Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance Hardcover - 1994 - 1st Edition
by Gennady Samoradnitsky; Shaler Stidham Jr (Editor); M. S. Taqqu
From the rear cover
The familiar Gaussian models do not allow for large deviations and are thus often inadequate for modeling high variability. Non-Gaussian stable models do not possess such limitations. They all share a familiar feature which differentiates them from the Gaussian ones. Their marginal distributions possess heavy "probability tails", always with infinite variance and in some cases with infinite first moment. The aim of this book is to make this exciting material easily accessible to graduate students and practitioners. Assuming only a first-year graduate course in probability, it includes material which has appeared only recently in journals and unpublished materials.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 book includes a discussion of self-similar processes, ARMA, and fractional ARIMA time series with stable innovations.
Details
- Title Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance
- Author Gennady Samoradnitsky; Shaler Stidham Jr (Editor); M. S. Taqqu
- Binding Hardcover
- Edition number 1st
- Edition 1
- Pages 632
- Volumes 1
- Language ENG
- Publisher CRC Press
- Date 1994
- ISBN 9780412051715 / 0412051710
- Weight 2.27 lbs (1.03 kg)
- Dimensions 9.48 x 6.46 x 1.52 in (24.08 x 16.41 x 3.86 cm)
- Library of Congress subjects Gaussian processes, Gaussian distribution
- Library of Congress Catalog Number 94013685
- Dewey Decimal Code 519.2
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Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance (Stochastic Modeling Series)
by Samoradnitsky, Gennady
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Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance
by Stidham Jr., Shaler (Series edited by)/ Scarsini, Marco (Series edited by)/ Shaked, Moshe (Series edited by)/ Samoradnitsky, Gennady (Author)/ Taqqu, M.S. (Author)
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Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance (Stochastic Modeling Series)
by Gennady Samorodnitsky
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