Heavy-Tailed Time Series: Springer Series in Operations Research and Financial Engineering
Autor Rafal Kulik, Philippe Soulieren Limba Engleză Hardback – 2 iul 2020
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Specificații
ISBN-13: 9781071607350
ISBN-10: 1071607359
Pagini: 681
Ilustrații: XIX, 681 p. 7 illus., 5 illus. in color.
Dimensiuni: 155 x 235 mm
Greutate: 1.27 kg
Ediția:1st ed. 2020
Editura: Springer
Colecția Springer
Seria Springer Series in Operations Research and Financial Engineering
Locul publicării:New York, NY, United States
ISBN-10: 1071607359
Pagini: 681
Ilustrații: XIX, 681 p. 7 illus., 5 illus. in color.
Dimensiuni: 155 x 235 mm
Greutate: 1.27 kg
Ediția:1st ed. 2020
Editura: Springer
Colecția Springer
Seria Springer Series in Operations Research and Financial Engineering
Locul publicării:New York, NY, United States
Cuprins
Regular variation.- Regularly varying random variables.- Regularly varying random vectors.- Dealing with extremal independence.- Regular variation of series and random sums.- Regularly varying time series.- Limit theorems.- Convergence of clusters-. Point process convergence.- Convergence to stable and extremal processes.- The tall empirical and quantile processes.- Estimation of cluster functionals.- Estimation for extremally independent time series.- Bootstrap.- Time series models.- Max-stable processes.- Markov chains.- Moving averages.- Long memory processes.- Appendices.
Notă biografică
Rafal Kulik graduated from the University of Wroclaw, Poland. He is currently a Professor at the Department of Mathematics and Statistics, University of Ottawa. His research interests are centered around limit theorems for stochastic processes with temporal dependence.
Philippe Soulier graduated from Ecole Normale Supérieure de Paris and obtained his PhD at University Paris XI Orsay. He is Professor of Mathematics at University Paris Nanterre. His main themes of research are long memory processes and extreme value theory.
Philippe Soulier graduated from Ecole Normale Supérieure de Paris and obtained his PhD at University Paris XI Orsay. He is Professor of Mathematics at University Paris Nanterre. His main themes of research are long memory processes and extreme value theory.
Textul de pe ultima copertă
This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while including historical insights at each chapter’s conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence.
Caracteristici
Provides a comprehensive and self-contained overview of extreme value theory for time series Presents concise theoretical analysis of regular variation and weak convergence, with relation to time series Includes complete proofs and exercises with solutions Includes list of open problems to encourage future research?