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Tempered Stable Distributions: Stochastic Models for Multiscale Processes (SpringerBriefs in Mathematics) - Softcover

Buch 68 von 155: SpringerBriefs in Mathematics

Grabchak, Michael

 
9783319249254: Tempered Stable Distributions: Stochastic Models for Multiscale Processes (SpringerBriefs in Mathematics)
Softcover
ISBN 10: 3319249258 ISBN 13: 9783319249254
Verlag: Springer, 2016

Inhaltsangabe

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.

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Verlag
Springer
Erscheinungsdatum
2016
Sprache
Englisch
ISBN 10 
3319249258
ISBN 13 
9783319249254
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
132
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