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Cover: 9781107039469 | Long-Range Dependence and Self-Similarity | Murad S. Taqqu | Buch
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Long-Range Dependence and Self-Similarity
Buch von Murad S. Taqqu
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor
Vladas Pipiras is Professor of Statistics and Operations Research at the University of North Carolina, Chapel Hill. His research focuses on stochastic processes exhibiting long-range dependence, self-similarity, and other scaling phenomena, as well as on stable, extreme-value and other distributions possessing heavy tails. His other current interests include high-dimensional time series, sampling issues for 'big data', and stochastic dynamical systems, with applications in econometrics, neuroscience, engineering, computer science, and other areas. He has written over fifty research papers and is coauthor of A Basic Course in Measure and Probability: Theory for Applications (with Ross Leadbetter and Stamatis Cambanis, Cambridge, 2014)
Inhaltsverzeichnis
List of abbreviations; Notation; Preface; 1. A brief overview of times series and stochastic processes; 2. Basics of long-range dependence and self-similarity; 3. Physical models for long-range dependence and self-similarity; 4. Hermite processes; 5. Non-central and central limit theorems; 6. Fractional calculus and integration of deterministic functions with respect to FBM; 7. Stochastic integration with respect to fractional Brownian motion; 8. Series representations of fractional Brownian motion; 9. Multidimensional models; 10. Maximum likelihood estimation methods; Appendix A. Auxiliary notions and results; Appendix B. Integrals with respect to random measures; Appendix C. Basics of Malliavin calculus; Appendix D. Other notes and topics; Bibliography; Index.
Details
Erscheinungsjahr: 2019
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Inhalt: Gebunden
ISBN-13: 9781107039469
ISBN-10: 1107039460
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Taqqu, Murad S.
Hersteller: Cambridge University Press
Maße: 260 x 183 x 41 mm
Von/Mit: Murad S. Taqqu
Erscheinungsdatum: 06.03.2019
Gewicht: 1,48 kg
Artikel-ID: 108488496
Über den Autor
Vladas Pipiras is Professor of Statistics and Operations Research at the University of North Carolina, Chapel Hill. His research focuses on stochastic processes exhibiting long-range dependence, self-similarity, and other scaling phenomena, as well as on stable, extreme-value and other distributions possessing heavy tails. His other current interests include high-dimensional time series, sampling issues for 'big data', and stochastic dynamical systems, with applications in econometrics, neuroscience, engineering, computer science, and other areas. He has written over fifty research papers and is coauthor of A Basic Course in Measure and Probability: Theory for Applications (with Ross Leadbetter and Stamatis Cambanis, Cambridge, 2014)
Inhaltsverzeichnis
List of abbreviations; Notation; Preface; 1. A brief overview of times series and stochastic processes; 2. Basics of long-range dependence and self-similarity; 3. Physical models for long-range dependence and self-similarity; 4. Hermite processes; 5. Non-central and central limit theorems; 6. Fractional calculus and integration of deterministic functions with respect to FBM; 7. Stochastic integration with respect to fractional Brownian motion; 8. Series representations of fractional Brownian motion; 9. Multidimensional models; 10. Maximum likelihood estimation methods; Appendix A. Auxiliary notions and results; Appendix B. Integrals with respect to random measures; Appendix C. Basics of Malliavin calculus; Appendix D. Other notes and topics; Bibliography; Index.
Details
Erscheinungsjahr: 2019
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Inhalt: Gebunden
ISBN-13: 9781107039469
ISBN-10: 1107039460
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Taqqu, Murad S.
Hersteller: Cambridge University Press
Maße: 260 x 183 x 41 mm
Von/Mit: Murad S. Taqqu
Erscheinungsdatum: 06.03.2019
Gewicht: 1,48 kg
Artikel-ID: 108488496
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