Heavy tailed data appears frequently in social science, internet traffic, insurance and finance. Statistical inference has been studied for many years, which includes recent bias-reduction estimation for tail index and high quantiles with applications in risk management, empiric…
Front Cover -- Inference for Heavy-Tailed Data -- Copyright -- Contents -- About the Authors -- Preface -- 1 Introduction -- 1.1 Basic Probability Theory -- 1.2 Basic Extreme Value Theory -- 2 Heavy Tailed Independent Data -- 2.1 Heavy Tail -- 2.2 Tail Index Estimation -- 2.2.1 …
Annotation
Heavy tailed data appears frequently in social science, internet traffic, insurance and finance. Statistical inference has been studied for many years, which includes recent bias-reduction estimation for tail index and high quantiles with applications in risk management, empiric…