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The Resource Selfsimilar processes, Paul Embrechts and Makoto Maejima

Selfsimilar processes, Paul Embrechts and Makoto Maejima

Label
Selfsimilar processes
Title
Selfsimilar processes
Statement of responsibility
Paul Embrechts and Makoto Maejima
Creator
Contributor
Subject
Language
eng
Summary
The modeling of stochastic dependence is fundamental for understanding random systems evolving in time. When measured through linear correlation, many of these systems exhibit a slow correlation decay--a phenomenon often referred to as long-memory or long-range dependence. An example of this is the absolute returns of equity data in finance. Selfsimilar stochastic processes (particularly fractional Brownian motion) have long been postulated as a means to model this behavior, and the concept of selfsimilarity for a stochastic process is now proving to be extraordinarily useful. Selfsimilarity t
Member of
Cataloging source
N$T
Illustrations
illustrations
Index
index present
Language note
In English
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Princeton series in applied mathematics
Selfsimilar processes, Paul Embrechts and Makoto Maejima
Label
Selfsimilar processes, Paul Embrechts and Makoto Maejima
Link
http://www.jstor.org/stable/10.2307/j.ctt7t1hk
Publication
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Bibliography note
Includes bibliographical references (pages 101-108) and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Contents; Preface; Chapter 1. Introduction; Chapter 2. Some Historical Background; Chapter 3. Selfsimilar Processes with Stationary Increments; Chapter 4. Fractional Brownian Motion; Chapter 5. Selfsimilar Processes with Independent Increments; Chapter 6. Sample Path Properties of Selfsimilar Stable Processes with Stationary Increments; Chapter 7. Simulation of Selfsimilar Processes; Chapter 8. Statistical Estimation; Chapter 9. Extensions; References; Index
http://library.link/vocab/cover_art
https://contentcafe2.btol.com/ContentCafe/Jacket.aspx?Return=1&Type=S&Value=9781400814244&userID=ebsco-test&password=ebsco-test
Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b4319919'}
Extent
1 online resource (x, 111 pages)
Form of item
online
Isbn
9781400814244
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations.
Specific material designation
remote

Library Locations

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