Brownian Motion, the Fredholm Determinant, and Time Series Analysis / Katsuto Tanaka.

Format:

Book

Author/Creator:

Tanaka, Katsuto, 1950- author.

Series:

Institute of Mathematical Statistics monographs ; Number 9.

Institute of Mathematical Statistics Monographs ; Number 9

Language:

English

Subjects (All):

Brownian motion processes.

Fredholm equations.

Time-series analysis.

Physical Description:

1 online resource (x, 341 pages) : digital, PDF file(s).

Edition:

First edition.

Place of Publication:

Cambridge, England : Cambridge University Press, [2025]

Summary:

Brownian motion is an important topic in various applied fields where the analysis of random events is necessary. Introducing Brownian motion from a statistical viewpoint, this detailed text examines the distribution of quadratic plus linear or bilinear functionals of Brownian motion and demonstrates the utility of this approach for time series analysis. It also offers the first comprehensive guide on deriving the Fredholm determinant and the resolvent associated with such statistics. Presuming only a familiarity with standard statistical theory and the basics of stochastic processes, this book brings together a set of important statistical tools in one accessible resource for researchers and graduate students. Readers also benefit from online appendices, which provide probability density graphs and solutions to the chapter problems

Notes:

Title from publisher's bibliographic system (viewed on 19 Dec 2024).

Description based on print version record.

Includes bibliographical references and index.

ISBN:

9781009566971

1009566970

9781009567008

1009567004