Continuous-Parameter Time Series - Peter J. Brockwell,Alexander M. Lindner
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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 theo ... Full description
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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.
More Information
| Author | Peter J. Brockwell, Alexander M. Lindner |
|---|---|
| Publisher | Verlag Max Niemeyer |
| Release year | 2024 |
| Cover type | Hardcover |
| EAN | 9783111324999 |