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Heavy-tailed distributions and robus...
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Ibragimov, Marat.
Heavy-tailed distributions and robustness in economics and finance
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Heavy-tailed distributions and robustness in economics and financeby Marat Ibragimov, Rustam Ibragimov, Johan Walden.
作者:
Ibragimov, Marat.
其他作者:
Ibragimov, Rustam.
出版者:
Cham :Springer International Publishing :2015.
面頁冊數:
xiv, 119 p. :ill., digital ;24 cm.
Contained By:
Springer eBooks
標題:
Distribution (Probability theory)
電子資源:
http://dx.doi.org/10.1007/978-3-319-16877-7
ISBN:
9783319168777 (electronic bk.)
Heavy-tailed distributions and robustness in economics and finance
Ibragimov, Marat.
Heavy-tailed distributions and robustness in economics and finance
[electronic resource] /by Marat Ibragimov, Rustam Ibragimov, Johan Walden. - Cham :Springer International Publishing :2015. - xiv, 119 p. :ill., digital ;24 cm. - Lecture notes in statistics,v.2140930-0325 ;. - Lecture notes in statistics ;205..
Introduction -- Implications of Heavy-tailed ness -- Inference and Empirical Examples -- Conclusion.
This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in these fields, depending on the degree of heavy-tailedness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.
ISBN: 9783319168777 (electronic bk.)
Standard No.: 10.1007/978-3-319-16877-7doiSubjects--Topical Terms:
182306
Distribution (Probability theory)
LC Class. No.: QA273.6
Dewey Class. No.: 519.24
Heavy-tailed distributions and robustness in economics and finance
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