Long-range dependence and self-similarity:
This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to long-r...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2017
|
| Schriftenreihe: | Cambridge series on statistical and probabilistic mathematics
45 |
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 Volltext Inhaltsverzeichnis |
| Zusammenfassung: | This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to long-range dependence and self-similarity; central and non-central limit theorems for long-range dependent series, and the limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional Brownian motion; multidimensional models for long-range dependence and self-similarity; and maximum likelihood estimation methods for long-range dependent time series. Designed for graduate students and researchers, each chapter of the book is supplemented by numerous exercises, some designed to test the reader's understanding, while others invite the reader to consider some of the open research problems in the field today |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 25 May 2017) |
| Beschreibung: | 1 online resource (xxiii, 668 pages) |
| ISBN: | 9781139600347 |
| DOI: | 10.1017/CBO9781139600347 |
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Datensatz im Suchindex
| _version_ | 1804177762628403200 |
|---|---|
| adam_text | Titel: Long-range dependence and self-similarity
Autor: Pipiras, Vladas
Jahr: 2017
Contents
List J Abbreviations pagc xv
Notation xvii
Ptvfai v xxi
1 A Briet Oven iev. ot Time Seriös and Stoehastic Proeesses 1
2 Basics of Loni:-Rarige /Xpendenee and Sell-Sirnilanty 15
1 l hvsical MihJcIs t or Long-Ranjze IXpcndence and Scll-Similarity 113
4 llcrmile Proeesses 229
5 Non-Central and (Vniral Limit Theorems 2K2
6 l;raclional Calculus and Integration ol IX icrminislic Luiielioiis wiih
Respccl lo IHM 345
7 Stivhasiic Integration with Respecl lo Iractional Brownian
Molion 347
S Seriös Representation*, ol Lraetional Brownian Motion 437
9 Multidimensional Models 466
10 Maximum Likolihood Lsiinialion Methods 539
A Auxiliary Notions and Results 575
B Integrals vsilh Respecl lo Randtim Mcasures 5KS
( Basics olMallias in Cakulus 602
I) Olhcr Notes and Topies MO
HihUoxraph M3
l Jc 6«
|
| any_adam_object | 1 |
| author | Pipiras, Vladas Taqqu, Murad S. |
| author_facet | Pipiras, Vladas Taqqu, Murad S. |
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| dewey-full | 519.2/3 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2/3 |
| dewey-search | 519.2/3 |
| dewey-sort | 3519.2 13 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1017/CBO9781139600347 |
| format | Electronic eBook |
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| isbn | 9781139600347 |
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| spelling | Pipiras, Vladas Verfasser aut Long-range dependence and self-similarity Vladas Pipiras, University of North Carolina, Chapel Hill, Murad S. Taqqu, Boston University Cambridge Cambridge University Press 2017 1 online resource (xxiii, 668 pages) txt rdacontent c rdamedia cr rdacarrier Cambridge series on statistical and probabilistic mathematics 45 Title from publisher's bibliographic system (viewed on 25 May 2017) This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to long-range dependence and self-similarity; central and non-central limit theorems for long-range dependent series, and the limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional Brownian motion; multidimensional models for long-range dependence and self-similarity; and maximum likelihood estimation methods for long-range dependent time series. Designed for graduate students and researchers, each chapter of the book is supplemented by numerous exercises, some designed to test the reader's understanding, while others invite the reader to consider some of the open research problems in the field today Self-similar processes Time-series analysis Gaussian processes Gauß-Prozess (DE-588)4156111-9 gnd rswk-swf Selbstähnlichkeit (DE-588)4286650-9 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Selbstähnlichkeit (DE-588)4286650-9 s Zeitreihenanalyse (DE-588)4067486-1 s Gauß-Prozess (DE-588)4156111-9 s 1\p DE-604 Taqqu, Murad S. Verfasser aut Erscheint auch als Druck-Ausgabe, hardback 978-1-107-03946-9 https://doi.org/10.1017/CBO9781139600347 Verlag URL des Erstveröffentlichers Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029849241&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Pipiras, Vladas Taqqu, Murad S. Long-range dependence and self-similarity Self-similar processes Time-series analysis Gaussian processes Gauß-Prozess (DE-588)4156111-9 gnd Selbstähnlichkeit (DE-588)4286650-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4156111-9 (DE-588)4286650-9 (DE-588)4067486-1 |
| title | Long-range dependence and self-similarity |
| title_auth | Long-range dependence and self-similarity |
| title_exact_search | Long-range dependence and self-similarity |
| title_full | Long-range dependence and self-similarity Vladas Pipiras, University of North Carolina, Chapel Hill, Murad S. Taqqu, Boston University |
| title_fullStr | Long-range dependence and self-similarity Vladas Pipiras, University of North Carolina, Chapel Hill, Murad S. Taqqu, Boston University |
| title_full_unstemmed | Long-range dependence and self-similarity Vladas Pipiras, University of North Carolina, Chapel Hill, Murad S. Taqqu, Boston University |
| title_short | Long-range dependence and self-similarity |
| title_sort | long range dependence and self similarity |
| topic | Self-similar processes Time-series analysis Gaussian processes Gauß-Prozess (DE-588)4156111-9 gnd Selbstähnlichkeit (DE-588)4286650-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Self-similar processes Time-series analysis Gaussian processes Gauß-Prozess Selbstähnlichkeit Zeitreihenanalyse |
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