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 …

Aimed at the general practitioner, A Practical Guide to Heavy Tails is a unique collection of
essays that is concerned primarily with a large number of techniques and approaches for …

Heavy tails–extreme events or values more common than expected–emerge everywhere:
the economy, natural events, and social and information networks are just a few examples …

The purpose of this book is to provide a fairly detailed introduction to the analysis and
applications of heavy-tailed distributions in a number of important problems in economics …

A popular estimator of the index of regular variation in heavy-tailed models is Hill's estimator.
We discuss the consistency of Hill's estimator when it is applied to certain classes of heavy …

Huge data sets from the teletraffic industry exhibit many nonstandard characteristics such as
heavy tails and long range dependence. Various estimation methods for heavy tailed time …

This book is concerned with extreme value theory for stochastic processes whose finite-
dimensional distributions are heavy-tailed in the restrictive sense of regular variation. These …

Distributions with heavier-than-exponential tails are studied for describing empirical
phenomena. It is argued that the concept of increasing “conditional mean exceedance” …

The Handbooks in Finance are intended to be a definitive source for comprehensive and
accessible information in the field of finance. Each individual volume in the series should …

This paper deals with the estimation of the tail index α for empirical heavy-tailed
distributions, such as have been encountered in telecommunication systems. We present a …