Probabilistic and Statistical Modeling of Complex Systems Exhibiting Long Range Dependence and Heavy Tails
Abstract
We and our students conducted a research program in probability and statistics about applications of non-standard stochastic models, emphasizing their large deviations, extreme values and dependence properties. We focussed on structural and distributional properties that explain important relationships and consequences. We emphasized realistic settings by often testing models with data. The applications areas covered complex networks of various types including data networks and explored reliability issue involving estimation, risk analysis and financial control. Our models were typically non-Gaussian, often driven by Poisson or Levy noises, and often possessed heavy tails and/or long range dependence; often models exhibited unusual fractal and scaling behavior.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 2010
- Accession Number
- ADA533576
Entities
People
- Gennady Samorodnitsky
- S. I. Resnick
Organizations
- Cornell University