Originating from the authors' own graduate course at the University of North Carolina, this material has been thoroughly tried and tested over many years, making the book perfect for a two-term course or for self-study. It provides a concise introduction that covers all of the measure theory and probability most useful for statisticians, including Lebesgue integration, limit theorems in probability, martingales, and some theory of stochastic processes. Readers can test their understanding of the material through the 300 exercises provided. The book is especially useful for graduate students in statistics and related fields of application (biostatistics, econometrics, finance, meteorology, machine learning, and so on) who want to shore up their mathematical foundation. The authors establish common ground for students of varied interests which will serve as a firm 'take-off point' for them as they specialize in areas that exploit mathematical machinery.

This book provides a self-contained presentation on the structure of a large class of stable processes, known as self-similar mixed moving averages. The authors present a way to describe and classify these processes by relating them to so-called deterministic flows. The first sections in the book review random variables, stochastic processes, and integrals, moving on to rigidity and flows, and finally ending with mixed moving averages and self-similarity. In-depth appendices are also included. This book is aimed at graduate students and researchers working in probability theory and statistics.

This modern and comprehensive guide to long-range dependence and self-similarity starts with rigorous coverage of the basics, then moves on to cover more specialized, up-to-date topics central to current research. These topics concern, but are not limited to, physical models that give rise to long-range dependence and self-similarity; central and non-central limit theorems for long-range dependent series, and the limiting Hermite processes; fractional Brownian motion and its stochastic calculus; several celebrated decompositions of fractional Brownian motion; multidimensional models for long-range dependence and self-similarity; and maximum likelihood estimation methods for long-range dependent time series. Designed for graduate students and researchers, each chapter of the book is supplemented by numerous exercises, some designed to test the reader's understanding, while others invite the reader to consider some of the open research problems in the field today.

Originating from the authors' own graduate course at the University of North Carolina, this material has been thoroughly tried and tested over many years, making the book perfect for a two-term course or for self-study. It provides a concise introduction that covers all of the measure theory and probability most useful for statisticians, including Lebesgue integration, limit theorems in probability, martingales, and some theory of stochastic processes. Readers can test their understanding of the material through the 300 exercises provided. The book is especially useful for graduate students in statistics and related fields of application (biostatistics, econometrics, finance, meteorology, machine learning, and so on) who want to shore up their mathematical foundation. The authors establish common ground for students of varied interests which will serve as a firm 'take-off point' for them as they specialize in areas that exploit mathematical machinery.