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Heavy-Tailed Distributions and Robustness in Economics and Finance
This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in these fields, depending on the degree of heavy-tailed ness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.
I. I. Ibragimov
None
Gaussian Random Processes
The book deals mainly with three problems involving Gaussian stationary processes. The first problem consists of clarifying the conditions for mutual absolute continuity (equivalence) of probability distributions of a "random process segment" and of finding effective formulas for densities of the equiva lent distributions. Our second problem is to describe the classes of spectral measures corresponding in some sense to regular stationary processes (in par ticular, satisfying the well-known "strong mixing condition") as well as to describe the subclasses associated with "mixing rate". The third problem involves estimation of an unknown mean value of a random process, this random process being...
Statistical Estimation
when certain parameters in the problem tend to limiting values (for example, when the sample size increases indefinitely, the intensity of the noise ap proaches zero, etc.) To address the problem of asymptotically optimal estimators consider the following important case. Let X 1, X 2, ... , X n be independent observations with the joint probability density !(x,O) (with respect to the Lebesgue measure on the real line) which depends on the unknown patameter o e 9 c R1. It is required to derive the best (asymptotically) estimator 0:( X b ... , X n) of the parameter O. The first question which arises in connection with this problem is how to compare different estimators or, equivalently, how to...
Transformation Groups And Lie Algebras
This book is based on the extensive experience of teaching for mathematics, physics and engineering students in Russia, USA, South Africa and Sweden. The author provides students and teachers with an easy to follow textbook spanning a variety of topics. The methods of local Lie groups discussed in the book provide universal and effective method for solving nonlinear differential equations analytically. Introduction to approximate transformation groups also contained in the book helps to develop skills in constructing approximate solutions for differential equations with a small parameter.
Regular Variation
A comprehensive account of the theory and applications of regular variation.
CRC Handbook of Lie Group Analysis of Differential Equations
Today Lie group theoretical approach to differential equations has been extended to new situations and has become applicable to the majority of equations that frequently occur in applied sciences. Newly developed theoretical and computational methods are awaiting application. Students and applied scientists are expected to understand these methods. Volume 3 and the accompanying software allow readers to extend their knowledge of computational algebra. Written by the world's leading experts in the field, this up-to-date sourcebook covers topics such as Lie-Bäcklund, conditional and non-classical symmetries, approximate symmetry groups for equations with a small parameter, group analysis of differential equations with distributions, integro-differential equations, recursions, and symbolic software packages. The text provides an ideal introduction to modern group analysis and addresses issues to both beginners and experienced researchers in the application of Lie group methods.
Elementary Lie Group Analysis and Ordinary Differential Equations
Lie group analysis, based on symmetry and invariance principles, is the only systematic method for solving nonlinear differential equations analytically. One of Lie's striking achievements was the discovery that the majority of classical devices for integration of special types of ordinary differential equations could be explained and deduced by his theory. Moreover, this theory provides a universal tool for tackling considerable numbers of differential equations when other means of integration fail. * This is the first modern text on ordinary differential equations where the basic integration methods are derived from Lie group theory * Includes a concise and self contained introduction to d...
Algebra, Complex Analysis, and Pluripotential Theory
This book features papers presented during a special session on algebra, functional analysis, complex analysis, and pluripotential theory. Research articles focus on topics such as slow convergence, spectral expansion, holomorphic extension, m-subharmonic functions, pseudo-Galilean group, involutive algebra, Log-integrable measurable functions, Gibbs measures, harmonic and analytic functions, local automorphisms, Lie algebras, and Leibniz algebras. Many of the papers address the theory of harmonic functions, and the book includes a number of extensive survey papers. Graduate and researchers interested in functional analysis, complex analysis, operator algebras and non-associative algebras wi...
