Springer Series in Operations Research and Financial Engineering

Heavy-Tailed Time Series

Authors: Kulik, Rafal, Soulier, Philippe

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  • 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​
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書籍の購入

イーブック ¥8,579
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-1-0716-0737-4
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ハードカバー ¥10,724
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-1-0716-0735-0
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
この教本について

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.


著者について

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.

Table of contents (16 chapters)

Table of contents (16 chapters)

書籍の購入

イーブック ¥8,579
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-1-0716-0737-4
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: PDF, EPUB
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
  • ご購入後、すぐにダウンロードしていただけます。
ハードカバー ¥10,724
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-1-0716-0735-0
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
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書誌情報

Bibliographic Information
Book Title
Heavy-Tailed Time Series
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
2020
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media, LLC, part of Springer Nature
イーブック ISBN
978-1-0716-0737-4
DOI
10.1007/978-1-0716-0737-4
ハードカバー ISBN
978-1-0716-0735-0
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XIX, 681
Number of Illustrations
2 b/w illustrations, 5 illustrations in colour
Topics

*immediately available upon purchase as print book shipments may be delayed due to the COVID-19 crisis. ebook access is temporary and does not include ownership of the ebook. Only valid for books with an ebook version. Springer Reference Works and instructor copies are not included.