Continuous-Parameter Time Series

By Peter J Brockwell and Alexander M Lindner

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.

• Format: Hardcover
• Language: English
• ISBN: 3111324990
• ISBN13: 9783111324999
• Release Date: July 2024
• Publisher: de Gruyter
• Length: 522 Pages
• Weight: 2.26 lbs.
• Dimensions: 1.1" x 6.7" x 9.6"