High Variability and Long-range Dependence
Author: Joshua Bennett Levy
Publisher:
Published: 1983
Total Pages: 456
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: Joshua Bennett Levy
Publisher:
Published: 1983
Total Pages: 456
ISBN-13:
DOWNLOAD EBOOKAuthor: Paul Doukhan
Publisher: Springer Science & Business Media
Published: 2002-12-13
Total Pages: 744
ISBN-13: 9780817641689
DOWNLOAD EBOOKThe area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for long-range dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade," there will be a special section called "Mathematical Techniques." Topics in the first part of the book are covered from probabilistic and statistical perspectives and include fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, prediction for long-range dependence sequences. The reader is referred to more detailed proofs if already found in the literature. The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology. Diagrams and illustrations enhance the presentation. Each article begins with introductory background material and is accessible to mathematicians, a variety of practitioners, and graduate students. The work serves as a state-of-the art reference or graduate seminar text.
Author: Vladas Pipiras
Publisher: Cambridge University Press
Published: 2017-04-18
Total Pages: 693
ISBN-13: 1107039460
DOWNLOAD EBOOKA modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Author: Eberlein
Publisher: Birkhäuser
Published: 1986
Total Pages: 496
ISBN-13:
DOWNLOAD EBOOKAuthor: Ming Li
Publisher: Frontiers Media SA
Published: 2022-12-05
Total Pages: 160
ISBN-13: 2832508502
DOWNLOAD EBOOKAuthor: Jan Beran
Publisher: Routledge
Published: 2017-11-22
Total Pages: 315
ISBN-13: 1351414119
DOWNLOAD EBOOKStatistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context. Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.
Author: Christian Houdre
Publisher: CRC Press
Published: 1994-04-05
Total Pages: 396
ISBN-13: 9780849380723
DOWNLOAD EBOOKThe study of chaos expansions and multiple Wiener-Ito integrals has become a field of considerable interest in applied and theoretical areas of probability, stochastic processes, mathematical physics, and statistics. Divided into four parts, this book features a wide selection of surveys and recent developments on these subjects. Part 1 introduces the concepts, techniques, and applications of multiple Wiener-Ito and related integrals. The second part includes papers on chaos random variables appearing in many limiting theorems. Part 3 is devoted to mixing, zero-one laws, and path continuity properties of chaos processes. The final part presents several applications to stochastic analysis.
Author: Avner Friedman
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 198
ISBN-13: 146121730X
DOWNLOAD EBOOKThis is the tenth volume in the series "Mathematics in Industrial Prob lems. " The motivation for these volumes is to foster interaction between Industry and Mathematics at the "grass roots level;" that is, at the level of specific problems. These problems come from Industry: they arise from models developed by the industrial scientists in ventures directed at the manufacture of new or improved products. At the same time, these prob lems have the potential for mathematical challenge and novelty. To identify such problems, I have visited industries and had discussions with their scientists. Some of the scientists have subsequently presented their problems in the IMA Seminar on Industrial Problems. The book is based on the seminar presentations and on questions raised in subse quent discussions. Each chapter is devoted to one of the talks and is self contained. The chapters usually provide references to the mathematical literature and a list of open problems which are of interest to the industrial scientists. For some problems a partial solution is indicated briefly. The last chapter of the book contains a short description of solutions to some of the problems raised in the previous volume, as well as references to papers in which such solutions have been published. The speakers in the Seminar on Industrial Problems have given us at the IMA hours of delight and discovery.
Author: Sidney I. Resnick
Publisher: Springer Science & Business Media
Published: 2007
Total Pages: 412
ISBN-13: 0387242724
DOWNLOAD EBOOKThis comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.
Author: Jyotiprasad Medhi
Publisher: Elsevier
Published: 2002-11-06
Total Pages: 501
ISBN-13: 008054181X
DOWNLOAD EBOOKThis is a graduate level textbook that covers the fundamental topics in queuing theory. The book has a broad coverage of methods to calculate important probabilities, and gives attention to proving the general theorems. It includes many recent topics, such as server-vacation models, diffusion approximations and optimal operating policies, and more about bulk-arrival and bull-service models than other general texts. Current, clear and comprehensive coverage A wealth of interesting and relevant examples and exercises to reinforce concepts Reference lists provided after each chapter for further investigation