Stochastic Processes and Long Range Dependence
This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are i
- PDF / 4,161,048 Bytes
- 419 Pages / 439.42 x 683.15 pts Page_size
- 34 Downloads / 234 Views
Gennady Samorodnitsky
Stochastic Processes and Long Range Dependence
Springer Series in Operations Research and Financial Engineering Series Editors Thomas V. Mikosch Sidney I. Resnick Stephen M. Robinson
More information about this series at http://www.springer.com/series/3182
Gennady Samorodnitsky
Stochastic Processes and Long Range Dependence
123
Gennady Samorodnitsky School of Operations Research and Information Engineering Cornell University Ithaca, NY, USA
ISSN 1431-8598 ISSN 2197-1773 (electronic) Springer Series in Operations Research and Financial Engineering ISBN 978-3-319-45574-7 ISBN 978-3-319-45575-4 (eBook) DOI 10.1007/978-3-319-45575-4 Library of Congress Control Number: 2016951256 Mathematics Subject Classification (2010): 60G10, 60G22, 60G18, 60G52, 60F17, 60E07 © Springer International Publishing Switzerland 2016 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
To the only loves of my life: to Julia, Eric, Danny, and Sarah
Preface
I first heard about long-range dependence while working on a book on stable processes with Murad Taqqu. Initially, the notion did not seem to stand out among other notions I was familiar with at the time. It seemed to describe simply situations in which covariance functions (or related functions) decayed at a slow rate. Why were so many other people excited about long-range dependence? At best, it seemed to require us to prove some more theorems. With time, I came to understand that I was wrong, and the people who got excited about long-range dependence were right. The content of this phenomenon is truly special, even if somewhat difficult to define precisely. This book is a product of many years of thinking about long memory (this term is synonymous with long-range dependence). It is my hope that i
Data Loading...
