Download or read book Prediction of Stable Processes Stectral and Moving Average Representations written by Stamatis Cambanis and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stable Processes and Related Topics written by Cambanis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Workshop on Stable Processes and Related Topics took place at Cor nell University in January 9-13, 1990, under the sponsorship of the Mathemat ical Sciences Institute. It attracted an international roster of probabilists from Brazil, Japan, Korea, Poland, Germany, Holland and France as well as the U. S. This volume contains a sample of the papers presented at the Workshop. All the papers have been refereed. Gaussian processes have been studied extensively over the last fifty years and form the bedrock of stochastic modeling. Their importance stems from the Central Limit Theorem. They share a number of special properties which facilitates their analysis and makes them particularly suitable to statistical inference. The many properties they share, however, is also the seed of their limitations. What happens in the real world away from the ideal Gaussian model? The non-Gaussian world may contain random processes that are close to the Gaussian. What are appropriate classes of nearly Gaussian models and how typical or robust is the Gaussian model amongst them? Moving further away from normality, what are appropriate non-Gaussian models that are sufficiently different to encompass distinct behavior, yet sufficiently simple to be amenable to efficient statistical inference? The very Central Limit Theorem which provides the fundamental justifi cation for approximate normality, points to stable and other infinitely divisible models. Some of these may be close to and others very different from Gaussian models.
Download or read book On Prediction of Harmonizable Stable Processes written by S. Cambanis and published by . This book was released on 1985 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spectral and time domain criteria for a harmonizable stable process to be regular are given, which provide an orthogonal moving average representation. Also criteria for such processes to have linear predictor filters are obtained; these include the positivity of the distance and of the angle between past and future. In the process, the notion of angle between isotropic complex stable random variables is introduced and studied. Keywords: Harmonizable stable processes; Moving average representation; Linear predictors; Angle; Isotropic complex random variables.
Download or read book Time Series Theory and Methods written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: We have attempted in this book to give a systematic account of linear time series models and their application to the modelling and prediction of data collected sequentially in time. The aim is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the mathematical basis for the techniques. Both time and frequency domain methods are discussed but the book is written in such a way that either approach could be emphasized. The book is intended to be a text for graduate students in statistics, mathematics, engineering, and the natural or social sciences. It has been used both at the M. S. level, emphasizing the more practical aspects of modelling, and at the Ph. D. level, where the detailed mathematical derivations of the deeper results can be included. Distinctive features of the book are the extensive use of elementary Hilbert space methods and recursive prediction techniques based on innovations, use of the exact Gaussian likelihood and AIC for inference, a thorough treatment of the asymptotic behavior of the maximum likelihood estimators of the coefficients of univariate ARMA models, extensive illustrations of the tech niques by means of numerical examples, and a large number of problems for the reader. The companion diskette contains programs written for the IBM PC, which can be used to apply the methods described in the text.
Download or read book Foundations of Time Series Analysis and Prediction Theory written by Mohsen Pourahmadi and published by John Wiley & Sons. This book was released on 2001-06-01 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foundations of time series for researchers and students This volume provides a mathematical foundation for time seriesanalysis and prediction theory using the idea of regression and thegeometry of Hilbert spaces. It presents an overview of the tools oftime series data analysis, a detailed structural analysis ofstationary processes through various reparameterizations employingtechniques from prediction theory, digital signal processing, andlinear algebra. The author emphasizes the foundation and structureof time series and backs up this coverage with theory andapplication. End-of-chapter exercises provide reinforcement for self-study andappendices covering multivariate distributions and Bayesianforecasting add useful reference material. Further coveragefeatures: * Similarities between time series analysis and longitudinal dataanalysis * Parsimonious modeling of covariance matrices through ARMA-likemodels * Fundamental roles of the Wold decomposition andorthogonalization * Applications in digital signal processing and Kalmanfiltering * Review of functional and harmonic analysis and predictiontheory Foundations of Time Series Analysis and Prediction Theory guidesreaders from the very applied principles of time series analysisthrough the most theoretical underpinnings of prediction theory. Itprovides a firm foundation for a widely applicable subject forstudents, researchers, and professionals in diverse scientificfields.
Download or read book Athens Conference on Applied Probability and Time Series Analysis written by P.M. Robinson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Athens Conference on Applied Probability and Time Series in 1995 brought together researchers from across the world. The published papers appear in two volumes. Volume II presents papers on time series analysis, many of which were contributed to a meeting in March 1995 partly in honour of E.J. Hannan. The initial paper by P.M. Robinson discusses Ted Hannan's researches and their influence on current work in time series analysis. Other papers discuss methods for finite parameter Gaussian models, time series with infinite variance or stable marginal distribution, frequency domain methods, long range dependent processes, nonstationary processes, and nonlinear time series. The methods presented can be applied in a number of fields such as statistics, applied mathematics, engineering, economics and ecology. The papers include many of the topics of current interest in time series analysis and will be of interest to a wide range of researchers.
Download or read book Stable Non Gaussian Random Processes written by Gennady Samoradnitsky and published by Routledge. This book was released on 2017-11-22 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book serves as a standard reference, making this area accessible not only to researchers in probability and statistics, but also to graduate students and practitioners. The book assumes only a first-year graduate course in probability. Each chapter begins with a brief overview and concludes with a wide range of exercises at varying levels of difficulty. The authors supply detailed hints for the more challenging problems, and cover many advances made in recent years.
Download or read book Stochastic Analysis on Infinite Dimensional Spaces written by H Kunita and published by CRC Press. This book was released on 1994-08-22 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book discusses the following topics in stochastic analysis: 1. Stochastic analysis related to Lie groups: stochastic analysis of loop spaces and infinite dimensional manifolds has been developed rapidly after the fundamental works of Gross and Malliavin. (Lectures by Driver, Gross, Mitoma, and Sengupta.)
Download or read book Moving Average Representation and Prediction for Multidimensional Strongly Harmonizable Processes written by Marc H. Mehlman and published by . This book was released on 1990 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Simulation and Chaotic Behavior of Alpha stable Stochastic Processes written by Aleksand Janicki and published by CRC Press. This book was released on 2021-07-28 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents new computer methods in approximation, simulation, and visualization for a host of alpha-stable stochastic processes.
Download or read book Numerical Methods for Stochastic Processes written by Nicolas Bouleau and published by John Wiley & Sons. This book was released on 1994-01-14 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedures, deterministic methods adapted to Markovian problems and special problems related to stochastic integral and differential equations. Simulation methods are given throughout the text as well as numerous exercises.
Download or read book Probability in Banach Spaces V written by Anatole Beck and published by Springer. This book was released on 2006-11-14 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Range Dependence written by Gennady Samorodnitsky and published by Now Publishers Inc. This book was released on 2007 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long Range Dependence is a wide ranging survey of the ideas, models and techniques associated with the notion of long memory. It will serve as an invaluable reference source for researchers studying long range dependence, for those building long memory models, and for people who are trying to detect the possible presence of long memory in data.
Download or read book Stochastic Processes and Related Topics written by Ioannis Karatzas and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last twenty years extensive research has been devoted to a better understanding of the stable and other closely related infinitely divisible mod els. Stamatis Cambanis, a distinguished educator and researcher, played a special leadership role in the development of these research efforts, particu larly related to stable processes from the early seventies until his untimely death in April '95. This commemorative volume consists of a collection of research articles devoted to reviewing the state of the art of this and other rapidly developing research and to explore new directions of research in these fields. The volume is a tribute to the Life and Work of Stamatis by his students, friends, and colleagues whose personal and professional lives he has deeply touched through his generous insights and dedication to his profession. Before the idea of this volume was conceived, two conferences were held in the memory of Stamatis. The first was organized by the University of Athens and the Athens University of Economics and was held in Athens during December 18-19, 1995. The second was a significant part of a Spe cial IMS meeting held at the campus of the University of North Carolina at Chapel Hill during October 17-19, 1996. It is the selfless effort of sev eral people that brought about these conferences. We believe that this is an appropriate place to acknowledge their effort; and on behalf of all the participants, we extend sincere thanks to all these persons.
Download or read book A Practical Guide to Heavy Tails written by Robert Adler and published by Springer Science & Business Media. This book was released on 1998-10-26 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR
Download or read book Chance and Stability written by Vladimir V. Uchaikin and published by Walter de Gruyter. This book was released on 2011-09-08 with total page 601 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Download or read book Probability Theory on Vector Spaces IV written by Stamatis Cambanis and published by Springer. This book was released on 2006-11-14 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt:
