator StatCalc with electronic help manuals and now contains R functions for cases where StatCalc is not applicable, with the codes
Автор: Rolf-Dieter Reiss Название: Approximate Distributions of Order Statistics ISBN: 1461396220 ISBN-13(EAN): 9781461396222 Издательство: Springer Рейтинг: Цена: 16769.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is designed as a unified and mathematically rigorous treatment of some recent developments of the asymptotic distribution theory of order statistics (including the extreme order statistics) that are relevant for statistical theory and its applications.
Автор: Arnold, Barry C. Название: Pareto Distributions ISBN: 0367738473 ISBN-13(EAN): 9780367738471 Издательство: Taylor&Francis Рейтинг: Цена: 7348.00 р. Наличие на складе: Нет в наличии.
Автор: Rigby, Robert A. Stasinopoulos, Mikis D. Heller, Gillian Z. (department Of Statistics, Faculty Of Science And Enginerring, Macquarie University, Austr Название: Distributions for modelling location, scale, and shape ISBN: 0367278847 ISBN-13(EAN): 9780367278847 Издательство: Taylor&Francis Рейтинг: Цена: 22968.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This is the second volume in a series of books about using the GAMLSS R package developed by the authors. This volume presents a broad overview of statistical distributions and how they can be used in practical applications.
Автор: Kocherlakota, Название: Bivariate Discrete Distributions ISBN: 0367450321 ISBN-13(EAN): 9780367450328 Издательство: Taylor&Francis Рейтинг: Цена: 9492.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a comprehensive study of the bivariate discrete distributions and details the computer simulation techniques for the distributions. It develops distributions using sampling schemes, explores the role of compounding, and covers Waring distribution for use in accident theory.
Автор: A.A. Borovkov Название: Asymptotic Analysis of Random Walks: Light-Tailed Distributions ISBN: 1107074681 ISBN-13(EAN): 9781107074682 Издательство: Cambridge Academ Рейтинг: Цена: 19800.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This is a complete and systematic modern treatise on large deviation theory for random walks with light-tailed jump distributions, presented by one of its key creators. Such distributions have numerous applications in statistics, ruin theory, and queuing theory. This is a companion to the author`s earlier monograph on heavy-tailed distributions.
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