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Tempered stable distributionsstochas...

Grabchak, Michael.

Tempered stable distributionsstochastic models for multiscale processes /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Tempered stable distributionsby Michael Grabchak.
其他題名:	stochastic models for multiscale processes /
作者:	Grabchak, Michael.
出版者:	Cham :Springer International Publishing :2015.
面頁冊數:	xii, 118 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Distribution (Probability theory)
電子資源:	http://dx.doi.org/10.1007/978-3-319-24927-8
ISBN:	9783319249278$q(electronic bk.)

Tempered stable distributionsstochastic models for multiscale processes /
Grabchak, Michael.

Tempered stable distributionsstochastic models for multiscale processes /[electronic resource] :by Michael Grabchak. - Cham :Springer International Publishing :2015. - xii, 118 p. :ill., digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - SpringerBriefs in mathematics..

Introduction -- Preliminaries -- Tempered Stable Distributions -- Limit Theorems for Tempered Stable Distributions -- Multiscale Properties of Tempered Stable Levy Processes -- Parametric Classes -- Applications -- Epilogue -- References.

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.

ISBN: 9783319249278$q(electronic bk.)

Standard No.: 10.1007/978-3-319-24927-8doiSubjects--Topical Terms:

182306
Distribution (Probability theory)

LC Class. No.: QA273.6

Dewey Class. No.: 519.24

Tempered stable distributionsstochastic models for multiscale processes /
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