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Author : Ming Li
Publisher : Frontiers Media SA
ISBN 13 : 2832508502
Total Pages : 160 pages
Book Rating : 4.8/5 (325 download)
Download or read book Long-Range Dependent Processes: Theory and Applications written by Ming Li and published by Frontiers Media SA. This book was released on 2022-12-05 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Doukhan
Publisher : Springer Science & Business Media
ISBN 13 : 9780817641689
Total Pages : 744 pages
Book Rating : 4.6/5 (416 download)
Download or read book Theory and Applications of Long-Range Dependence written by Paul Doukhan and published by Springer Science & Business Media. This book was released on 2002-12-13 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for long-range dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade," there will be a special section called "Mathematical Techniques." Topics in the first part of the book are covered from probabilistic and statistical perspectives and include fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, prediction for long-range dependence sequences. The reader is referred to more detailed proofs if already found in the literature. The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology. Diagrams and illustrations enhance the presentation. Each article begins with introductory background material and is accessible to mathematicians, a variety of practitioners, and graduate students. The work serves as a state-of-the art reference or graduate seminar text.
Author : Govindan Rangarajan
Publisher : Springer
ISBN 13 : 3540448322
Total Pages : 406 pages
Book Rating : 4.5/5 (44 download)
Download or read book Processes with Long-Range Correlations written by Govindan Rangarajan and published by Springer. This book was released on 2008-01-11 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Processes with long range correlations occur in a wide variety of fields ranging from physics and biology to economics and finance. This book, suitable for both graduate students and specialists, brings the reader up to date on this rapidly developing field. A distinguished group of experts have been brought together to provide a comprehensive and well-balanced account of basic notions and recent developments. The book is divided into two parts. The first part deals with theoretical developments in the area. The second part comprises chapters dealing primarily with three major areas of application: anomalous diffusion, economics and finance, and biology (especially neuroscience).
Author : Vladas Pipiras
Publisher : Cambridge University Press
ISBN 13 : 1107039460
Total Pages : 693 pages
Book Rating : 4.1/5 (7 download)
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.
Author : Christian Grimm
Publisher : Springer Science & Business Media
ISBN 13 : 3540706054
Total Pages : 498 pages
Book Rating : 4.5/5 (47 download)
Download or read book IP-Traffic Theory and Performance written by Christian Grimm and published by Springer Science & Business Media. This book was released on 2008-07-19 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reading without meditation is sterile; meditation without reading is liable to error; prayer without meditation is lukewarm; meditation without prayer is unfruitful; prayer, when it is fervent, wins contemplation, but to obtain contemplation without prayer would be rare, even miraculous. Bernhard de Clairvaux (12th century) NobodycandenythatIP-basedtra?chasinvadedourdailylifeinmanyways and no one can escape from its di?erent forms of appearance. However, most people are not aware of this fact. From the usage of mobile phones – either as simple telephone or for data transmissions – over the new form of telephone service Voice over IP (VoIP), up to the widely used Internet at the users own PC, in all instances the transmission of the information, encoded in a digital form, relies on the Internet Protocol (IP). So, we should take a brief glimpse at this protocol and its constant companions such as TCP and UDP, which have revolutionized the communication system over the past 20 years. The communication network has experienced a fundamental change, which was dominated up to end of the eighties of the last century by voice appli- tion.Butfromthemiddleoftheninetieswehaveobservedadecisivemigration in the data transmission. If the devoted reader of this monograph reads the title ‘IP tra?c theory and performance’, she/he may ask, why do we have to be concerned with mod- ing IP tra?c, and why do we have to consider and get to know new concepts.
Author : Georg Lindgren
Publisher : CRC Press
ISBN 13 : 1466557796
Total Pages : 378 pages
Book Rating : 4.4/5 (665 download)
Download or read book Stationary Stochastic Processes written by Georg Lindgren and published by CRC Press. This book was released on 2012-10-01 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes. Features Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability Motivates mathematical theory from a statistical model-building viewpoint Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes Provides more than 100 exercises with hints to solutions and selected full solutions This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.
Author : Gilles Teyssière
Publisher : Springer Science & Business Media
ISBN 13 : 3540346252
Total Pages : 394 pages
Book Rating : 4.5/5 (43 download)
Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Author : Hu Sheng
Publisher : Springer Science & Business Media
ISBN 13 : 144712233X
Total Pages : 310 pages
Book Rating : 4.4/5 (471 download)
Download or read book Fractional Processes and Fractional-Order Signal Processing written by Hu Sheng and published by Springer Science & Business Media. This book was released on 2011-10-20 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fractional processes are widely found in science, technology and engineering systems. In Fractional Processes and Fractional-order Signal Processing, some complex random signals, characterized by the presence of a heavy-tailed distribution or non-negligible dependence between distant observations (local and long memory), are introduced and examined from the ‘fractional’ perspective using simulation, fractional-order modeling and filtering and realization of fractional-order systems. These fractional-order signal processing (FOSP) techniques are based on fractional calculus, the fractional Fourier transform and fractional lower-order moments. Fractional Processes and Fractional-order Signal Processing: presents fractional processes of fixed, variable and distributed order studied as the output of fractional-order differential systems; introduces FOSP techniques and the fractional signals and fractional systems point of view; details real-world-application examples of FOSP techniques to demonstrate their utility; and provides important background material on Mittag–Leffler functions, the use of numerical inverse Laplace transform algorithms and supporting MATLAB® codes together with a helpful survey of relevant webpages. Readers will be able to use the techniques presented to re-examine their signals and signal-processing methods. This text offers an extended toolbox for complex signals from diverse fields in science and engineering. It will give academic researchers and practitioners a novel insight into the complex random signals characterized by fractional properties, and some powerful tools to analyze those signals.
Author : Toka Diagana
Publisher : Springer
ISBN 13 : 3319971751
Total Pages : 468 pages
Book Rating : 4.3/5 (199 download)
Download or read book Mathematical Structures and Applications written by Toka Diagana and published by Springer. This book was released on 2018-10-31 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: This contributed volume features invited papers on current research and applications in mathematical structures. Featuring various disciplines in the mathematical sciences and physics, articles in this volume discuss fundamental scientific and mathematical concepts as well as their applications to topical problems. Special emphasis is placed on important methods, research directions and applications of analysis within and beyond each field. Covered topics include Metric operators and generalized hermiticity, Semi-frames, Hilbert-Schmidt operator, Symplectic affine action, Fractional Brownian motion, Walker Osserman metric, Nonlinear Maxwell equations, The Yukawa model, Heisenberg observables, Nonholonomic systems, neural networks, Seiberg-Witten invariants, photon-added coherent state, electrostatic double layers, and star products and functions. All contributions are from the participants of the conference held October 2016 in Cotonou, Benin in honor of Professor Mahouton Norbert Hounkonnou for his outstanding contributions to the mathematical and physical sciences and education. Accessible to graduate students and postdoctoral researchers, this volume is a useful resource to applied scientists, applied and pure mathematicians, and mathematical and theoretical physicists.
Author : Steven Bradley Lowen
Publisher : John Wiley & Sons
ISBN 13 : 0471754706
Total Pages : 628 pages
Book Rating : 4.4/5 (717 download)
Download or read book Fractal-Based Point Processes written by Steven Bradley Lowen and published by John Wiley & Sons. This book was released on 2005-09-19 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated approach to fractals and point processes This publication provides a complete and integrated presentation of the fields of fractals and point processes, from definitions and measures to analysis and estimation. The authors skillfully demonstrate how fractal-based point processes, established as the intersection of these two fields, are tremendously useful for representing and describing a wide variety of diverse phenomena in the physical and biological sciences. Topics range from information-packet arrivals on a computer network to action-potential occurrences in a neural preparation. The authors begin with concrete and key examples of fractals and point processes, followed by an introduction to fractals and chaos. Point processes are defined, and a collection of characterizing measures are presented. With the concepts of fractals and point processes thoroughly explored, the authors move on to integrate the two fields of study. Mathematical formulations for several important fractal-based point-process families are provided, as well as an explanation of how various operations modify such processes. The authors also examine analysis and estimation techniques suitable for these processes. Finally, computer network traffic, an important application used to illustrate the various approaches and models set forth in earlier chapters, is discussed. Throughout the presentation, readers are exposed to a number of important applications that are examined with the aid of a set of point processes drawn from biological signals and computer network traffic. Problems are provided at the end of each chapter allowing readers to put their newfound knowledge into practice, and all solutions are provided in an appendix. An accompanying Web site features links to supplementary materials and tools to assist with data analysis and simulation. With its focus on applications and numerous solved problem sets, this is an excellent graduate-level text for courses in such diverse fields as statistics, physics, engineering, computer science, psychology, and neuroscience.
Author : Oksana Banna
Publisher : John Wiley & Sons
ISBN 13 : 1119610338
Total Pages : 245 pages
Book Rating : 4.1/5 (196 download)
Download or read book Fractional Brownian Motion written by Oksana Banna and published by John Wiley & Sons. This book was released on 2019-04-10 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is proved that there exists a unique martingale closest to fBm in the uniform integral norm. Numerical results concerning the approximation problem are given. The upper bounds of distances from fBm to the different subspaces of Gaussian martingales are evaluated and the numerical calculations are involved. The approximations of fBm by a uniformly convergent series of Lebesgue integrals, semimartingales and absolutely continuous processes are presented. As auxiliary but interesting results, the bounds from below and from above for the coefficient appearing in the representation of fBm via the Wiener process are established and some new inequalities for Gamma functions, and even for trigonometric functions, are obtained.
Author : B. L. S. Prakasa Rao
Publisher : John Wiley & Sons
ISBN 13 : 0470975768
Total Pages : 213 pages
Book Rating : 4.4/5 (79 download)
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.
Author : Ciprian Tudor
Publisher : Springer Science & Business Media
ISBN 13 : 3319009362
Total Pages : 272 pages
Book Rating : 4.3/5 (19 download)
Download or read book Analysis of Variations for Self-similar Processes written by Ciprian Tudor and published by Springer Science & Business Media. This book was released on 2013-08-13 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed in several books, some new classes have recently emerged in the scientific literature. Some of them are extensions of fractional Brownian motion (bifractional Brownian motion, subtractional Brownian motion, Hermite processes), while others are solutions to the partial differential equations driven by fractional noises. In this monograph the author discusses the basic properties of these new classes of self-similar processes and their interrelationship. At the same time a new approach (based on stochastic calculus, especially Malliavin calculus) to studying the behavior of the variations of self-similar processes has been developed over the last decade. This work surveys these recent techniques and findings on limit theorems and Malliavin calculus.
Author : D N Shanbhag
Publisher : Gulf Professional Publishing
ISBN 13 : 9780444500137
Total Pages : 1028 pages
Book Rating : 4.5/5 (1 download)
Download or read book Stochastic Processes: Modeling and Simulation written by D N Shanbhag and published by Gulf Professional Publishing. This book was released on 2003-02-24 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to volume 19 of Handbook on Statistics on Stochastic Processes: Modelling and Simulation is concerned mainly with the theme of reviewing and, in some cases, unifying with new ideas the different lines of research and developments in stochastic processes of applied flavour. This volume consists of 23 chapters addressing various topics in stochastic processes. These include, among others, those on manufacturing systems, random graphs, reliability, epidemic modelling, self-similar processes, empirical processes, time series models, extreme value therapy, applications of Markov chains, modelling with Monte Carlo techniques, and stochastic processes in subjects such as engineering, telecommunications, biology, astronomy and chemistry. particular with modelling, simulation techniques and numerical methods concerned with stochastic processes. The scope of the project involving this volume as well as volume 19 is already clarified in the preface of volume 19. The present volume completes the aim of the project and should serve as an aid to students, teachers, researchers and practitioners interested in applied stochastic processes.
Author : Uwe Hassler
Publisher : John Wiley & Sons
ISBN 13 : 1119470285
Total Pages : 292 pages
Book Rating : 4.1/5 (194 download)
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 292 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.
Author : Yuliya Mishura
Publisher : Springer
ISBN 13 : 3540758739
Total Pages : 411 pages
Book Rating : 4.5/5 (47 download)
Download or read book Stochastic Calculus for Fractional Brownian Motion and Related Processes written by Yuliya Mishura and published by Springer. This book was released on 2008-04-12 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
Author : Tao Qian
Publisher : Springer Science & Business Media
ISBN 13 : 376437778X
Total Pages : 567 pages
Book Rating : 4.7/5 (643 download)
Download or read book Wavelet Analysis and Applications written by Tao Qian and published by Springer Science & Business Media. This book was released on 2007-02-24 with total page 567 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume reflects the latest developments in the area of wavelet analysis and its applications. Since the cornerstone lecture of Yves Meyer presented at the ICM 1990 in Kyoto, to some extent, wavelet analysis has often been said to be mainly an applied area. However, a significant percentage of contributions now are connected to theoretical mathematical areas, and the concept of wavelets continuously stretches across various disciplines of mathematics. Key topics: Approximation and Fourier Analysis Construction of Wavelets and Frame Theory Fractal and Multifractal Theory Wavelets in Numerical Analysis Time-Frequency Analysis Adaptive Representation of Nonlinear and Non-stationary Signals Applications, particularly in image processing Through the broad spectrum, ranging from pure and applied mathematics to real applications, the book will be most useful for researchers, engineers and developers alike.
