Selfsimilar Processes /

Selfsimilar Processes / / Paul Embrechts.

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The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the...

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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton Series in Applied Mathematics eBook-Package
VerfasserIn:
Embrechts, Paul,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2009]
©2002
Year of Publication:2009
Edition:Course Book
Language:English
Series:Princeton Series in Applied Mathematics ; 21
Online Access:
Physical Description:1 online resource (128 p.)
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Table of Contents:
  • Frontmatter
  • Contents
  • Chapter 1. Introduction
  • Chapter 2. Some Historical Background
  • Chapter 3. Self similar Processes with Stationary Increments
  • Chapter 4. Fractional Brownian Motion
  • Chapter 5. Self similar Processes with Independent Increments
  • Chapter 6. Sample Path Properties of Self similar Stable Processes with Stationary Increments
  • Chapter 7. Simulation of Self similar Processes
  • Chapter 8. Statistical Estimation
  • Chapter 9. Extensions
  • References
  • Index

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