Springer Series in Operations Research and Financial Engineering

Heavy-Tail Phenomena

Probabilistic and Statistical Modeling

Authors: Resnick, Sidney I.

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  • ISBN 978-0-387-45024-7
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About this Textbook

This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. Heavy tails are characteristic of phenomena where there is a significant probability of a single huge value impacting system behavior. Record-breaking insurance losses, financial returns, sizes of files stored on a server, transmission rates of files are all examples of heavy-tailed phenomena.

Key features:

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.

Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use (or at least to learn) a statistics package such as R or Splus. This work will serve second-year graduate students and researchers in the areas of operations research, statistics, applied mathematics, electrical engineering, financial engineering, networking and economics.

Sidney Resnick is a Professor at Cornell University and has written several well-known bestsellers: A Probability Path (ISBN: 081764055X), Adventures in Stochastic Processes (ISBN: 0817635912) and Extreme Values, Regular Variation, and Point Processes (ISBN: 0387964819).

Table of contents (11 chapters)

Table of contents (11 chapters)

Buy this book

eBook $54.99
price for USA in USD
  • ISBN 978-0-387-45024-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.99
price for USA in USD
Softcover $69.99
price for USA in USD
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Bibliographic Information

Bibliographic Information
Book Title
Heavy-Tail Phenomena
Book Subtitle
Probabilistic and Statistical Modeling
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
2007
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-0-387-45024-7
DOI
10.1007/978-0-387-45024-7
Hardcover ISBN
978-0-387-24272-9
Softcover ISBN
978-1-4419-2024-9
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XIX, 404
Topics