Intermediate Probability

A Computational Approach

By: Marc S. Paolella

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Hardcover | 26 September 2007 | Edition Number 1

At a Glance

Hardcover
432 Pages

Dimensions(cm)
24.73 x 17.54 x 2.97

Hardcover

RRP $276.05

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Intermediate Probability is the natural extension of the author's Fundamental Probability. It details several highly important topics, from standard ones such as order statistics, multivariate normal, and convergence concepts, to more advanced ones which are usually not addressed at this mathematical level, or have never previously appeared in textbook form. The author adopts a computational approach throughout, allowing the reader to directly implement the methods, thus greatly enhancing the learning experience and clearly illustrating the applicability, strengths, and weaknesses of the theory. <p> The book: <ul> <li>Places great emphasis on the numeric computation of convolutions of random variables, via numeric integration, inversion theorems, fast Fourier transforms, saddlepoint approximations, and simulation. <li>Provides introductory material to required mathematical topics such as complex numbers, Laplace and Fourier transforms, matrix algebra, confluent hypergeometric functions, digamma functions, and Bessel functions. <li>Presents full derivation and numerous computational methods of the stable Paretian and the singly and doubly non-central distributions. <li>A whole chapter is dedicated to mean-variance mixtures, NIG, GIG, generalized hyperbolic and numerous related distributions. <li>A whole chapter is dedicated to nesting, generalizing, and asymmetric extensions of popular distributions, as have become popular in empirical finance and other applications. <li>Provides all essential programming code in Matlab and R. </ul> <p> The user-friendly style of writing and attention to detail means that self-study is easily possible, making the book ideal for senior undergraduate and graduate students of mathematics, statistics, econometrics, finance, insurance, and computer science, as well as researchers and professional statisticians working in these fields.

Industry Reviews

"I thoroughly enjoyed Intermediate Probability. I was so thrilled with it that I have shared it with some of my colleagues. They have called it a 'gold mine' of problems and resources, and describing it as 'amazing.' ... I highly recommend it." (Journal of the American Statistical Association, September 2009)

"The reader-friendly style of the text itself would make the book appropriate for self-study or classroom adoption." (MAA Reviews, December 2007)

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