Processes with Long-Range Correlations Theory and Applications /

• Corporate Author: SpringerLink (Online service)
• Other Authors: Rangarajan, Govindan (Editor, http://id.loc.gov/vocabulary/relators/edt), Ding, Mingzhou (Editor, http://id.loc.gov/vocabulary/relators/edt)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003.
• Edition: 1st ed. 2003.
• Series: Lecture Notes in Physics, 621
• Subjects: Neurosciences.; Neurobiology.; Statistical physics.; Dynamical systems.; Economic theory.; Complex Systems.; Economic Theory/Quantitative Economics/Mathematical Methods.; Statistical Physics and Dynamical Systems.

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 bee...

Table of Contents:

• Theory
• Prediction of Long-Memory Time Series: A Tutorial Review
• Fractional Brownian Motion and Fractional Gaussian Noise
• Scaling and Wavelets: An Introductory Walk
• Wavelet Estimation for the Hurst Parameter in Stable Processes
• From Stationarity to Self-similarity, and Back: Variations on the Lamperti Transformation
• Fractal Sums of Pulses and a Practical Challenge to the Distinction Between Local and Global Dependence
• Applications
• Supra-diffusion
• Fractional diffusion Processes: Probability Distributions and Continuous Time Random Walk
• First Passage Distributions for Long Memory Processes
• Non-Gaussian Statistics and Anomalous diffusion in Porous Media
• Directed Transport in AC-Driven Hamiltonian Systems
• Patterns and Correlations in Economic Phenomena Uncovered Using Concepts of Statistical Physics
• Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity
• Interaction Models for Common Long-Range Dependence in Asset Prices Volatility
• Long Memory and Economic Growth in the World Economy Since the 19th Century
• Correlations and Memory in Neurodynamical Systems
• Long Range Dependence in Human Sensorimotor Coordination
• Scaling and Criticality in Large-Scale Neuronal Activity
• Long-Range Dependence in Heartbeat Dynamics
• Multifractals: From Modeling to Control of Broadband Network Traffic.