Stochastic Processes and Long Range Dependence

• Main Author: Samorodnitsky, Gennady (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Series: Springer Series in Operations Research and Financial Engineering,
• Subjects: Mathematics.; Dynamics.; Ergodic theory.; Measure theory.; Probabilities.; Probability Theory and Stochastic Processes.; Measure and Integration.; Dynamical Systems and Ergodic Theory.

This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or abse...

Table of Contents:

• Preface
• Stationary Processes
• Ergodic Theory of Stationary Processes
• Infinitely Divisible Processes
• Heavy Tails
• Hurst Phenomenon
• Second-order Theory
• Fractionally Integrated Processes
• Self-similar Processes
• Long Range Dependence as a Phase Transition
• Appendix.