Heavy-Tail Phenomena

This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models.Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.

place on personal bookshelves of many applied probabilists." (Ilya S. Molchanov, Mathematical Reviews, Issue 2008 j)"‘This is a survey of the mathematical, probabilistic and statistical tools used in heavy-tail analysis as well as some examples of their use.’ … This book could be used very conveniently for a Masters-level course in point processes or regular variation; theoretical concepts are introduced in a pedagogical way, and several exercises accompany each chapter. Researchers in applied probability or statistics will also benefit from reading this book. It cleverly mixes probabilistic modeling and statistical methodology with powerful mathematical tools." (Anne-Laure Fougéres and Philippe Soulier, SIAM Review, Vol. 50 (2), 2008)“This book does the job of presenting the general problematic and providing tools for solving the study of the related models, successfully. … Altogether the book has 11 chapters and a series of illustrative examples coming from real life, which are discussed, and a list of exercises are proposed in each chapter. The book will certainly be useful for mathematicians, engineers, economists, and other specialists coping with heavy-tailed problems.” (C. Bouza, Journal of the Operational Research Society, Vol. 61 (12), 2010)