Closure Properties for Heavy-Tailed and Related Distributions

An Overview
1. Auflage 2023
ISBN: 978-3-031-34552-4
Verlag: Springer

Buch, Englisch, 92 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 172 g

Reihe: SpringerBriefs in Statistics

This book provides a compact and systematic overview of closure properties of heavy-tailed and related distributions, including closure under tail equivalence, convolution, finite mixing, maximum, minimum, convolution power and convolution roots, and product-convolution closure. It includes examples and counterexamples that give an insight into the theory and provides numerous references to technical details and proofs for a deeper study of the subject. The book will serve as a useful reference for graduate students, young researchers, and applied scientists.

Zielgruppe

Research

Autoren/Hrsg.

Leipus, Remigijus

Šiaulys, Jonas

Konstantinides, Dimitrios

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

- 1. Introduction. - 2. Heavy-Tailed and Related Classes of Distributions. - 3. Closure Properties Under Tail-Equivalence, Convolution, Finite Mixing, Maximum, and Minimum. - 4. Convolution-Root Closure. - 5. Product-Convolution of Heavy-Tailed and Related Distributions. - 6. Summary of Closure Properties.

Über Autor(innen)

Remigijus Leipus is a Professor at the Institute of Applied Mathematics, Vilnius University, Lithuania. His research interests include time series analysis, extreme value theory, insurance mathematics, financial econometrics and financial mathematics.

Jonas Šiaulys is a Professor at the Institute of Mathematics, Vilnius University, Lithuania. His research interests include probability theory, number theory and insurance mathematics.

Dimitrios Konstantinides is a Professor at the Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Karlovassi, Greece. His research interests include actuarial mathematics, financial mathematics and risk theory.