| INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
978-3319249254 |
| DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Call number |
. |
| MAIN ENTRY--PERSONAL NAME |
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| Authors |
Grabchak, Michael |
| TITLE STATEMENT |
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| Title |
Tempered stable distributions : |
| Subtitle |
stochastic models for multiscale processes |
| Statement of responsibility, etc |
Michael Grabchak |
| PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication |
Heidelberg : |
| Publisher |
Springer, |
| Date |
c2016. |
| PHYSICAL DESCRIPTION |
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| Extent |
xii, 118 p. ; |
| Size |
24 cm. |
| SERIES STATEMENT |
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| Series statement |
Springer briefs in mathematics |
| CONTENTS |
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| Contents |
Introduction.- Preliminaries.- Tempered Stable Distributions.- Limit Theorems for Tempered Stable Distributions.- Multiscale Properties of Tempered Stable Levy Processes.- Parametric Classes.- Applications.- Epilogue.- References. |
| SUMMARY |
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| 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. 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. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Finance |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Mathematics |
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| Topical Heading |
Economics, Mathematical |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Heading |
Probabilities |
| ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://uowd.box.com/s/tsxocw67f638sosi2wjho6dr0tt84g3j |
| Public note |
Location Map |
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