Umfang:
1 Online-Ressource (22, 500 Seiten)
,
23 Illustrationen
ISBN:
9783111325033
Serie:
De Gruyter Studies in Mathematics 98
Inhalt:
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
Anmerkung:
In English
Weitere Ausg.:
ISBN 9783111324999
Weitere Ausg.:
Erscheint auch als Druck-Ausgabe Brockwell, Peter J., 1937 - 2023 Continuous-parameter time series Berlin : De Gruyter, 2024 ISBN 9783111324999
Weitere Ausg.:
ISBN 3111324990
Sprache:
Englisch
Fachgebiete:
Mathematik
Schlagwort(e):
Stochastik
;
Zeitreihenanalyse
;
Stochastischer Prozess
;
Lévy-Prozess
;
Deterministisches System
;
Stochastik
DOI:
10.1515/9783111325033
