Tempered stable distributions [electronic resource] : stochastic models for multiscale processes / Michael Grabchak.
2015
QA273.6
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Title
Tempered stable distributions [electronic resource] : stochastic models for multiscale processes / Michael Grabchak.
Author
Grabchak, Michael, author.
ISBN
9783319249278 (electronic book)
3319249274 (electronic book)
9783319249254
3319249258
3319249274 (electronic book)
9783319249254
3319249258
Published
Cham ; New York : Springer, [2015]
Language
English
Description
1 online resource.
Item Number
10.1007/978-3-319-24927-8 doi
Call Number
QA273.6
Dewey Decimal Classification
519.2/4
Summary
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.℗ℓ 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.
Bibliography, etc. Note
Includes bibliographical references and index.
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Access limited to authorized users.
Series
SpringerBriefs in mathematics.
Available in Other Form
Print version: 9783319249254
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Table of Contents
Introduction
Preliminaries
Tempered Stable Distributions.- Limit Theorems for Tempered Stable Distributions.- Multiscale Properties of Tempered Stable Levy Processes
Parametric Classes
Applications
Epilogue
References.
Preliminaries
Tempered Stable Distributions.- Limit Theorems for Tempered Stable Distributions.- Multiscale Properties of Tempered Stable Levy Processes
Parametric Classes
Applications
Epilogue
References.