Long-Range Dependence and Self-Similarity: 45 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 45) - Image 1

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Cambridge University Press Long-Range Dependence and Self-Similarity: 45 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 45)

Name: Long-Range Dependence and Self-Similarity: 45 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 45)
Brand: Cambridge University Press
Price: 51.15 GBP
Availability: InStock

Econometrics

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Description

This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to long-range dependence and self-similarity; central and non-central limit theorems for long-range dependent series, and the limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional Brownian motion; multidimensional models for long-range dependence and self-similarity; and maximum likelihood estimation methods for long-range dependent time series. Designed for graduate students and researchers, each chapter of the book is supplemented by numerous exercises, some designed to test the reader's understanding, while others invite the reader to consider some of the open research problems in the field today.

Product Specifications

Brand: Cambridge University Press
Format: hardcover
ASIN: 1107039460
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 18 April 2017
Listed Since: 04 October 2016

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Cambridge University Press Long-Range Dependence and Self-Similarity: 45 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 45)

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