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Continuous-Parameter Time Series (de Gruyter Studies in Mathematics #98)
Current price:
$137.99
Publication Date: August 5th, 2024
Publisher:
de Gruyter
ISBN:
9783111324999
Pages:
560
Description
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. L vy-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 L vy 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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