TY - BOOK ID - 85485481 TI - Long-range dependence and self-similarity AU - Pipiras, Vladas AU - Taqqu, Murad S. PY - 2017 SN - 110820614X 1108215599 1139600346 1107039460 PB - Cambridge : Cambridge University Press, DB - UniCat KW - Self-similar processes. KW - Time-series analysis. KW - Gaussian processes. KW - Distribution (Probability theory) KW - Stochastic processes KW - Analysis of time series KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Mathematical statistics KW - Probabilities KW - Selfsimilar processes UR - https://www.unicat.be/uniCat?func=search&query=sysid:85485481 AB - This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to long-range dependence and self-similarity; central and non-central limit theorems for long-range dependent series, and the limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional Brownian motion; multidimensional models for long-range dependence and self-similarity; and maximum likelihood estimation methods for long-range dependent time series. Designed for graduate students and researchers, each chapter of the book is supplemented by numerous exercises, some designed to test the reader's understanding, while others invite the reader to consider some of the open research problems in the field today. ER -