Long-Range Dependence and Self-Similarity

摘要: This modern and comprehensive guide to long-range dependence self-similarity starts with rigorous coverage of the basics, then moves on cover more specialized, up-to-date topics central current research. These concern, but are not limited to, physical models that give rise self-similarity; non-central limit theorems for dependent series, limiting Hermite processes; fractional Brownian motion its stochastic calculus; several celebrated decompositions motion; multidimensional maximum likelihood estimation methods time series. Designed graduate students researchers, each chapter book is supplemented by numerous exercises, some designed test reader's understanding, while others invite reader consider open research problems in field today.