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Showing 1 - 12 of 12 results for “thomas mikosch”
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  • Extreme Value Theory for Time Series

    Models with Power-Law Tails

    by Thomas Mikosch, Olivier Wintenberger ...
    Series series Mathematics and Statistics (R0)
    This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models.Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted ... Read more

    $224.99 USD

  • Stochastic Models with Power-Law Tails

    The Equation X = AX + B

    by Dariusz Buraczewski, Ewa Damek, Thomas Mikosch ...
    Series series Mathematics and Statistics (R0)
    In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a ... Read more

    $134.99 USD

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  • Stochastic Simulation and Monte Carlo Methods

    Mathematical Foundations of Stochastic Simulation

    by Carl Graham, Denis Talay ...
    Series series Mathematics and Statistics (R0)
    In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these ... Read more

    $49.49 USD

  • Monte-Carlo Methods and Stochastic Processes

    From Linear to Non-Linear

    by Emmanuel Gobet ...
    Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear and nonlinear problems in biology, finance, geophysics, mechanics, chemistry, and other application areas. The text also ... Read more

    $72.99 USD

  • Mathematics for Econometrics

    by Phoebus J. Dhrymes ...
    Series series Mathematics and Statistics (R0)
    This book deals with a number of mathematical topics that are of great importance in the study of classical econometrics. There is a lengthy chapter on matrix algebra, which takes the reader from the most elementary aspects to the partitioned inverses, characteristic roots and vectors, symmetric, and orthogonal and positive (semi) definite matrices. The book also covers pseudo-inverses, solutions ... Read more

    $125.99 USD

  • Introduction to Stochastic Processes with R

    by Robert P. Dobrow ...
    An introduction to stochastic processes through the use of RIntroduction to Stochastic Processes with R is an accessible and well-balanced presentation of the theory of stochastic processes, with an emphasis on real-world applications of probability theory in the natural and social sciences. The use of simulation, by means of the popular statistical software R, makes theoretical results come alive ... Read more

    $115.00 USD

  • Probability for Statistics and Machine Learning

    Fundamentals and Advanced Topics

    by Anirban DasGupta ...
    Series series Mathematics and Statistics (R0)
    This book provides a versatile and lucid treatment of classic as well as modern probability theory, while integrating them with core topics in statistical theory and also some key tools in machine learning. It is written in an extremely accessible style, with elaborate motivating discussions and numerous worked out examples and exercises. The book has 20 chapters on a wide range of topics, 423 ... Read more

    $116.09 USD

  • Short-Memory Linear Processes and Econometric Applications

    by Kairat T. Mynbaev ...
    This book serves as a comprehensive source of asymptotic results for econometric models with deterministic exogenous regressors. Such regressors include linear (more generally, piece-wise polynomial) trends, seasonally oscillating functions, and slowly varying functions including logarithmic trends, as well as some specifications of spatial matrices in the theory of spatial models. The book begins ... Read more

    $134.00 USD

  • Computability and Randomness

    by André Nies ...
    Series Book 51 - Oxford Logic Guides
    The interplay between computability and randomness has been an active area of research in recent years, reflected by ample funding in the USA, numerous workshops, and publications on the subject. The complexity and the randomness aspect of a set of natural numbers are closely related. Traditionally, computability theory is concerned with the complexity aspect. However, computability theoretic ... Read more

    $56.99 USD

  • Brownian Motion and Stochastic Calculus

    by Ioannis Karatzas, Steven Shreve ...
    Series series Mathematics and Statistics (R0)
    This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous ... Read more

    $53.99 USD

  • Linear Models and the Relevant Distributions and Matrix Algebra

    by David A. Harville ...
    Series series Chapman & Hall/CRC Texts in Statistical Science
    Linear Models and the Relevant Distributions and Matrix Algebra provides in-depth and detailed coverage of the use of linear statistical models as a basis for parametric and predictive inference. It can be a valuable reference, a primary or secondary text in a graduate-level course on linear models, or a resource used (in a course on mathematical statistics) to illustrate various theoretical ... Read more

    $64.99 USD

  • Matrix Algebra Useful for Statistics

    by Shayle R. Searle, Andre I. Khuri ...
    Series series Wiley Series in Probability and Statistics
    A thoroughly updated guide to matrix algebra and it uses in statistical analysis and features SAS®, MATLAB®, and R throughoutThis Second Edition addresses matrix algebra that is useful in the statistical analysis of data as well as within statistics as a whole. The material is presented in an explanatory style rather than a formal theorem-proof format and is self-contained. Featuring numerous ... Read more

    $126.00 USD