Stochastic Processes and Long Range Dependence
This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or abse...
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| Format: | eBook |
| Language: | English |
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Cham
Springer International Publishing
2016, 2016
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| Edition: | 1st ed. 2016 |
| Series: | Springer Series in Operations Research and Financial Engineering
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Preface
- Stationary Processes
- Ergodic Theory of Stationary Processes
- Infinitely Divisible Processes
- Heavy Tails
- Hurst Phenomenon
- Second-order Theory
- Fractionally Integrated Processes
- Self-similar Processes
- Long Range Dependence as a Phase Transition
- Appendix