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.
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 |
Gaussian and Non-Gaussian Linear Time Series and Random Fields
Title | Gaussian and Non-Gaussian Linear Time Series and Random Fields PDF eBook |
Author | Murray Rosenblatt |
Publisher | Springer Science & Business Media |
Pages | 272 |
Release | 2000 |
Genre | Mathematics |
ISBN | 9780387989174 |
The principal focus here is on autoregressive moving average models and analogous random fields, with probabilistic and statistical questions also being discussed. The book contrasts Gaussian models with noncausal or noninvertible (nonminimum phase) non-Gaussian models and deals with problems of prediction and estimation. New results for nonminimum phase non-Gaussian processes are exposited and open questions are noted. Intended as a text for gradutes in statistics, mathematics, engineering, the natural sciences and economics, the only recommendation is an initial background in probability theory and statistics. Notes on background, history and open problems are given at the end of the book.
Gaussian and Non-Gaussian Linear Time Series and Random Fields
Title | Gaussian and Non-Gaussian Linear Time Series and Random Fields PDF eBook |
Author | Murray Rosenblatt |
Publisher | Springer Science & Business Media |
Pages | 252 |
Release | 2012-12-06 |
Genre | Mathematics |
ISBN | 1461212626 |
The principal focus here is on autoregressive moving average models and analogous random fields, with probabilistic and statistical questions also being discussed. The book contrasts Gaussian models with noncausal or noninvertible (nonminimum phase) non-Gaussian models and deals with problems of prediction and estimation. New results for nonminimum phase non-Gaussian processes are exposited and open questions are noted. Intended as a text for gradutes in statistics, mathematics, engineering, the natural sciences and economics, the only recommendation is an initial background in probability theory and statistics. Notes on background, history and open problems are given at the end of the book.
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 |
An Introduction to the Theory of Stationary Random Functions
Title | An Introduction to the Theory of Stationary Random Functions PDF eBook |
Author | A. M. Yaglom |
Publisher | Courier Corporation |
Pages | 258 |
Release | 2004-01-01 |
Genre | Mathematics |
ISBN | 9780486495712 |
This two-part treatment covers the general theory of stationary random functions and the Wiener-Kolmogorov theory of extrapolation and interpolation of random sequences and processes. Beginning with the simplest concepts, it covers the correlation function, the ergodic theorem, homogenous random fields, and general rational spectral densities, among other topics. Numerous examples appear throughout the text, with emphasis on the physical meaning of mathematical concepts. Although rigorous in its treatment, this is essentially an introduction, and the sole prerequisites are a rudimentary knowledge of probability and complex variable theory. 1962 edition.
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 |