Statistics and Data Analysis for Financial Engineering
DOI10.1007/978-1-4419-7787-8zbMATH Open1281.62012OpenAlexW1559535630MaRDI QIDQ3060352FDOQ3060352
Authors: David Ruppert 
Publication date: 3 December 2010
Published in: Springer Texts in Statistics (Search for Journal in Brave)
Full work available at URL: https://zenodo.org/record/4461769
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06)
Cited In (21)
- R package for statistical inference in dynamical systems using kernel based gradient matching: KGode
- Time series factor models
- Statistical inference for financial engineering
- MCMC calibration of spot-prices models in electricity markets
- Stability and fluctuations in a simple model of phonetic category change
- Statistical analysis of financial data. With examples in R
- Mean-variance efficiency of optimal power and logarithmic utility portfolios
- Berry–Esséen theorem for sample quantiles of asymptotically uncorrelated non reversible Markov chains
- A new test to detect monotonic and non-monotonic types of heteroscedasticity
- Fitting financial returns distributions: a mixture normality approach
- Functional prediction of intraday cumulative returns
- A new variability order based on tail-heaviness
- Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula
- Identification of stochastic timed discrete event systems with st-IPN
- Title not available (Why is that?)
- Distributionally robust optimization with correlated data from vector autoregressive processes
- Statistics and Data Analysis for Financial Engineering
- Data-driven projection pursuit adaptation of polynomial chaos expansions for dependent high-dimensional parameters
- The generalized double Lomax distribution with applications
- Testing variability orderings by using Gini's mean differences
- Memory properties of transformations of linear processes
Uses Software
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