Stable Non-Gaussian Random Processes

Stable Non-Gaussian Random Processes

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Both an introduction and a basic reference text on non-Gaussian stable models, for graduate students and practitioners. Assuming only a first-year graduate course in probability, it includes material which has only recently appeared in journals and unpublished materials. Each chapter begins with a brief overview and concludes with a range of exercises at varying levels of difficulty. Proofs are spelled out in detail. The volume includes a discussion of self-similar processes, ARMA, and fractional ARIMA time series with stable innovations. Annotation copyright by Book News, Inc., Portland, OR(To generate W, generate - In Ua#39;, where Ua#39; is uniform on (0, 1), independent of U.) The output is a pseudorandom number distributed as Y in (1.7.4). C rstable -- random stable standardized form C C Adapted from a file supplied by Chambers, anbsp;...

Title:Stable Non-Gaussian Random Processes
Author:Gennady Samoradnitsky, M.S. Taqqu
Publisher:CRC Press - 1994-06-01


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