Bibliography of Nonparametric Statistics and Related Topics
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On Asymptotic Diversification Effects for Heavy-Tailed Risks
On Asymptotic Diversification Effects for Heavy-Tailed Risks Dissertation zur Erlangung des Doktorgrades der Fakult¨atf¨urMathematik und Physik der Albert-Ludwigs-Universit¨atFreiburg im Breisgau vorgelegt von Georg Mainik Februar 2010 Dekan: Prof. Dr. Kay K¨onigsmann Referenten: Prof. Dr. Ludger R¨uschendorf Prof. Dr. Paul Embrechts Datum der Promotion: 29. April 2010 Contents 1 Introduction1 1.1 Motivation.............................1 1.2 Overview of related theory....................2 1.3 Central results and structure of the thesis...........3 1.4 Acknowledgements........................7 2 Multivariate regular variation9 2.1 Basic notation and model assumptions.............9 2.2 Canonical forms of exponent and spectral measures...... 14 2.3 Dependence functions....................... 18 2.4 Copulas.............................. 20 2.5 Spectral densities of Gumbel copulas.............. 24 2.6 Spectral densities of elliptical distributions........... 27 3 Extreme risk index 35 3.1 Basic approach.......................... 35 3.2 Representations in terms of spectral measures......... 39 3.3 Portfolio optimization and diversification effects........ 42 3.4 Minimization of risk measures.................. 49 4 Estimation 55 4.1 Basic approach.......................... 55 4.2 Main results............................ 59 4.3 Empirical processes with functional index............ 63 4.4 Proofs of the main results.................... 76 4.5 Examples and comments..................... 78 5 Stochastic order relations 87 5.1 Introduction............................ 87 5.2 Ordering of extreme portfolio losses............... 90 5.3 Ordering of spectral measures.................. 94 i ii CONTENTS 5.4 Convex and supermodular orders................ 106 5.5 Examples............................. 111 6 Modelling and simulation 117 6.1 Objectives and design....................... 117 6.2 Estimation of the tail index................... 118 6.3 Models............................... 121 6.4 Simulation results........................ -
A Table of Contents
A TABLE OF CONTENTS LECTURE 1 ....................................................................................................................................................................... 5 1.1. Random variables. Probability distribution law .................................................................................................. 5 1.2. Cumulative distribution function .......................................................................................................................... 6 1.3. Distribution set ..................................................................................................................................................... 7 1.4. Probability density function ................................................................................................................................. 8 LECTURE 2 ..................................................................................................................................................................... 10 2.1. Numerical characteristics of the random variable ............................................................................................. 10 LECTURE 3 ..................................................................................................................................................................... 15 3.1. Uniform distribution .......................................................................................................................................... 15 3.2. Exponential distribution -
A First Course in Order Statistics
A First Course in Order Statistics Books in the Classics in Applied Mathematics series are monographs and textbooks declared out of print by their original publishers, though they are of continued importance and interest to the mathematical community. SIAM publishes this series to ensure that the information presented in these texts is not lost to today’s students and researchers. Editor-in-Chief Robert E. O’Malley, Jr., University of Washington Editorial Board John Boyd, University of Michigan Leah Edelstein-Keshet, University of British Columbia William G. Faris, University of Arizona Nicholas J. Higham, University of Manchester Peter Hoff, University of Washington Mark Kot, University of Washington Hilary Ockendon, University of Oxford Peter Olver, University of Minnesota Philip Protter, Cornell University Gerhard Wanner, L’Université de Genève Classics in Applied Mathematics C. C. Lin and L. A. Segel, Mathematics Applied to Deterministic Problems in the Natural Sciences Johan G. F. Belinfante and Bernard Kolman, A Survey of Lie Groups and Lie Algebras with Applications and Computational Methods James M. Ortega, Numerical Analysis: A Second Course Anthony V. Fiacco and Garth P. McCormick, Nonlinear Programming: Sequential Unconstrained Minimization Techniques F. H. Clarke, Optimization and Nonsmooth Analysis George F. Carrier and Carl E. Pearson, Ordinary Differential Equations Leo Breiman, Probability R. Bellman and G. M. Wing, An Introduction to Invariant Imbedding Abraham Berman and Robert J. Plemmons, Nonnegative Matrices in the Mathematical Sciences Olvi L. Mangasarian, Nonlinear Programming *Carl Friedrich Gauss, Theory of the Combination of Observations Least Subject to Errors: Part One, Part Two, Supplement. Translated by G. W. Stewart Richard Bellman, Introduction to Matrix Analysis U. -
Approximation Theorems of Mathematical Statistics
Approximation Theorems of Mathematical Statistics Robert J. Serfling JOHN WILEY & SONS This Page Intentionally Left Blank Approximation Theorems of Mathematical Statistics WILEY SERIES M PROBABILITY AND STATISTICS Established by WALTER A. SHEWHART and SAMUEL S. WILKS Editors: Peter Bloomfield, Noel A. C. Cressie, Nicholas I. Fisher, Iain M.Johnstone, J. B. Kadane, Louise M. Ryan, David W.Scott, Bernard W. Silverman, Adrian F. M. Smith, Jozef L. Teugels; Editors Emeriti: Vic Barnett, Ralph A. Bradley, J. Stuart Hunter, David G. Kendall A complete list of the titles in this series appears at the end of this volume. Approximation Theorems of Mathematical Statistics ROBERT J. SERFLING The Johns Hopkins University A Wiley-lnterscience Publication JOHN WILEY & SONS,INC. This text is printed 011 acid-free paper. @ Copyright Q 1980 by John Wiley & Sons. Inc. All rights reserved. Paperback edition published 2002. Published simultaneously in Canada. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic. mechanical, photocopying, recording, scanning or otherwise, except as pennitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, 222 Rosewood Drive, Danvers. MA 01923. (978) 750-8400. fax (978) 750-4744. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons. Inc.. 605 Third Avenue. New York. NY 10158-0012. (212) 850-601 I, fax (212) 850-6008, E-Mail: PERMREQ @ WILEY.COM. -
Obituary Andrei Nikolaevich Kolmogorov
OBITUARY ANDREI NIKOLAEVICH KOLMOGOROV (1903-1987) A tribute to his memory organised by David Kendall CONTENTS D. G. Kendall: Kolmogorov: the man and his work. 31 G. K. Batchelor: Kolmogorov's work on Turbulence. 47 N. H. Bingham: Kolmogorov's work on Probability, particularly Limit Theorems. 51 W. K. Hayman: Kolmogorov's contribution to Fourier Series. 58 J. M. E. Hyland: Kolmogorov's work in Logic. 61 G. G. Lorentz: Superpositions, Metric Entropy, Complexity of Functions, Widths. 64 H. K. Moffatt: KAM-theory. 71 W. Parry: Entropy in Ergodic Theory - the initial years. 73 A. A. Razborov: Kolmogorov and the Complexity of Algorithms. 79 C. A. Robinson: The work of Kolmogorov on Cohomology. 82 P. Whittle: Kolmogorov's contributions to the Theory of Stationary Processes. 83 ACKNOWLEDGEMENTS. We wish to express our gratitude to those who have helped us in the production of this work. Professor A. N. Shiryaev in his capacity as Kolmogorov's literary executor kindly provided us with an extensive bibliography (here further enlarged and translated into English by E. J. F. Primrose, who also wrote the commentary on it). Professor Shiryaev also gave us the three photographs, and allowed DGK to have access to his definitive biography. Professor Yu. A. Rozanov added several illuminating details to DGK's introductory essay. DGK acknowledges support from the Science and Engineering Research Council. KOLMOGOROV: THE MAN AND HIS WORK D. G. KENDALL The subject of this memoir (ANK in what follows) was born on 25 April 1903 in Tambov during a journey from the Crimea to his mother's home.