Metric Characterization of Random Variables and Random Processes

ISBN-13: 9780821805336 / Angielski / Twarda / 2000 / 264 str.

Valery Buldygin; Yu V. Kozachenko

Opis

This text covers the study of metric and other close characteristics of different spaces and classes of random variables and the application of the entropy method to the investigation of properties of stochastic processes whose values, or increments, belong to given spaces. The following processes appear in detail: pre-Gaussian processes, shot noise processes representable as integrals over processes with independent increments, quadratically Gaussian processes, and, in particular, correlogram-type estimates of the correlation function of a stationary Gaussian process, jointly strictly sub-Gaussian processes, etc.