Springer Series in Operations Research and Financial Engineering

Stochastic Processes and Long Range Dependence

Authors: Samorodnitsky, Gennady

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  • First book of its kind to offer a self-contained modern introduction to long-range dependence
  • Written by a leading expert in the field; the product of many years of experience and insight
  • Presents the reader with both the standard approach and the author’s own, less standard, approach to long-range dependence 
  • Includes new results made by the author
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eBook 91,62 €
price for Spain (gross)
  • ISBN 978-3-319-45575-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 114,39 €
price for Spain (gross)
  • ISBN 978-3-319-45574-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 114,39 €
price for Spain (gross)
  • ISBN 978-3-319-83321-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

This monograph is a gateway for researchers and graduate students to explore the profound, yet subtle, world of long-range dependence (also known as long memory). The text is organized around the probabilistic properties of stationary processes that are important for determining the presence or absence of long memory. The first few chapters serve as an overview of the general theory of stochastic processes which gives the reader sufficient background, language, and models for the subsequent discussion of long memory. The later chapters devoted to long memory begin with an introduction to the subject along with a brief history of its development, followed by a presentation of what is currently the best known approach, applicable to stationary processes with a finite second moment. The book concludes with a chapter devoted to the author’s own, less standard, point of view of long memory as a phase transition, and even includes some novel results.

Most of the material in the book has not previously been published in a single self-contained volume, and can be used for a one- or two-semester graduate topics course. It is complete with helpful exercises and an appendix which describes a number of notions and results belonging to the topics used frequently throughout the book, such as topological groups and an overview of the Karamata theorems on regularly varying functions.

About the authors

Gennady Samorodnitsky is a Professor in the School of Operations Research and Information Engineering at Cornell University. His interest lies both in probability theory and in its various applications.

Reviews

“This book is dedicated to the long-range dependence as a property of stationary stochastic processes. It is a very interesting, well-written and easy to read book and can be used as a source of information for students and researchers who want to learn about the long-range dependence property.” (Miroslav M. Ristić, zbMATH 1376.60007, 2018)
“The author has achieved a remarkably balanced presentation: the book includes selective materials for a first class on stationary stochastic processes, explains important concepts and key developments for long-range dependence, illustrates with a large collection of important and representative examples, and points out at the end a very promising direction in the area. The monograph is an ideal textbook on stochastic processes with long-range dependence for a one- or two-semester course for graduate students.” (Yizao Wany, Mathematical Reviews, October, 2017)

Table of contents (10 chapters)

Table of contents (10 chapters)

Buy this book

eBook 91,62 €
price for Spain (gross)
  • ISBN 978-3-319-45575-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 114,39 €
price for Spain (gross)
  • ISBN 978-3-319-45574-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 114,39 €
price for Spain (gross)
  • ISBN 978-3-319-83321-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Processes and Long Range Dependence
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-45575-4
DOI
10.1007/978-3-319-45575-4
Hardcover ISBN
978-3-319-45574-7
Softcover ISBN
978-3-319-83321-7
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XI, 415
Number of Illustrations
5 b/w illustrations
Topics