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Extreme value methods with applications to finance [electronic resource] / Serguei Y. Novak
- 作者： Novak, Serguei Y.
- 其他題名：
- Monographs on statistics and applied probability ;
- 出版： Boca Raton, FL : CRC Press c2011
- 叢書名： Monographs on statistics and applied probability ;122
- 主題： Finance--Mathematical models. , Financial risk--Mathematical models , Extreme value theory--Mathematical models
- ISBN： 1439835756 (electronic bk) 、 9781439835753 (electronic bk)
- URL：
電子書
- 書目註：Includes bibliographical references and index
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讀者標籤：
- 系統號： 005215350 | 機讀編目格式
館藏資訊
摘要註
Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers--in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as processes of exceedances, compound Poisson approximation, Poisson cluster approximation, and nonparame
內容註
pt. 1. Distribution of extremes -- pt. 2. Statistics of extremes
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