Coverart for item
The Resource Selfsimilar processes, Paul Embrechts and Makoto Maejima

Selfsimilar processes, Paul Embrechts and Makoto Maejima

Label
Selfsimilar processes
Title
Selfsimilar processes
Statement of responsibility
Paul Embrechts and Makoto Maejima
Creator
Contributor
Subject
Genre
Language
eng
Summary
The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the absolute returns of equity data in finance. Selfsimilar stochastic processes (particularly fractional Brownian motion) have long been postulated as a means to model this behavior, and the concept of selfsimilarity for a stochastic process is now proving to be extraordinarily useful. Selfsimilarity t
Member of
Cataloging source
N$T
http://library.link/vocab/creatorDate
1953-
http://library.link/vocab/creatorName
Embrechts, Paul
Illustrations
illustrations
Index
index present
Language note
In English
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Maejima, Makoto
Series statement
Princeton series in applied mathematics
http://library.link/vocab/subjectName
  • Self-similar processes
  • Distribution (Probability theory)
  • MATHEMATICS
  • Distribution (Probability theory)
  • Self-similar processes
Label
Selfsimilar processes, Paul Embrechts and Makoto Maejima
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 101-108) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Contents; Preface; Chapter 1. Introduction; Chapter 2. Some Historical Background; Chapter 3. Selfsimilar Processes with Stationary Increments; Chapter 4. Fractional Brownian Motion; Chapter 5. Selfsimilar Processes with Independent Increments; Chapter 6. Sample Path Properties of Selfsimilar Stable Processes with Stationary Increments; Chapter 7. Simulation of Selfsimilar Processes; Chapter 8. Statistical Estimation; Chapter 9. Extensions; References; Index
Control code
ocm52255009
Dimensions
unknown
Extent
1 online resource (x, 111 pages)
Form of item
online
Isbn
9781400825103
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
JSTOR
Other control number
10.1515/9781400825103
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
22573/ctt10m2m
Specific material designation
remote
System control number
(OCoLC)52255009
Label
Selfsimilar processes, Paul Embrechts and Makoto Maejima
Publication
Bibliography note
Includes bibliographical references (pages 101-108) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Contents; Preface; Chapter 1. Introduction; Chapter 2. Some Historical Background; Chapter 3. Selfsimilar Processes with Stationary Increments; Chapter 4. Fractional Brownian Motion; Chapter 5. Selfsimilar Processes with Independent Increments; Chapter 6. Sample Path Properties of Selfsimilar Stable Processes with Stationary Increments; Chapter 7. Simulation of Selfsimilar Processes; Chapter 8. Statistical Estimation; Chapter 9. Extensions; References; Index
Control code
ocm52255009
Dimensions
unknown
Extent
1 online resource (x, 111 pages)
Form of item
online
Isbn
9781400825103
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
JSTOR
Other control number
10.1515/9781400825103
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
22573/ctt10m2m
Specific material designation
remote
System control number
(OCoLC)52255009

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      32.771354 -117.193327
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