Long-Memory Processes
Probabilistic Properties and Statistical Methods
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Beschreibung
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.
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.
Provides a comprehensive, in-depth and up-to-date review of available results in probability and statistical inference for long-memory and related processes Thoroughly addresses both theory and practice Proofs of the main theorems are provided and data examples are used to illustrate practical aspects Includes detailed discussions of a large variety of statistical and probabilistic techniques? Includes supplementary material: sn.pub/extras
Autor*in
Jan Beran
Themen in »Long-Memory Processes«
62Mxx, 62M09, 62M10, 60G18, 60G22, 60G52, 60G60, 91B84 asymptotic theory fractal processes long-memory processes statistical applications time series analysis/spatial processes/space-time processes
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From the book reviews:
“This encyclopaedic book covers almost the whole literature on univariate and multivariate long-range dependent (LRD) processes, or long-memory processes or strongly dependent processes. … This volume is then of strong interest for both researchers and teachers familiar with the topic, as it gives an overall, structured and balanced picture of the current state of the art. Readers less familiar with the topic will easily find their way in the vast literature on this issue, and will have their curiosity satisfied.” (Gilles Teyssière, Mathematical Reviews, October, 2014)
“This book aims to cover probabilistic and statistical aspects of long-memory processes in as much detail as possible, including a broad range of topics. The authors did an excellent job to reach their goals, and the book would be a must for researchers interested in long-memory processes and practioners on time series and data analysis. … the book is an excellent choice for anyone whois working in fields related to long-memory processes with many update information and research topics.” (Weiping Li, zbMATH, Vol. 1282, 2014)()