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Extreme value methods with applications to finance /
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, statistician...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Boca Raton, FL :
CRC Press,
©2012.
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| Colección: | Monographs on statistics and applied probability (Series) ;
122. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
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| Descripción Física: | 1 online resource (xxv, 373 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 1439835756 9781439835753 1280121912 9781280121913 0429093837 9780429093838 9786613525772 6613525774 |