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Continuous-Parameter Time Series
Hardcover
Series: de Gruyter Studies in Mathematics, Book 98
General MathematicsProbability & Statistics
ISBN13: 9783111324999
Publisher: de Gruyter
Published: Jul 22 2024
Pages: 522
Weight: 2.26
Height: 1.13 Width: 6.69 Depth: 9.61
Language: English
This book provides a self-contained account of continuous-parameter time series, starting with second-order models. Integration with respect to orthogonal increment processes, spectral theory and linear prediction are treated in detail. Lévy-driven models are incorporated, extending coverage to allow for infinite variance, a variety of marginal distributions and sample paths having jumps. The necessary theory of Lévy processes and integration of deterministic functions with respect to these processes is developed at length. Special emphasis is given to the analysis of continuous-time ARMA processes.
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