Coverart for item
The Resource Stochastic models with power-law tails : the equation X = AX + B, Dariusz Buraczewski, Ewa Damek, Thomas Mikosch, (electronic book)

Stochastic models with power-law tails : the equation X = AX + B, Dariusz Buraczewski, Ewa Damek, Thomas Mikosch, (electronic book)

Label
Stochastic models with power-law tails : the equation X = AX + B
Title
Stochastic models with power-law tails
Title remainder
the equation X = AX + B
Statement of responsibility
Dariusz Buraczewski, Ewa Damek, Thomas Mikosch
Creator
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
N$T
http://library.link/vocab/creatorName
Buraczewski, Dariusz
Dewey number
519.2/3
Illustrations
illustrations
Index
index present
LC call number
QA274
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Damek, Ewa
  • Mikosch, Thomas
Series statement
Springer series in operations research and financial engineering,
http://library.link/vocab/subjectName
  • Stochastic processes
  • Markov processes
Label
Stochastic models with power-law tails : the equation X = AX + B, Dariusz Buraczewski, Ewa Damek, Thomas Mikosch, (electronic book)
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Introduction -- The Univariate Case -- Univariate Limit Theoru -- Multivariate Case -- Miscellanea -- Appendices
Control code
SPR953455863
Dimensions
unknown
Extent
1 online resource (xv, 320 pages)
File format
unknown
Form of item
online
Isbn
9783319296784
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-29679-1
Other physical details
illustrations (some color).
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
Label
Stochastic models with power-law tails : the equation X = AX + B, Dariusz Buraczewski, Ewa Damek, Thomas Mikosch, (electronic book)
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Introduction -- The Univariate Case -- Univariate Limit Theoru -- Multivariate Case -- Miscellanea -- Appendices
Control code
SPR953455863
Dimensions
unknown
Extent
1 online resource (xv, 320 pages)
File format
unknown
Form of item
online
Isbn
9783319296784
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-29679-1
Other physical details
illustrations (some color).
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote

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