Continuous-Parameter Time Series

By: Alexander M. Lindner, Peter J. Brockwell

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Hardcover | 22 July 2024

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Hardcover
560 Pages

Dimensions(cm)
24.0 x 17.0 x 3.18

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This book provides a self-contained account of continuous-parameter time series, starting with second-order models. Integration with respect to orthogonal increment processes, spectral theory and linear prediction are treated in detail. L vy-driven models are incorporated, extending coverage to allow for infinite variance, a variety of marginal distributions and sample paths having jumps. The necessary theory of L vy processes and integration of deterministic functions with respect to these processes is developed at length. Special emphasis is given to the analysis of continuous-time ARMA processes.

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