Format:
1 Online-Ressource (22, 500 Seiten)
,
23 Illustrationen
ISBN:
9783111325033
Series Statement:
De Gruyter Studies in Mathematics 98
Content:
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
Note:
In English
Additional Edition:
ISBN 9783111324999
Additional Edition:
Erscheint auch als Druck-Ausgabe Brockwell, Peter J., 1937 - 2023 Continuous-parameter time series Berlin : De Gruyter, 2024 ISBN 9783111324999
Additional Edition:
ISBN 3111324990
Language:
English
Subjects:
Mathematics
Keywords:
Stochastik
;
Zeitreihenanalyse
;
Stochastischer Prozess
;
Lévy-Prozess
;
Deterministisches System
;
Stochastik
DOI:
10.1515/9783111325033
