Pipiras V. Long-range dependence and self-similarity / V.Pipiras, M.S.Taqqu. - Cambridge; New York: Cambridge university press, 2017. - xxiii, 668 p.: ill. - (Cambridge series in statistical and probabilistic mathematics; 45). - Bibliogr.: p.613-659. - Ind.: p.660-668. - ISBN 978-1-107-03946-9 Шифр: (И/В17-Р67) 02  Место хранения:   01 | ГПНТБ СО РАН | Новосибирск

Оглавление / Contents

List of Abbreviations .......................................... xv Notation ..................................................... xvii Preface ....................................................... xxi 1 A Brief Overview of Time Series and Stochastic Processes ..... 1 2 Basics of Long-Range Dependence and Self-Similarity ......... 15 3 Physical Models for Long-Range Dependence and Self- Similarity ................................................. 113 4 Hermite Processes .......................................... 229 5 Non-Central and Central Limit Theorems ..................... 282 6 Fractional Calculus and Integration of Deterministic Functions with Respect to FBM .............................. 345 7 Stochastic Integration with Respect to Fractional Brownian Motion ..................................................... 397 8 Series Representations of Fractional Brownian Motion ....... 437 9 Multidimensional Models .................................... 466 10 Maximum Likelihood Estimation Methods ...................... 539 A Auxiliary Notions and Results .............................. 575 В Integrals with Respect to Random Measures .................. 588 С Basics of Malliavin Calculus ............................... 602 D Other Notes and Topics ..................................... 610 Bibliography .................................................. 613 Index ......................................................... 660