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Theory and applications of long-range dependence
The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic ques...
| Autres auteurs : | , , |
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| Format : | Livre |
| Langue : | anglais |
| Titre complet : | Theory and applications of long-range dependence / Paul Doukhan, George Oppenheim, Murad S. Taqqu, editors |
| Publié : |
Boston, Basel, Berlin :
Birkhäuser
, copyright 2003 |
| Description matérielle : | 1 vol. (X-719 p.) |
| Sujets : |
| Résumé : | The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for longrange dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade", there will be a special section called "Mathematical Techniques". The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology |
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| Bibliographie : | Réf. bibliogr. en fin de chap. |
| ISBN : | 0-8176-4168-8 3-7643-4168-8 |