Accession Number : ADA613463


Title :   Robust Modeling of Complex Systems with Heavy Tails and Long Memory


Descriptive Note : Final rept. 9 Jul 2010-8 Jul 2013


Corporate Author : CORNELL UNIV ITHACA NY


Personal Author(s) : Resnick, Sidney ; Samorodnitsky, Gennady


Full Text : https://apps.dtic.mil/dtic/tr/fulltext/u2/a613463.pdf


Report Date : 16 Jul 2014


Pagination or Media Count : 12


Abstract : We study non-standard, non-Gaussian stochastic models, emphasizing their large deviations, extreme values, statistical features and dependence properties with applications to several kinds of risk and complex systems. We focus on structural and distributional properties that explain critical relationships and promote realistic fitting of the models to data. Applications areas are complex networks including data networks, reliability estimation, risk analysis and financial control. The models are typically non-Gaussian, often driven by Poisson or Levy noises, may possess heavy tails and/or long range dependence and exhibit unusual fractal and scaling behavior.


Descriptors :   *STOCHASTIC PROCESSES , MATHEMATICAL MODELS , RISK


Subject Categories : Statistics and Probability
      Operations Research


Distribution Statement : APPROVED FOR PUBLIC RELEASE