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Continuous-Parameter Time Series

Name: Continuous-Parameter Time Series
Brand: de Gruyter
SKU: 9783111324999
Price: 154.99 USD
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Contributors:

Peter J. Brockwell, Alexander M. Lindner

Publisher:

de Gruyter

Binding:

Hardcover

Book Category:

Mathematics

Book Subcategory:

Probability & Statistics, Applied

Series:

de Gruyter Studies in Mathematics #98

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Release Date:

2024-07-22

ISBN 13:

9783111324999

Weight:

2.26 lbs

Size:

9.61 x 6.69 x 1.13 inches

Pages:

522

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product description

Description

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. L?vy-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 L?vy 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.

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

Continuous-Parameter Time Series

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