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.
€134.95
O autorze
Peter J. Brockwell, Colorado State University, USA;
Alexander M. Lindner, Ulm University, Germany.
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Język Angielski ● Format EPUB ● Strony 522 ● ISBN 9783111325200 ● Rozmiar pliku 80.5 MB ● Wydawca De Gruyter ● Miasto Berlin/Boston ● Opublikowany 2024 ● Ydanie 1 ● Do pobrania 24 miesięcy ● Waluta EUR ● ID 9477501 ● Ochrona przed kopiowaniem Adobe DRM
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