(2002). Modelling Extremal Events for Insurance and Finance. Journal of the American Statistical Association: Vol. 97, No. 457, pp. 360-360.

Modelling Extremal Events for Insurance and Finance

Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.

Statistics of Extremes: Theory and Applications

Concentration inequalities for functions of independent random variables is an area of probability theory that has witnessed a great revolution in the last few decades, and has applications in a wide variety of areas such as machine learning, statistics, discrete mathematics, and high-dimensional geometry. Roughly speaking, if a function of many independent random variables does not depend too much on any of the variables then it is concentrated in the sense that with high probability, it is close to its expected value. This book offers a host of inequalities to illustrate this rich theory in an accessible way by covering the key developments and applications in the field. The authors describe the interplay between the probabilistic structure (independence) and a variety of tools ranging from functional inequalities to transportation arguments to information theory. Applications to the study of empirical processes, random projections, random matrix theory, and threshold phenomena are also presented. A self-contained introduction to concentration inequalities, it includes a survey of concentration of sums of independent random variables, variance bounds, the entropy method, and the transportation method. Deep connections with isoperimetric problems are revealed whilst special attention is paid to applications to the supremum of empirical processes. Written by leading experts in the field and containing extensive exercise sections this book will be an invaluable resource for researchers and graduate students in mathematics, theoretical computer science, and engineering.

Concentration inequalities : a non asymptotic theory of independence

This rigorous introduction to network science presents random graphs as models for real-world networks. Such networks have distinctive empirical properties and a wealth of new models have emerged to capture them. Classroom tested for over ten years, this text places recent advances in a unified framework to enable systematic study. Designed for a master's-level course, where students may only have a basic background in probability, the text covers such important preliminaries as convergence of random variables, probabilistic bounds, coupling, martingales, and branching processes. Building on this base - and motivated by many examples of real-world networks, including the Internet, collaboration networks, and the World Wide Web - it focuses on several important models for complex networks and investigates key properties, such as the connectivity of nodes. Numerous exercises allow students to develop intuition and experience in working with the models.

/pdf/random-graphs-and-complex-networks-2ht4nfa9l0.pdf

Random Graphs and Complex Networks

A number of recent empirical studies of traffic measurements from a variety of working packet networks have convincingly demonstrated that actual network traffic is self-similar or long-range dependent in nature (i.e., bursty over a wide range of time scales) - in sharp contrast to commonly made traffic modeling assumptions. In this paper, we provide a plausible physical explanation for the occurrence of self-similarity in high-speed network traffic. Our explanation is based on convergence results for processes that exhibit high variability (i.e., infinite variance) and is supported by detailed statistical analyses of real-time traffic measurements from Ethernet LAN's at the level of individual sources.Our key mathematical result states that the superposition of many ON/OFF sources (also known as packet trains) whose ON-periods and OFF-periods exhibit the Noah Effect (i.e., have high variability or infinite variance) produces aggregate network traffic that features the Joseph Effect (i.e., is self-similar or long-range dependent). There is, moreover, a simple relation between the parameters describing the intensities of the Noah Effect (high variability) and the Joseph Effect (self-similarity). An extensive statistical analysis of two sets of high time-resolution traffic measurements from two Ethernet LAN's (involving a few hundred active source-destination pairs) confirms that the data at the level of individual sources or source-destination pairs are consistent with the Noah Effect. We also discuss implications of this simple physical explanation for the presence of self-similar traffic patterns in modern high-speed network traffic for (i) parsimonious traffic modeling (ii) efficient synthetic generation of realistic traffic patterns, and (iii) relevant network performance and protocol analysis.

Self-similarity through high-variability: statistical analysis of ethernet LAN traffic at the source level

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