Liknande böcker
Geometric Exponential Distributions : Generalizations and Applications
Bok av Seetha Lekshmi Vanaja
The theory and applications of geometric
stable laws has been an active area of research in recent
years. They are obtained as limiting laws of approximately
normalized random sums of i.i.d. random variables.
Geometric stable laws are found to be particularly useful
in modeling financial assets return data. Mittag-Leffler
distribution and Linnik distribution are members of this
class. Their applications range from queuing and
reliability theories to modeling financial portfolios. They
are heavy tailed and have applications in financial
modeling also.The main purpose of this book is to provide a
rigorous introduction to geometric exponential laws as
well as their generalizations and applications with
special emphasis on autoregressive time series modeling.
The book introduces the concepts of geometric infinite
divisibility and various geometric stable distributions
like geometric Mittag-Leffler, geometric alpha-Laplace and
related distributions.It should be of use for researchers
and practitioners in mathematics, statistics, engineering,
financial modeling, mathematical finance, stochastic
processes, probability theory and applications.