Coverart for item
The Resource Theory and applications of long-range dependence, Paul Doukhan, George Oppenheim, and Murad Taqqu, editors

Theory and applications of long-range dependence, Paul Doukhan, George Oppenheim, and Murad Taqqu, editors

Label
Theory and applications of long-range dependence
Title
Theory and applications of long-range dependence
Statement of responsibility
Paul Doukhan, George Oppenheim, and Murad Taqqu, editors
Contributor
Subject
Language
eng
Cataloging source
DLC
Dewey number
519.5/5
Illustrations
illustrations
Index
no index present
LC call number
QA280
LC item number
.T48 2003
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Doukhan, Paul
  • Oppenheim, Georges
  • Taqqu, Murad S
http://library.link/vocab/subjectName
  • Time-series analysis
  • Brownian motion processes
Label
Theory and applications of long-range dependence, Paul Doukhan, George Oppenheim, and Murad Taqqu, editors
Instantiates
Publication
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part A: Theory -- [1] Probability -- Fractional Brownian motion and long-range dependence / Murad S. Taqqu -- Historical comments related to fractional Brownian motion / George M. Molchan -- Models, inequalities, and limit theorems for stationary sequences / Paul Doukhan -- Limit theorems under seasonal long-memory / Mohamedou Ould Haye and Marie-Claude Viano -- CLTs for polynomials of linear sequences: Diagram formula with illustrations / D. Surgailis -- Non-CLTs: U-statistics, multinomial formula and approximations of multiple Itô-Wiener integrals / D. Surgailis -- A decomposition for generalized U-statistics of long-memory linear processes / Hwai-Chung Ho and Tailen Hsing -- Limit theorems for infinite variance sequences / Makoto Maejima -- Fractional calculus and its connections to fractional Brownian motion / Vladas Pipiras and Murad S. Taqqu -- Stochastic integration with respect to fractional Brownian motion / Laurent Decreusefond -- [2] Statistics -- Parametric estimation under long-range dependence / L. Giraitis and P.M. Robinson -- Semiparametric spectral estimation for fractional processes / Eric Moulines and Philippe Soulier -- Nonparametric estimation for long-range dependent sequences / Paul Koukhan, Abdelali Khezour, and Gabriel Lang -- Estimation of long memory in volatility / Rohit S. Deo and Clifford M. Hurvich -- Detection and estimation of changes in regime / Piotr Kokoszka and Remigijus Leipus -- Robust estimators in regression models with long memory errors / H.L. Koul and D. Surgailis -- Prediction of long-memory time series / R.J. Bhansali and P.S. Kokoszka -- Part B: Applications -- [1] Applications -- Long-range dependence and data network traffic / Walter Willinger ... [et al.] -- Large deviations of queues with long-range dependent input / Ilkka Norros -- The long-range dependence paradigm for macroeconomics and finance / Marc Henry and Paolo Zaffaroni -- Long-range dependence effects and ARCH modeling / Thomas Mikosch and Cătălin Stărică -- Long-range dependence in hydrology / Alberto Montanari -- Wavelet based estimation of local Kolmogorov turbulence / George C. Papanicolaou and Knut Sølna -- Limit theorems for the Burgers equation initialized by data with long-range dependence / D. Surgailis and W.A. Woyczyński -- [2] Methodology -- Self-similarity and long-range dependence through the wavelet lens / Patrice Abry ... [et al.] -- Semi-parametric estimation of the long-range dependence parameter: A survey / Jean-Marc Bardet ... [et al.] -- Generators of long-range dependent processes: A survey / Jean-Marc Bardet ... [et al.] -- Multifractal processes / Rudolf H. Riedi
Control code
49773793
Dimensions
26 cm
Extent
x, 719 pages
Isbn
9780817641689
Isbn Type
(acid-free paper)
Lccn
2002071107
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
Label
Theory and applications of long-range dependence, Paul Doukhan, George Oppenheim, and Murad Taqqu, editors
Publication
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part A: Theory -- [1] Probability -- Fractional Brownian motion and long-range dependence / Murad S. Taqqu -- Historical comments related to fractional Brownian motion / George M. Molchan -- Models, inequalities, and limit theorems for stationary sequences / Paul Doukhan -- Limit theorems under seasonal long-memory / Mohamedou Ould Haye and Marie-Claude Viano -- CLTs for polynomials of linear sequences: Diagram formula with illustrations / D. Surgailis -- Non-CLTs: U-statistics, multinomial formula and approximations of multiple Itô-Wiener integrals / D. Surgailis -- A decomposition for generalized U-statistics of long-memory linear processes / Hwai-Chung Ho and Tailen Hsing -- Limit theorems for infinite variance sequences / Makoto Maejima -- Fractional calculus and its connections to fractional Brownian motion / Vladas Pipiras and Murad S. Taqqu -- Stochastic integration with respect to fractional Brownian motion / Laurent Decreusefond -- [2] Statistics -- Parametric estimation under long-range dependence / L. Giraitis and P.M. Robinson -- Semiparametric spectral estimation for fractional processes / Eric Moulines and Philippe Soulier -- Nonparametric estimation for long-range dependent sequences / Paul Koukhan, Abdelali Khezour, and Gabriel Lang -- Estimation of long memory in volatility / Rohit S. Deo and Clifford M. Hurvich -- Detection and estimation of changes in regime / Piotr Kokoszka and Remigijus Leipus -- Robust estimators in regression models with long memory errors / H.L. Koul and D. Surgailis -- Prediction of long-memory time series / R.J. Bhansali and P.S. Kokoszka -- Part B: Applications -- [1] Applications -- Long-range dependence and data network traffic / Walter Willinger ... [et al.] -- Large deviations of queues with long-range dependent input / Ilkka Norros -- The long-range dependence paradigm for macroeconomics and finance / Marc Henry and Paolo Zaffaroni -- Long-range dependence effects and ARCH modeling / Thomas Mikosch and Cătălin Stărică -- Long-range dependence in hydrology / Alberto Montanari -- Wavelet based estimation of local Kolmogorov turbulence / George C. Papanicolaou and Knut Sølna -- Limit theorems for the Burgers equation initialized by data with long-range dependence / D. Surgailis and W.A. Woyczyński -- [2] Methodology -- Self-similarity and long-range dependence through the wavelet lens / Patrice Abry ... [et al.] -- Semi-parametric estimation of the long-range dependence parameter: A survey / Jean-Marc Bardet ... [et al.] -- Generators of long-range dependent processes: A survey / Jean-Marc Bardet ... [et al.] -- Multifractal processes / Rudolf H. Riedi
Control code
49773793
Dimensions
26 cm
Extent
x, 719 pages
Isbn
9780817641689
Isbn Type
(acid-free paper)
Lccn
2002071107
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations

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