Statistics for Long-Memory Processes

ISBN-13: 9780412049019 / Angielski / Twarda / 1994 / 315 str.

Jan Beran

Opis

This book covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that has appeared only in journals, the author provides a concise and accessible overview of probabilistic foundations, statistical methods, and applications, with an emphasis on basic principles and practical applications, giving the reader an integrated perspective on theory and practice. It explores data sets from a wide range of disciplines such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement, with all data sets conveniently compiled in the appendix, enabling the reader to view statistical approaches in a practical context. It supplies S-PLUS programs for the major methods discussed, allowing the practitioner to apply long-memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge needed to benefit from the balance of the book. Chapters are independent to allow selective reading.

Recenzje

"This book covers the diverse statistical methods and applications for data with long-range dependence. The author provides a concise and accessible overview of probabilistic foundations, statistical methods, and applications."
- L'Enseignement Mathematique

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Spis treści

Preface
Introduction
Stationary Processes with Long Memory
Limit Theorems
Estimations of Long Memory-Heuristic Approaches
Estimations of Long Memory-MLE Time Domain
Estimations of Long Memory-MLE Frequency Domain
Robust Estimation of Long Memory
Estimation of Location and Scale, Forecasting
Regression
Goodness of Fit Tests and Related Topics
References
Author Index
Subject Index

O autorze

Jan Beran