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Continuous-Parameter Time Series

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  • Continuous-Parameter Time Series on Hardback by Peter J Brockwell
  • Continuous-Parameter Time Series on Hardback by Peter J Brockwell
$387.00
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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. L�vy-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 L�vy 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.

Author Biography:

Peter J. Brockwell, Colorado State University, USA; Alexander M. Lindner, Ulm University, Germany.
Release date NZ
August 5th, 2024
Audience
  • General (US: Trade)
Illustrations
23 Illustrations, black and white
Pages
560
ISBN-13
9783111324999
Product ID
38747609

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