Stochastic Processes And Long Range Dependence
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Long Range Dependence
Author | : Gennady Samorodnitsky |
Publsiher | : Now Publishers Inc |
Total Pages | : 109 |
Release | : 2007 |
Genre | : Mathematics |
ISBN | : 9781601980908 |
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Long Range Dependence is a wide ranging survey of the ideas, models and techniques associated with the notion of long memory. It will serve as an invaluable reference source for researchers studying long range dependence, for those building long memory models, and for people who are trying to detect the possible presence of long memory in data.
Stochastic Processes and Long Range Dependence
Author | : Gennady Samorodnitsky |
Publsiher | : Springer |
Total Pages | : 415 |
Release | : 2016-11-09 |
Genre | : Mathematics |
ISBN | : 9783319455754 |
Download Stochastic Processes and Long Range Dependence Book in PDF, Epub and Kindle
This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or absence of long memory. The first few chapters serve as an overview of the general theory of stochastic processes which gives the reader sufficient background, language, and models for the subsequent discussion of long memory. The later chapters devoted to long memory begin with an introduction to the subject along with a brief history of its development, followed by a presentation of what is currently the best known approach, applicable to stationary processes with a finite second moment. The book concludes with a chapter devoted to the author’s own, less standard, point of view of long memory as a phase transition, and even includes some novel results. Most of the material in the book has not previously been published in a single self-contained volume, and can be used for a one- or two-semester graduate topics course. It is complete with helpful exercises and an appendix which describes a number of notions and results belonging to the topics used frequently throughout the book, such as topological groups and an overview of the Karamata theorems on regularly varying functions.
Theory and Applications of Long Range Dependence
Author | : Paul Doukhan,George Oppenheim,Murad Taqqu |
Publsiher | : Springer Science & Business Media |
Total Pages | : 744 |
Release | : 2002-12-13 |
Genre | : Mathematics |
ISBN | : 0817641688 |
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The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for long-range dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade," there will be a special section called "Mathematical Techniques." Topics in the first part of the book are covered from probabilistic and statistical perspectives and include fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, prediction for long-range dependence sequences. The reader is referred to more detailed proofs if already found in the literature. The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology. Diagrams and illustrations enhance the presentation. Each article begins with introductory background material and is accessible to mathematicians, a variety of practitioners, and graduate students. The work serves as a state-of-the art reference or graduate seminar text.
Long Range Dependence and Self Similarity
Author | : Vladas Pipiras,Murad S. Taqqu |
Publsiher | : Cambridge University Press |
Total Pages | : 693 |
Release | : 2017-04-18 |
Genre | : Business & Economics |
ISBN | : 9781107039469 |
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A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Dependence in Probability and Statistics
Author | : Murad Taqqu,Eberlein |
Publsiher | : Springer-Verlag |
Total Pages | : 468 |
Release | : 2019-06-12 |
Genre | : Mathematics |
ISBN | : 9781461581628 |
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Processes with Long Range Correlations
Author | : Govindan Rangarajan,Mingzhou Ding |
Publsiher | : Springer |
Total Pages | : 406 |
Release | : 2008-01-11 |
Genre | : Medical |
ISBN | : 9783540448327 |
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Processes with long range correlations occur in a wide variety of fields ranging from physics and biology to economics and finance. This book, suitable for both graduate students and specialists, brings the reader up to date on this rapidly developing field. A distinguished group of experts have been brought together to provide a comprehensive and well-balanced account of basic notions and recent developments. The book is divided into two parts. The first part deals with theoretical developments in the area. The second part comprises chapters dealing primarily with three major areas of application: anomalous diffusion, economics and finance, and biology (especially neuroscience).
Stationary Stochastic Processes
Author | : Georg Lindgren |
Publsiher | : CRC Press |
Total Pages | : 378 |
Release | : 2012-10-01 |
Genre | : Mathematics |
ISBN | : 9781466557796 |
Download Stationary Stochastic Processes Book in PDF, Epub and Kindle
Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes. Features Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability Motivates mathematical theory from a statistical model-building viewpoint Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes Provides more than 100 exercises with hints to solutions and selected full solutions This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.
Fourier Analysis and Stochastic Processes
Author | : Pierre Brémaud |
Publsiher | : Springer |
Total Pages | : 385 |
Release | : 2014-09-16 |
Genre | : Mathematics |
ISBN | : 9783319095905 |
Download Fourier Analysis and Stochastic Processes Book in PDF, Epub and Kindle
This work is unique as it provides a uniform treatment of the Fourier theories of functions (Fourier transforms and series, z-transforms), finite measures (characteristic functions, convergence in distribution), and stochastic processes (including arma series and point processes). It emphasises the links between these three themes. The chapter on the Fourier theory of point processes and signals structured by point processes is a novel addition to the literature on Fourier analysis of stochastic processes. It also connects the theory with recent lines of research such as biological spike signals and ultrawide-band communications. Although the treatment is mathematically rigorous, the convivial style makes the book accessible to a large audience. In particular, it will be interesting to anyone working in electrical engineering and communications, biology (point process signals) and econometrics (arma models). Each chapter has an exercise section, which makes Fourier Analysis and Stochastic Processes suitable for a graduate course in applied mathematics, as well as for self-study.