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Theory and applications of long-range dependence

Author: Paul Doukhan; Georges Oppenheim; Murad S Taqqu
Publisher: Boston : Birkhäuser, ©2003.
Edition/Format:   Print book : EnglishView all editions and formats
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Focuses on the theoretical concepts, methodologies, and practical applications pertaining to self-similar processes and long-range dependent phenomena. This book includes articles on fractional  Read more...

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Genre/Form: Aufsatzsammlung
Additional Physical Format: Online version:
Theory and applications of long-range dependence.
Boston : Birkhäuser, ©2003
(OCoLC)812614000
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Paul Doukhan; Georges Oppenheim; Murad S Taqqu
ISBN: 0817641688 9780817641689 3764341688 9783764341688
OCLC Number: 49773793
Description: x, 719 pages : illustrations ; 26 cm
Contents: Part A: Theory --
[1] Probability --
Fractional Brownian motion and long-range dependence / Murad S. Taqqu --
Historical comments related to fractional Brownian motion / George M. Molchan --
Models, inequalities, and limit theorems for stationary sequences / Paul Doukhan --
Limit theorems under seasonal long-memory / Mohamedou Ould Haye and Marie-Claude Viano --
CLTs for polynomials of linear sequences: Diagram formula with illustrations / D. Surgailis --
Non-CLTs: U-statistics, multinomial formula and approximations of multiple Itô-Wiener integrals / D. Surgailis --
A decomposition for generalized U-statistics of long-memory linear processes / Hwai-Chung Ho and Tailen Hsing --
Limit theorems for infinite variance sequences / Makoto Maejima --
Fractional calculus and its connections to fractional Brownian motion / Vladas Pipiras and Murad S. Taqqu --
Stochastic integration with respect to fractional Brownian motion / Laurent Decreusefond --
[2] Statistics --
Parametric estimation under long-range dependence / L. Giraitis and P.M. Robinson --
Semiparametric spectral estimation for fractional processes / Eric Moulines and Philippe Soulier --
Nonparametric estimation for long-range dependent sequences / Paul Koukhan, Abdelali Khezour, and Gabriel Lang --
Estimation of long memory in volatility / Rohit S. Deo and Clifford M. Hurvich --
Detection and estimation of changes in regime / Piotr Kokoszka and Remigijus Leipus --
Robust estimators in regression models with long memory errors / H.L. Koul and D. Surgailis --
Prediction of long-memory time series / R.J. Bhansali and P.S. Kokoszka --
Part B: Applications --
[1] Applications --
Long-range dependence and data network traffic / Walter Willinger [and others] --
Large deviations of queues with long-range dependent input / Ilkka Norros --
The long-range dependence paradigm for macroeconomics and finance / Marc Henry and Paolo Zaffaroni --
Long-range dependence effects and ARCH modeling / Thomas Mikosch and Cătălin Stărică --
Long-range dependence in hydrology / Alberto Montanari --
Wavelet based estimation of local Kolmogorov turbulence / George C. Papanicolaou and Knut Sølna --
Limit theorems for the Burgers equation initialized by data with long-range dependence / D. Surgailis and W.A. Woyczyński --
[2] Methodology --
Self-similarity and long-range dependence through the wavelet lens / Patrice Abry [and others] --
Semi-parametric estimation of the long-range dependence parameter: A survey / Jean-Marc Bardet [and others] --
Generators of long-range dependent processes: A survey / Jean-Marc Bardet [and others] --
Multifractal processes / Rudolf H. Riedi.
Responsibility: Paul Doukhan, George Oppenheim, and Murad Taqqu, editors.
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