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Continuous-Parameter Time Series

by Continuous-Parameter Time Series

$160.71

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Description

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.

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Product Details

  • De Gruyter Brand
  • Jul 22, 2024 Pub Date:
  • 9783111324999 ISBN-13:
  • 3111324990 ISBN-10:
  • English Language
  • 9.61 in * 1.13 in * 6.69 in Dimensions:
  • 2 lb Weight: