Continuous-Parameter Time Series | Buch - ankabu

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Sprache: Englisch

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Beschreibung

This book provides a self-contained account of continuous-parameter time series, starting with second-order models. Integration with respect to orthogonal increment processes, spectral theory and linear prediction are treated in detail. Lévy-driven models are incorporated, extending coverage to allow for infinite variance, a variety of marginal distributions and sample paths having jumps. The necessary theory of Lévy processes and integration of deterministic functions with respect to these processes is developed at length. Special emphasis is given to the analysis of continuous-time ARMA processes.

This book provides a self-contained account of continuous-parameter time series, starting with second-order models. Integration with respect to orthogonal increment processes, spectral theory and linear prediction are treated in detail. Lévy-driven models are incorporated, extending coverage to allow for infinite variance, a variety of marginal distributions and sample paths having jumps. The necessary theory of Lévy processes and integration of deterministic functions with respect to these processes is developed at length. Special emphasis is given to the analysis of continuous-time ARMA processes.

Zusammenfassung

Peter J. Brockwell, Colorado State University, USA; Alexander M. Lindner, Ulm University, Germany.

Details

Erscheinungsjahr:	2024
Genre:	Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Inhalt:	XXII 500 S. 23 s/w Illustr.
ISBN-13:	9783111324999
ISBN-10:	3111324990
Sprache:	Englisch
Einband:	Gebunden
Autor:	Brockwell, Peter J. Lindner, Alexander M.
Hersteller:	De Gruyter
Verantwortliche Person für die EU:	Walter de Gruyter GmbH, De Gruyter GmbH, Genthiner Str. 13, D-10785 Berlin, productsafety@degruyterbrill.com
Abbildungen:	23 b/w ill.
Maße:	240 x 170 x 15 mm
Von/Mit:	Peter J. Brockwell (u. a.)
Erscheinungsdatum:	22.07.2024
Gewicht:	0,666 kg

Artikel-ID: 128723280

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