Continuous-Parameter Time Series

Peter J. Brockwell, Alexander M. Lindner

Continuous-Parameter Time Series
Format
Hardback
Publisher
De Gruyter
Country
DE
Published
22 July 2024
Pages
522
ISBN
9783111324999

Continuous-Parameter Time Series

Peter J. Brockwell, Alexander M. Lindner

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. Levy-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 Levy 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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