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In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior, moments and support, is presented. The authors collect recent asymptotic results on extremes, point processes, partial sums (central limit theory with special emphasis on infinite variance stable limit theory), large deviations, in the univariate and multivariate cases, and they further touch on the related topics of smoothing transforms, regularly varying sequences and random iterative systems.
The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of the type X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, and gives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrence equations and shows relations with non-affine recursions and multivariate regular variation.Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
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Stochastic Models with Power-Law Tails: The Equation X = AX + B (Springer Series in Operations Research and Financial Engineering) [Paperback] Buraczewski, Dariusz; Damek, Ewa and Mikosch, Thomas
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Springer, 2018
ISBN 10 : 3319806246
ISBN 13 : 9783319806242
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Softcover. Etat : Very Good. unread, with a mimimum of shelfwear. N° de réf. du vendeur CE-2304C-EULE-13-1000XS
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Stochastic Models with Power-Law Tails
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Springer International Publishing, 2018
ISBN 10 : 3319806246
ISBN 13 : 9783319806242
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Covers fields which are not available in book form and are spread over the literatureProvides an accessible introduction to a complicated stochastic modelA readable overview of one of the most complicated topics. N° de réf. du vendeur 448755681
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Stochastic Models with Power-Law Tails: The Equation X = AX + B (Springer Series in Operations Research and Financial Engineering)
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Stochastic Models with Power-Law Tails : The Equation X = AX + B
ISBN 10 : 3319806246
ISBN 13 : 9783319806242
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Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equationX=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior, moments and support, is presented. The authors collect recent asymptotic results on extremes, point processes, partial sums (central limit theory with special emphasis on infinite variance stable limit theory), large deviations, in the univariate and multivariate cases, and they further touch on the related topics of smoothing transforms, regularly varying sequences and random iterative systems.The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of thetype X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, andgives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrenceequations and shows relations with non-affine recursions and multivariate regular variation. N° de réf. du vendeur 9783319806242
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Stochastic Models with Power-Law Tails
Edité par
Springer International Publishing Mai 2018, 2018
ISBN 10 : 3319806246
ISBN 13 : 9783319806242
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equationX=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior, moments and support, is presented. The authors collect recent asymptotic results on extremes, point processes, partial sums (central limit theory with special emphasis on infinite variance stable limit theory), large deviations, in the univariate and multivariate cases, and they further touch on the related topics of smoothing transforms, regularly varying sequences and random iterative systems.The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of thetype X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, andgives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrenceequations and shows relations with non-affine recursions and multivariate regular variation. 336 pp. Englisch. N° de réf. du vendeur 9783319806242
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Stochastic Models with Power-Law Tails
ISBN 10 : 3319806246
ISBN 13 : 9783319806242
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Taschenbuch. Etat : Neu. Neuware -In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior, moments and support, is presented. The authors collect recent asymptotic results on extremes, point processes, partial sums (central limit theory with special emphasis on infinite variance stable limit theory), large deviations, in the univariate and multivariate cases, and they further touch on the related topics of smoothing transforms, regularly varying sequences and random iterative systems.The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of the type X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, and gives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrence equations and shows relations with non-affine recursions and multivariate regular variation.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 336 pp. Englisch. N° de réf. du vendeur 9783319806242
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Stochastic Models with Power-Law Tails: The Equation X = AX + B (Springer Series in Operations Research and Financial Engineering)
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Stochastic Models with Power-Law Tails: The Equation X = AX + B (Springer Series in Operations Research and Financial Engineering)
Vendeur : California Books, Miami, FL, Etats-Unis
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Stochastic Models with Power-Law Tails: The Equation X = AX + B (Springer Series in Operations Research and Financial Engineering)
Vendeur : Books Puddle, New York, NY, Etats-Unis
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Stochastic Models with Power-Law Tails: The Equation X = AX + B (Springer Series in Operations Research and Financial Engineering)
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Etat : New. Print on Demand pp. 335. N° de réf. du vendeur 381081166
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