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Continuous-Parameter Time Series by Peter J. Brockwell

Continuous-Parameter Time Series

by Peter J. Brockwell , Alexander M. Lindner
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Book cover type: Hardcover
  • ISBN13: 9783111324999
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: de Gruyter
  • Publisher Imprint: de Gruyter
  • Publication Date:
  • Pages: 522
  • Original Price: USD 147.99
  • Language: English
  • Edition: N/A
  • Item Weight: 1026 grams
  • BISAC Subject(s): Probability & Statistics / General

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.

Peter J. Brockwell, Colorado State University, USA; Alexander M. Lindner, Ulm University, Germany.

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