Books > Science & Mathematics > Mathematics > Probability & statistics
|
Buy Now
Large Sample Inference For Long Memory Processes (Hardcover, New)
Loot Price: R3,069
Discovery Miles 30 690
|
|
Large Sample Inference For Long Memory Processes (Hardcover, New)
Expected to ship within 12 - 17 working days
|
Donate to Gift Of The Givers
Total price: R3,089
Discovery Miles: 30 890
|
Box and Jenkins (1970) made the idea of obtaining a stationary time
series by differencing the given, possibly nonstationary, time
series popular. Numerous time series in economics are found to have
this property. Subsequently, Granger and Joyeux (1980) and Hosking
(1981) found examples of time series whose fractional difference
becomes a short memory process, in particular, a white noise, while
the initial series has unbounded spectral density at the origin,
i.e. exhibits long memory.Further examples of data following long
memory were found in hydrology and in network traffic data while in
finance the phenomenon of strong dependence was established by
dramatic empirical success of long memory processes in modeling the
volatility of the asset prices and power transforms of stock market
returns.At present there is a need for a text from where an
interested reader can methodically learn about some basic
asymptotic theory and techniques found useful in the analysis of
statistical inference procedures for long memory processes. This
text makes an attempt in this direction. The authors provide in a
concise style a text at the graduate level summarizing theoretical
developments both for short and long memory processes and their
applications to statistics. The book also contains some real data
applications and mentions some unsolved inference problems for
interested researchers in the field.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
|
You might also like..
|
Email address subscribed successfully.
A activation email has been sent to you.
Please click the link in that email to activate your subscription.