Continuous-Parameter Time Series

Peter J. Brockwell, Alexander M. Lindner (Autoren)

Buch | Hardcover

XXII, 500 Seiten

2024
De Gruyter (Verlag)
978-3-11-132499-9 (ISBN)

Infos

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.

Autor

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

Produkt-Details

• Erscheinungsdatum: 04.07.2024
• Reihe/Serie: De Gruyter Studies in Mathematics ; 98
• Zusatzinfo: 23 b/w ill.
• Verlagsort: Berlin/Boston
• Sprache: englisch
• Maße: 170 x 240 mm
• Gewicht: 988 g
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Schlagworte: CARMA process • CARMA-Prozesse • Continuous parameter • deterministic functions. • Deterministische Funktionen • Hilabert Space • Hilbert Räume • Kontinuierliche Variablen • Lévy process • L´evy processes • L'evy Prozesse • Lineare Vorhersage • linear prediction • Second-order stochastic process • Second order stochastic processes • Stochastische Prozesses • Time Series • Time-Series • Zeitfolgen
• ISBN-10: 3-11-132499-0 / 3111324990
• ISBN-13: 978-3-11-132499-9 / 9783111324999
• Zustand: Neuware