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  • © 2016

Tempered Stable Distributions

Stochastic Models for Multiscale Processes

Authors:

  • Provides a thorough survey of tempered stable distributions and their associate Levy processes
  • Self-contained discussion and overview makes it perfect for researchers interested in learning about tempered stable distributions
  • Many new cutting-edge results of interest to specialists in the area

Part of the book series: SpringerBriefs in Mathematics (BRIEFSMATH)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xii
  2. Introduction

    • Michael Grabchak
    Pages 1-4
  3. Preliminaries

    • Michael Grabchak
    Pages 5-13
  4. Tempered Stable Distributions

    • Michael Grabchak
    Pages 15-45
  5. Parametric Classes

    • Michael Grabchak
    Pages 83-95
  6. Applications

    • Michael Grabchak
    Pages 97-109
  7. Epilogue

    • Michael Grabchak
    Pages 111-112
  8. Back Matter

    Pages 113-118

About this book

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.

Reviews

“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)

Authors and Affiliations

  • Dept of Mathematics and Statistics, University of North Carolina, Charlotte, USA

    Michael Grabchak

Bibliographic Information

Buy it now

Buying options

eBook USD 39.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access