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商品詳細
Tempered Stable Distributions : Stochastic Models for Multiscale Processes. 1st ed. 2016.
・ISBN 978-3-319-24925-4 paper EUR 49.99
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お気に入り
★★★
| 著者・編者 | Grabchak, Michael, |
|---|---|
| シリーズ | SpringerBriefs in Mathematics |
| 出版社 | (Springer International Publishing AG, SZ) |
| 出版年月 | 2016 |
| ページ数 | 118 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-20695＞ |
解説
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.
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.