Long-memory processes probabilistic properties and statistical methods Jan Beran [and others]

Format:

Book

Contributor:

Beran, Jan

Language:

English

Subjects (All):

Time-series analysis.

Time-series analysis--Mathematical models.

Mathematical statistics.

Probabilities.

Probability.

statistics.

probability.

Medical Subjects:

Probability.

Physical Description:

1 online resource

Place of Publication:

Berlin New York Springer ©2013

Language Note:

English

System Details:

text file

PDF

Summary:

Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant

Contents:

Definition of Long Memory Origins and Generation of Long Memory Mathematical Concepts Limit Theorems Statistical Inference for Stationary Processes Statistical Inference for Nonlinear Processes Statistical Inference for Nonstationary Processes Forecasting Spatial and Space-Time Processes Resampling

Notes:

Includes bibliographical references and index

ISBN:

9783642355127

3642355129

OCLC:

844175527

Access Restriction:

Restricted for use by site license