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Tempered stable distributions = stoc...

Grabchak, Michael.

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Tempered stable distributions = stochastic models for multiscale processes /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Tempered stable distributions/ by Michael Grabchak.
Reminder of title:	stochastic models for multiscale processes /
Author:	Grabchak, Michael.
Published:	Cham :Springer International Publishing : : 2015.,
Description:	xii, 118 p. :ill., digital ;24 cm.
[NT 15003449]:	Introduction -- Preliminaries -- Tempered Stable Distributions -- Limit Theorems for Tempered Stable Distributions -- Multiscale Properties of Tempered Stable Levy Processes -- Parametric Classes -- Applications -- Epilogue -- References.
Contained By:	Springer eBooks
Subject:	Distribution (Probability theory) -
Online resource:	http://dx.doi.org/10.1007/978-3-319-24927-8
ISBN:	9783319249278$q(electronic bk.)

Tempered stable distributions = stochastic 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:

533179
Distribution (Probability theory)

LC Class. No.: QA273.6

Dewey Class. No.: 519.24

Tempered stable distributions = stochastic models for multiscale processes /
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245 1 0 $a Tempered stable distributions $h [electronic resource] : $b stochastic models for multiscale processes / $c by Michael Grabchak.
260 $a Cham : $c 2015. $b Springer International Publishing : $b Imprint: Springer,
300 $a xii, 118 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in mathematics, $x 2191-8198
505 0 $a Introduction -- Preliminaries -- Tempered Stable Distributions -- Limit Theorems for Tempered Stable Distributions -- Multiscale Properties of Tempered Stable Levy Processes -- Parametric Classes -- Applications -- Epilogue -- References.
520 $a 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.
650 0 $a Distribution (Probability theory) $3 533179
650 0 $a Stochastic models. $3 764002
650 0 $a Levy processes. $3 747418
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950 $a Mathematics and Statistics (Springer-11649)