Independent and Stationary Sequences of Random Variables
Title | Independent and Stationary Sequences of Random Variables PDF eBook |
Author | Ilʹdar Abdulovich Ibragimov |
Publisher | |
Pages | 456 |
Release | 1971 |
Genre | Distribution (Probability theory). |
ISBN |
Independent and stationary sequences of random variables
Title | Independent and stationary sequences of random variables PDF eBook |
Author | I. A. Ibragimov |
Publisher | |
Pages | |
Release | 1971 |
Genre | |
ISBN |
Iindependent and Stationary Sequences of Random Variables
Title | Iindependent and Stationary Sequences of Random Variables PDF eBook |
Author | I. A.L. Ibragimov |
Publisher | |
Pages | 0 |
Release | |
Genre | |
ISBN |
Extremes and Related Properties of Random Sequences and Processes
Title | Extremes and Related Properties of Random Sequences and Processes PDF eBook |
Author | M. R. Leadbetter |
Publisher | Springer Science & Business Media |
Pages | 344 |
Release | 2012-12-06 |
Genre | Mathematics |
ISBN | 1461254493 |
Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued.
Stationary Sequences and Random Fields
Title | Stationary Sequences and Random Fields PDF eBook |
Author | Murray Rosenblatt |
Publisher | Springer Science & Business Media |
Pages | 253 |
Release | 2012-12-06 |
Genre | Mathematics |
ISBN | 1461251567 |
This book has a dual purpose. One of these is to present material which selec tively will be appropriate for a quarter or semester course in time series analysis and which will cover both the finite parameter and spectral approach. The second object is the presentation of topics of current research interest and some open questions. I mention these now. In particular, there is a discussion in Chapter III of the types of limit theorems that will imply asymptotic nor mality for covariance estimates and smoothings of the periodogram. This dis cussion allows one to get results on the asymptotic distribution of finite para meter estimates that are broader than those usually given in the literature in Chapter IV. A derivation of the asymptotic distribution for spectral (second order) estimates is given under an assumption of strong mixing in Chapter V. A discussion of higher order cumulant spectra and their large sample properties under appropriate moment conditions follows in Chapter VI. Probability density, conditional probability density and regression estimates are considered in Chapter VII under conditions of short range dependence. Chapter VIII deals with a number of topics. At first estimates for the structure function of a large class of non-Gaussian linear processes are constructed. One can determine much more about this structure or transfer function in the non-Gaussian case than one can for Gaussian processes. In particular, one can determine almost all the phase information.
Measures of Dependence on Stationary Sequences of Random Variables
Title | Measures of Dependence on Stationary Sequences of Random Variables PDF eBook |
Author | Richard Crane Bradley |
Publisher | |
Pages | 532 |
Release | 1978 |
Genre | Random variables |
ISBN |
Introduction to Random Processes
Title | Introduction to Random Processes PDF eBook |
Author | E. Wong |
Publisher | Springer Science & Business Media |
Pages | 183 |
Release | 2013-03-09 |
Genre | Mathematics |
ISBN | 1475717954 |