Download or read book Asymptotic Study of Covariance Operator of Fractional Processes written by Dmytro Marushkevych and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eigenproblems frequently arise in theory and applications of stochastic processes, but only a few have explicit solutions. Those which do are usually solved by reduction to the generalized Sturm-Liouville theory for differential operators.The more general eigenproblems are not solvable in closed form and the subject of this thesis is the asymptotic spectral analysis of the fractional Gaussian processes and its applications.In the first part, we develop methodology for the spectral analysis of the fractional type covariance operators, corresponding to an important family of processes that includes the fractional Ornstein-Uhlenbeck process, the integrated fractional Brownian motion and the mixed fractional Brownian motion. We obtain accurate second order asymptotic approximations for both the eigenvalues and the eigenfunctions. In Chapter 2 we consider the covariance eigenproblem for Gaussian bridges. We show how the spectral asymptotics of a bridge can bederived from that of its base process, considering, as an example, the case of the fractional Brownian bridge. In the final part we consider three representative applications of the developed theory: filtering problem of fractional Gaussian signals in white noise, large deviation properties of the maximum likelihood drift parameter estimator for the Ornstein-Uhlenbeck process driven by mixed fractional Brownian motion and small ball probabilities for the fractional Gaussian processes.
Download or read book Asymptotic Methods in the Theory of Gaussian Processes and Fields written by Vladimir I. Piterbarg and published by American Mathematical Soc.. This book was released on 2012-03-28 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to a systematic analysis of asymptotic behavior of distributions of various typical functionals of Gaussian random variables and fields. The text begins with an extended introduction, which explains fundamental ideas and sketches the basic methods fully presented later in the book. Good approximate formulas and sharp estimates of the remainders are obtained for a large class of Gaussian and similar processes. The author devotes special attention to the development of asymptotic analysis methods, emphasizing the method of comparison, the double-sum method and the method of moments. The author has added an extended introduction and has significantly revised the text for this translation, particularly the material on the double-sum method.
Download or read book Statistical Inference for Fractional Diffusion Processes written by B. L. S. Prakasa Rao and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model building, statistical inference for stochastic processes is of great importance from both a theoretical and an applications point of view. This book deals with Fractional Diffusion Processes and statistical inference for such stochastic processes. The main focus of the book is to consider parametric and nonparametric inference problems for fractional diffusion processes when a complete path of the process over a finite interval is observable. Key features: Introduces self-similar processes, fractional Brownian motion and stochastic integration with respect to fractional Brownian motion. Provides a comprehensive review of statistical inference for processes driven by fractional Brownian motion for modelling long range dependence. Presents a study of parametric and nonparametric inference problems for the fractional diffusion process. Discusses the fractional Brownian sheet and infinite dimensional fractional Brownian motion. Includes recent results and developments in the area of statistical inference of fractional diffusion processes. Researchers and students working on the statistics of fractional diffusion processes and applied mathematicians and statisticians involved in stochastic process modelling will benefit from this book.
Download or read book Fractional Deterministic and Stochastic Calculus written by Giacomo Ascione and published by Walter de Gruyter GmbH & Co KG. This book was released on 2023-12-31 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Download or read book Nonlocal and Fractional Operators written by Luisa Beghin and published by Springer Nature. This book was released on 2021-07-23 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this volume is to explore new bridges between different research areas involved in the theory and applications of the fractional calculus. In particular, it collects scientific and original contributions to the development of the theory of nonlocal and fractional operators. Special attention is given to the applications in mathematical physics, as well as in probability. Numerical methods aimed to the solution of problems with fractional differential equations are also treated in the book. The contributions have been presented during the international workshop "Nonlocal and Fractional Operators", held in Sapienza University of Rome, in April 2019, and dedicated to the retirement of Prof. Renato Spigler (University Roma Tre). Therefore we also wish to dedicate this volume to this occasion, in order to celebrate his scientific contributions in the field of numerical analysis and fractional calculus. The book is suitable for mathematicians, physicists and applied scientists interested in the various aspects of fractional calculus.
Download or read book High Dimensional Probability written by Roman Vershynin and published by Cambridge University Press. This book was released on 2018-09-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated package of powerful probabilistic tools and key applications in modern mathematical data science.
Download or read book Time Series Analysis Methods and Applications written by and published by Elsevier. This book was released on 2012-05-18 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. Comprehensively presents the various aspects of statistical methodology Discusses a wide variety of diverse applications and recent developments Contributors are internationally renowened experts in their respective areas
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Download or read book Time Series Analysis Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Download or read book U S Government Research Reports written by and published by . This book was released on 1963 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Foundations of Quantization for Probability Distributions written by Siegfried Graf and published by Springer. This book was released on 2007-05-06 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to the rapidly increasing need for methods of data compression, quantization has become a flourishing field in signal and image processing and information theory. The same techniques are also used in statistics (cluster analysis), pattern recognition, and operations research (optimal location of service centers). The book gives the first mathematically rigorous account of the fundamental theory underlying these applications. The emphasis is on the asymptotics of quantization errors for absolutely continuous and special classes of singular probabilities (surface measures, self-similar measures) presenting some new results for the first time. Written for researchers and graduate students in probability theory the monograph is of potential interest to all people working in the disciplines mentioned above.
Download or read book Time Series Analysis with Long Memory in View written by Uwe Hassler and published by John Wiley & Sons. This book was released on 2018-09-07 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Download or read book Long Range Dependence and Self Similarity written by Vladas Pipiras and published by Cambridge University Press. This book was released on 2017-04-18 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Download or read book Stochastic Process Limits written by Ward Whitt and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "The material is self-contained, but it is technical and a solid foundation in probability and queuing theory is beneficial to prospective readers. [... It] is intended to be accessible to those with less background. This book is a must to researchers and graduate students interested in these areas." ISI Short Book Reviews
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1994 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances in Modelling and Control of Non integer Order Systems written by Krzysztof J. Latawiec and published by Springer. This book was released on 2014-08-16 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents selected aspects of non-integer, or fractional order systems, whose analysis, synthesis and applications have increasingly become a real challenge for various research communities, ranging from science to engineering. The spectrum of applications of the fractional order calculus has incredibly expanded, in fact it would be hard to find a science/engineering-related subject area where the fractional calculus had not been incorporated. The content of the fractional calculus is ranged from pure mathematics to engineering implementations and so is the content of this volume. The volume is subdivided into six parts, reflecting particular aspects of the fractional order calculus. The first part contains a single invited paper on a new formulation of fractional-order descriptor observers for fractional-order descriptor continous LTI systems. The second part provides new elements to the mathematical theory of fractional-order systems. In the third part of this volume, a bunch of new results in approximation, modeling and simulations of fractional-order systems is given. The fourth part presents new solutions to some problems in controllability and control of non-integer order systems, in particular fractional PID-like control. The fifth part analyzes the stability of non-integer order systems and some new results are offered in this important respect, in particular for discrete-time systems. The final, sixth part of this volume presents a spectrum of applications of the noninteger order calculus, ranging from bi-fractional filtering, in particular of electromyographic signals, through the thermal diffusion and advection diffusion processes to the SIEMENS platform implementation. This volume's papers were all subjected to stimulating comments and discussions from the active audience of the RRNR'2014, the 6th Conference on Non-integer Order Calculus and Its Applications that was organized by the Department of Electrical, Control and Computer Engineering, Opole University of Technology, Opole, Poland.
