Coverart for item
The Resource Stochastic Models for Time Series, by Paul Doukhan, (electronic resource)

Stochastic Models for Time Series, by Paul Doukhan, (electronic resource)

Label
Stochastic Models for Time Series
Title
Stochastic Models for Time Series
Statement of responsibility
by Paul Doukhan
Creator
Subject
Language
eng
Summary
This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap are discussed, and stationarity is reviewed. The second part describes a number of tools from Gaussian chaos and proposes a tour of linear time series models. It goes on to address nonlinearity from polynomial or chaotic models for which explicit expansions are available, then turns to Markov and non-Markov linear models and discusses Bernoulli shifts time series models. Finally, the volume focuses on the limit theory, starting with the ergodic theorem, which is seen as the first step for statistics of time series. It defines the distributional range to obtain generic tools for limit theory under long or short-range dependences (LRD/SRD) and explains examples of LRD behaviours. More general techniques (central limit theorems) are described under SRD; mixing and weak dependence are also reviewed. In closing, it describes moment techniques together with their relations to cumulant sums as well as an application to kernel type estimation.The appendix reviews basic probability theory facts and discusses useful laws stemming from the Gaussian laws as well as the basic principles of probability, and is completed by R-scripts used for the figures. Richly illustrated with examples and simulations, the book is recommended for advanced master courses for mathematicians just entering the field of time series, and statisticians who want more mathematical insights into the background of non-linear time series.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Doukhan, Paul
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Springer eBooks.
  • Springer eBooks
  • Mathématiques et Applications,
Series volume
80
http://library.link/vocab/subjectName
  • Statistics
  • Dynamics
  • Ergodic theory
  • Probabilities
  • Econometrics
Label
Stochastic Models for Time Series, by Paul Doukhan, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-76938-7
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I Independence and Stationarity -- 1 Probability and Independence -- 2 Gaussian convergence and inequalities -- 3 Estimation concepts -- 4 Stationarity -- Part II Models of time series -- 5 Gaussian chaos -- 6 Linear processes -- 7 Non-linear processes -- 8 Associated processes -- Part III Dependence -- 9 Dependence -- 10 Long-range dependence -- 11 Short-range dependence -- 12 Moments and cumulants -- Appendices -- A Probability and distributions -- B Convergence and processes -- C R scripts used for the gures -- Index- List of figures
Control code
978-3-319-76938-7
Dimensions
unknown
Extent
1 online resource (XX, 308 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319769387
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-76938-7
Other physical details
29 illustrations, 10 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1034550830
Label
Stochastic Models for Time Series, by Paul Doukhan, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-76938-7
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I Independence and Stationarity -- 1 Probability and Independence -- 2 Gaussian convergence and inequalities -- 3 Estimation concepts -- 4 Stationarity -- Part II Models of time series -- 5 Gaussian chaos -- 6 Linear processes -- 7 Non-linear processes -- 8 Associated processes -- Part III Dependence -- 9 Dependence -- 10 Long-range dependence -- 11 Short-range dependence -- 12 Moments and cumulants -- Appendices -- A Probability and distributions -- B Convergence and processes -- C R scripts used for the gures -- Index- List of figures
Control code
978-3-319-76938-7
Dimensions
unknown
Extent
1 online resource (XX, 308 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319769387
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-76938-7
Other physical details
29 illustrations, 10 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1034550830

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