Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance Tapa dura - 1994 - 1st Edición
de Gennady Samoradnitsky; Shaler Stidham Jr (Editor); M. S. Taqqu
Descripción de contraportada
The familiar Gaussian models do not allow for large deviations and are thus often inadequate for modeling high variability. Non-Gaussian stable models do not possess such limitations. They all share a familiar feature which differentiates them from the Gaussian ones. Their marginal distributions possess heavy "probability tails", always with infinite variance and in some cases with infinite first moment. The aim of this book is to make this exciting material easily accessible to graduate students and practitioners. Assuming only a first-year graduate course in probability, it includes material which has appeared only recently in journals and unpublished materials. Each chapter begins with a brief overview and concludes with a range of exercises at varying levels of difficulty. Proofs are spelled out in detail. The book includes a discussion of self-similar processes, ARMA, and fractional ARIMA time series with stable innovations.
Detalles
- Título Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance
- Autor Gennady Samoradnitsky; Shaler Stidham Jr (Editor); M. S. Taqqu
- Encuadernación Tapa dura
- Número de edición 1st
- Edición 1
- Páginas 632
- Volúmenes 1
- Idioma ENG
- Editorial CRC Press
- Fecha de publicación 1994
- ISBN 9780412051715 / 0412051710
- Peso 2.27 libras (1.03 kg)
- Dimensiones 9.48 x 6.46 x 1.52 pulgadas (24.08 x 16.41 x 3.86 cm)
- Library of Congress subjects Gaussian processes, Gaussian distribution
- Número de catálogo de la Librería del Congreso de EEUU 94013685
- Dewey Decimal Code 519.2
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