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25 Remote Warehouse Mathematics- Probability and Statistics

Long-Memory Processes: Probabilistic Properties and Statistical Methods

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Long-Memory Processes: Probabilistic Properties and Statistical Methods Cover

 

Synopses & Reviews

Publisher Comments:

Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.

Synopsis:

This detailed review of long memory processes includes a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Includes proofs and data examples.

About the Author

Jan Beran is a Professor of Statistics at the University of Konstanz (Department of Mathematics and Statistics). After completing his PhD in Mathematics at the ETH Zurich, he worked at several U.S. universities and the University of Zurich. He has a broad range of interests, from long-memory processes and asymptotic theory to applications in finance, biology and musicology. Yuanhua Feng is a Professor of Econometrics at the University of Paderborn's Department of Economics. He previously worked at the Heriot-Watt University, UK, after completing his PhD and postdoctoral studies at the University of Konstanz. His research interests include financial econometrics, time series and semiparametric modeling. Sucharita Ghosh (M.Stat. Indian Statistical Institute; PhD Univ. Toronto) is a statistician at the Swiss Federal Research Institute WSL. She has taught at the University of Toronto, UNC Chapel Hill, Cornell University, the University of Konstanz, University of York and the ETH Zurich. Her research interests include space-time processes, nonparametric curve estimation and empirical transforms. Rafal Kulik is an Associate Professor at the University of Ottawa's Department of Mathematics and Statistics. He has previously taught at the University of Wroclaw, University of Ulm and University of Sydney. His research interests include limit theorems for weakly and strongly dependent random variables, time series analysis and heavy-tailed phenomena, with applications in finance.

Table of Contents

Definition of Long Memory.- Origins and Generation of Long Memory.- Mathematical Concepts.- Limit Theorems.- Statistical Inference for Stationary Processes.- Statistical Inference for Nonlinear Processes.- Statistical Inference for Nonstationary Processes.- Forecasting.- Spatial and Space-Time Processes.- Resampling.- Function Spaces.- Regularly Varying Functions.- Vague Convergence.- Some Useful Integrals.- Notation and Abbreviations.

Product Details

ISBN:
9783642355110
Author:
Beran, Jan
Publisher:
Springer
Author:
Feng, Yuanhua
Author:
Kulik, Rafal
Author:
Ghosh, Sucharita
Location:
Berlin, Heidelberg
Subject:
Statistics
Subject:
Asymptotic theory
Subject:
fractal processes
Subject:
long-memory processes
Subject:
Statistical Applications
Subject:
time series analysis/spatial processes/space-time processes
Subject:
Statistical Theory and Methods
Subject:
Probability Theory and Stochastic Processes
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences
Subject:
Statistics for Life Sciences, Medicine, Health Sciences
Subject:
Mathematics | Probability and Statistics
Subject:
62Mxx, 62M09, 62M10, 60G18, 60G22, 60G52, 60G60, 91B84
Subject:
B
Subject:
mathematics and statistics
Subject:
Mathematical statistics
Subject:
Distribution (Probability theory)
Subject:
Economics_xStatistics
Copyright:
Edition Description:
2013
Publication Date:
20130131
Binding:
HARDCOVER
Language:
English
Pages:
900
Dimensions:
235 x 155 mm

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Long-Memory Processes: Probabilistic Properties and Statistical Methods New Hardcover
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Product details 900 pages Springer - English 9783642355110 Reviews:
"Synopsis" by , This detailed review of long memory processes includes a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Includes proofs and data examples.
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