Inference for Heavy-Tailed Data
Applications in Insurance and Finance
Nonfiction, Science & Nature, Mathematics, Applied
| Author: | Liang Peng, Yongcheng Qi | ISBN: | 9780128047507 |
| Publisher: | Elsevier Science | Publication: | August 11, 2017 |
| Imprint: | Academic Press | Language: | English |
| Author: | Liang Peng, Yongcheng Qi |
| ISBN: | 9780128047507 |
| Publisher: | Elsevier Science |
| Publication: | August 11, 2017 |
| Imprint: | Academic Press |
| Language: | English |
Heavy tailed data appears frequently in social science, internet traffic, insurance and finance. Statistical inference has been studied for many years, which includes recent bias-reduction estimation for tail index and high quantiles with applications in risk management, empirical likelihood based interval estimation for tail index and high quantiles, hypothesis tests for heavy tails, the choice of sample fraction in tail index and high quantile inference. These results for independent data, dependent data, linear time series and nonlinear time series are scattered in different statistics journals. Inference for Heavy-Tailed Data Analysis puts these methods into a single place with a clear picture on learning and using these techniques.
- Contains comprehensive coverage of new techniques of heavy tailed data analysis
- Provides examples of heavy tailed data and its uses
- Brings together, in a single place, a clear picture on learning and using these techniques
Heavy tailed data appears frequently in social science, internet traffic, insurance and finance. Statistical inference has been studied for many years, which includes recent bias-reduction estimation for tail index and high quantiles with applications in risk management, empirical likelihood based interval estimation for tail index and high quantiles, hypothesis tests for heavy tails, the choice of sample fraction in tail index and high quantile inference. These results for independent data, dependent data, linear time series and nonlinear time series are scattered in different statistics journals. Inference for Heavy-Tailed Data Analysis puts these methods into a single place with a clear picture on learning and using these techniques.
- Contains comprehensive coverage of new techniques of heavy tailed data analysis
- Provides examples of heavy tailed data and its uses
- Brings together, in a single place, a clear picture on learning and using these techniques
