Brockwell / Lindner Continuous-Parameter Time Series

1. Auflage 2024
ISBN: 978-3-11-132520-0
Verlag: De Gruyter
Format: EPUB
Kopierschutz: 6 - ePub Watermark

E-Book, Englisch, Band 98, 522 Seiten

Reihe: De Gruyter Studies in Mathematics

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.

Zielgruppe

Institutional libraries, academics, and graduate students interes

Autoren/Hrsg.

Brockwell, Peter J.

Lindner, Alexander M.

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Über Autor(innen)

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