Name: Continuous-Parameter Time Series
Price: 150.61 EUR
Availability: InStock
Author: Brockwell, Peter J. ; Lindner, Alexander M.
ISBN: 9783111324999

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portada Continuous-Parameter Time Series

Type

Physical Book

Author

Peter J. Brockwell

Alexander M. Lindner

Publisher

de Gruyter

Language

English

Pages

560

Format

Hardcover

ISBN13

9783111324999

Synopsis "Continuous-Parameter Time Series"

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.

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Continuous-Parameter Time Series - Brockwell, Peter J. ; Lindner, Alexander M.

Synopsis "Continuous-Parameter Time Series"

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