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Author : Jens Ledet Jensen
Publisher : Oxford University Press
Page : 348 pages
File Size : 52,8 Mb
Release : 1995
Category : Mathematics
ISBN : 0198522959
This book explains the ideas behind the saddlepoint approximations as well as giving a detailed mathematical description of the subject and many worked out examples.
Author : Pamela Ann Ohman
Publisher : Unknown
Page : 218 pages
File Size : 46,8 Mb
Release : 1997
Category : Electronic
ISBN : CORNELL:31924080068327
Author : Ronald W. Butler
Publisher : Cambridge University Press
Page : 548 pages
File Size : 44,7 Mb
Release : 2007-08-16
Category : Mathematics
ISBN : 9781139466516
Modern statistical methods use complex, sophisticated models that can lead to intractable computations. Saddlepoint approximations can be the answer. Written from the user's point of view, this book explains in clear language how such approximate probability computations are made, taking readers from the very beginnings to current applications. The core material is presented in chapters 1-6 at an elementary mathematical level. Chapters 7-9 then give a highly readable account of higher-order asymptotic inference. Later chapters address areas where saddlepoint methods have had substantial impact: multivariate testing, stochastic systems and applied probability, bootstrap implementation in the transform domain, and Bayesian computation and inference. No previous background in the area is required. Data examples from real applications demonstrate the practical value of the methods. Ideal for graduate students and researchers in statistics, biostatistics, electrical engineering, econometrics, and applied mathematics, this is both an entry-level text and a valuable reference.
Author : Marc Moore,Constance van Eeden
Publisher : IMS
Page : 532 pages
File Size : 55,9 Mb
Release : 2003
Category : Mathematical statistics
ISBN : 0940600579
Author : Ying-ming Jou
Publisher : Unknown
Page : 144 pages
File Size : 42,7 Mb
Release : 1997
Category : Electronic
ISBN : CORNELL:31924080031846
Author : Yue Kuen Kwok,Wendong Zheng
Publisher : Springer
Page : 128 pages
File Size : 52,8 Mb
Release : 2018-02-16
Category : Mathematics
ISBN : 9783319741017
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
Author : John E. Kolassa
Publisher : Springer Science & Business Media
Page : 162 pages
File Size : 47,7 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9781475742756
This book was originally compiled for a course I taught at the University of Rochester in the fall of 1991, and is intended to give advanced graduate students in statistics an introduction to Edgeworth and saddlepoint approximations, and related techniques. Many other authors have also written monographs on this subject, and so this work is narrowly focused on two areas not recently discussed in theoretical text books. These areas are, first, a rigorous consideration of Edgeworth and saddlepoint expansion limit theorems, and second, a survey of the more recent developments in the field. In presenting expansion limit theorems I have drawn heavily 011 notation of McCullagh (1987) and on the theorems presented by Feller (1971) on Edgeworth expansions. For saddlepoint notation and results I relied most heavily on the many papers of Daniels, and a review paper by Reid (1988). Throughout this book I have tried to maintain consistent notation and to present theorems in such a way as to make a few theoretical results useful in as many contexts as possible. This was not only in order to present as many results with as few proofs as possible, but more importantly to show the interconnections between the various facets of asymptotic theory. Special attention is paid to regularity conditions. The reasons they are needed and the parts they play in the proofs are both highlighted.
Author : Stanislav Anatolyev,Nikolay Gospodinov
Publisher : CRC Press
Page : 230 pages
File Size : 47,6 Mb
Release : 2011-06-07
Category : Business & Economics
ISBN : 9781439838266
Methods for Estimation and Inference in Modern Econometrics provides a comprehensive introduction to a wide range of emerging topics, such as generalized empirical likelihood estimation and alternative asymptotics under drifting parameterizations, which have not been discussed in detail outside of highly technical research papers. The book also add
Author : Anirban DasGupta
Publisher : Springer Science & Business Media
Page : 726 pages
File Size : 50,7 Mb
Release : 2008-03-07
Category : Mathematics
ISBN : 9780387759708
This unique book delivers an encyclopedic treatment of classic as well as contemporary large sample theory, dealing with both statistical problems and probabilistic issues and tools. The book is unique in its detailed coverage of fundamental topics. It is written in an extremely lucid style, with an emphasis on the conceptual discussion of the importance of a problem and the impact and relevance of the theorems. There is no other book in large sample theory that matches this book in coverage, exercises and examples, bibliography, and lucid conceptual discussion of issues and theorems.
Author : Anonim
Publisher : John Wiley & Sons
Page : 722 pages
File Size : 45,6 Mb
Release : 2005-12-16
Category : Mathematics
ISBN : 9780471743910
ENCYCLOPEDIA OF STATISTICAL SCIENCES
Author : Indranil Ghosh,N. Balakrishnan,Hon Keung Tony Ng
Publisher : Springer Nature
Page : 443 pages
File Size : 46,8 Mb
Release : 2021-04-01
Category : Mathematics
ISBN : 9783030629007
This edited collection brings together internationally recognized experts in a range of areas of statistical science to honor the contributions of the distinguished statistician, Barry C. Arnold. A pioneering scholar and professor of statistics at the University of California, Riverside, Dr. Arnold has made exceptional advancements in different areas of probability, statistics, and biostatistics, especially in the areas of distribution theory, order statistics, and statistical inference. As a tribute to his work, this book presents novel developments in the field, as well as practical applications and potential future directions in research and industry. It will be of interest to graduate students and researchers in probability, statistics, and biostatistics, as well as practitioners and technicians in the social sciences, economics, engineering, and medical sciences.
Author : Offer Lieberman
Publisher : Unknown
Page : 9 pages
File Size : 49,6 Mb
Release : 1994
Category : Autoregression (Statistics)
ISBN : 0732607558
Author : A. H. Welsh
Publisher : John Wiley & Sons
Page : 498 pages
File Size : 41,9 Mb
Release : 1996-10-10
Category : Mathematics
ISBN : 0471115916
Relevant, concrete, and thorough--the essential data-based text onstatistical inference The ability to formulate abstract concepts and draw conclusionsfrom data is fundamental to mastering statistics. Aspects ofStatistical Inference equips advanced undergraduate and graduatestudents with a comprehensive grounding in statistical inference,including nonstandard topics such as robustness, randomization, andfinite population inference. A. H. Welsh goes beyond the standard texts and expertly synthesizesbroad, critical theory with concrete data and relevant topics. Thetext follows a historical framework, uses real-data sets andstatistical graphics, and treats multiparameter problems, yet isultimately about the concepts themselves. Written with clarity and depth, Aspects of Statistical Inference: * Provides a theoretical and historical grounding in statisticalinference that considers Bayesian, fiducial, likelihood, andfrequentist approaches * Illustrates methods with real-data sets on diabetic retinopathy,the pharmacological effects of caffeine, stellar velocity, andindustrial experiments * Considers multiparameter problems * Develops large sample approximations and shows how to use them * Presents the philosophy and application of robustness theory * Highlights the central role of randomization in statistics * Uses simple proofs to illuminate foundational concepts * Contains an appendix of useful facts concerning expansions,matrices, integrals, and distribution theory Here is the ultimate data-based text for comparing and presentingthe latest approaches to statistical inference.
Author : D. M. Titterington
Publisher : Unknown
Page : 404 pages
File Size : 49,8 Mb
Release : 2001
Category : Mathematics
ISBN : 0198509936
The year 2001 marks the centenary of Biometrika, one of the world's leading academic journals in statistical theory and methodology. In celebration of this, the book brings together two sets of papers from the journal. The first are specially commissioned articles that review the history of the journal and the most important contributions made by papers in the journal to a number of important areas of statistical activity, including general theory and methodology, surveys and time sets. The second group are a selection of particularly seminal articles from the journal's first hundred years. In the process these papers give a full description of the general development of statistical science during the twentieth century.
Author : Henry M. Streby,David E. Andersen,David Buehler
Publisher : CRC Press
Page : 246 pages
File Size : 45,5 Mb
Release : 2016-10-26
Category : Nature
ISBN : 9781315355634
Golden-winged Warblers (Vermivora chrysoptera) are migratory songbirds that breed in temperate North America, primarily in the Great Lakes region with remnant populations throughout the Appalachian Mountains, and winter in Central and northern South America. Their breeding range has contracted dramatically in the Appalachian Mountains and many populations have dramatically declined, likely due to habitat loss, competition and interbreeding with Blue-winged Warblers (Vermivora pinus), andglobal climate change.. As a result of population declines in much of the eastern portion of their breeding range, Golden-winged Warblers are listed as endangered or threatened in 10 U.S. states and in Canada and have been petitioned for protection under the U.S. Endangered Species Act. Published in collaboration with and on behalf of The American Ornithological Society, this volume in the highly-regarded Studies in Avian Biology series compiles extensive, current research on Golden-winged Warblers and summarizes what is known and identifies many remaining unknowns, providing a wealth of peer-reviewed science on which future research and listing decisions can be based.