Associated Sequences Demimartingales And Nonparametric Inference
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Associated Sequences Demimartingales And Nonparametric Inference
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Author : B.L.S. Prakasa Rao
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-11-04
Associated Sequences Demimartingales And Nonparametric Inference written by B.L.S. Prakasa Rao and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-04 with Mathematics categories.
This book gives a comprehensive review of results for associated sequences and demimartingales developed so far, with special emphasis on demimartingales and related processes. Probabilistic properties of associated sequences, demimartingales and related processes are discussed in the first six chapters. Applications of some of these results to some problems in nonparametric statistical inference for such processes are investigated in the last three chapters.
Estimation Of Stochastic Processes With Stationary Increments And Cointegrated Sequences
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Author : Maksym Luz
language : en
Publisher: John Wiley & Sons
Release Date : 2019-09-25
Estimation Of Stochastic Processes With Stationary Increments And Cointegrated Sequences written by Maksym Luz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-25 with Mathematics categories.
Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book gives a deep understanding of spectral theory and estimation techniques for stochastic processes with stationary increments. It focuses on the estimation of functionals of unobserved values for stochastic processes with stationary increments, including ARIMA processes, seasonal time series and a class of cointegrated sequences. Furthermore, this book presents solutions to extrapolation (forecast), interpolation (missed values estimation) and filtering (smoothing) problems based on observations with and without noise, in discrete and continuous time domains. Extending the classical approach applied when the spectral densities of the processes are known, the minimax method of estimation is developed for a case where the spectral information is incomplete and the relations that determine the least favorable spectral densities for the optimal estimations are found.
Non Stationary Stochastic Processes Estimation
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Author : Maksym Luz
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2024-05-20
Non Stationary Stochastic Processes Estimation written by Maksym Luz and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-05-20 with Business & Economics categories.
The problem of forecasting future values of economic and physical processes, the problem of restoring lost information, cleaning signals or other data observations from noise, is magnified in an information-laden word. Methods of stochastic processes estimation depend on two main factors. The first factor is construction of a model of the process being investigated. The second factor is the available information about the structure of the process under consideration. In this book, we propose results of the investigation of the problem of mean square optimal estimation (extrapolation, interpolation, and filtering) of linear functionals depending on unobserved values of stochastic sequences and processes with periodically stationary and long memory multiplicative seasonal increments. Formulas for calculating the mean square errors and the spectral characteristics of the optimal estimates of the functionals are derived in the case of spectral certainty, where spectral structure of the considered sequences and processes are exactly known. In the case where spectral densities of the sequences and processes are not known exactly while some sets of admissible spectral densities are given, we apply the minimax-robust method of estimation.
Entwurf Und Analyse Von Kommunikationsnetzen
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Author : Ulrich Killat
language : de
Publisher: Springer-Verlag
Release Date : 2015-12-14
Entwurf Und Analyse Von Kommunikationsnetzen written by Ulrich Killat and has been published by Springer-Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-14 with Technology & Engineering categories.
Dieses Lehrbuch ist eine einführende Darstellung verschiedener Verfahren des Entwurfs und der Analyse von Kommunikationsnetzen. Nachrichtentechniker und Informatiker mit dem Schwerpunkt „Kommunikationsnetze“ sollten damit vertraut sein. Es spannt einen Bogen von exakten Planungsverfahren (sowie entsprechenden Näherungsverfahren) über Leistungsbewertung mit Hilfe der Warteschlangentheorie bis hin zu Verfahren, die Schranken für Ende-zu-Ende Leistungsparameter in Netzen bestimmen. Das Buch legt Wert auf die Zusammenhänge zwischen den einzelnen Themen, die üblicherweise in getrennten Fachbüchern behandelt werden. Der Autor weckt ein intuitives Verständnis für die beschriebenen Verfahren, weswegen viele mathematische Voraussetzungen und Zusammenhänge in Anhängen behandelt werden. Beispiele aus eigenen Forschungsarbeiten dienen vielfach zur Verdeutlichung der vermittelten Sachverhalte. Hinweise zur Lösung aller Aufgaben finden sich auf der Plattform „DozentenPlus“ . Hier sind auch drei englischsprachige Power Point Präsentationen verfügbar, in denen der Stoff der drei Teile des Buches für Vorlesungen aufbereitet ist.
Asymptotic Theory Of Weakly Dependent Random Processes
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Author : Emmanuel Rio
language : en
Publisher: Springer
Release Date : 2017-04-13
Asymptotic Theory Of Weakly Dependent Random Processes written by Emmanuel Rio and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-13 with Mathematics categories.
Ces notes sont consacrées aux inégalités et aux théorèmes limites classiques pour les suites de variables aléatoires absolument régulières ou fortement mélangeantes au sens de Rosenblatt. Le but poursuivi est de donner des outils techniques pour l'étude des processus faiblement dépendants aux statisticiens ou aux probabilistes travaillant sur ces processus.
Weak Dependence With Examples And Applications
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Author : Jérôme Dedecker
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-07-18
Weak Dependence With Examples And Applications written by Jérôme Dedecker and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-18 with Mathematics categories.
This book develops Doukhan/Louhichi's 1999 idea to measure asymptotic independence of a random process. The authors, who helped develop this theory, propose examples of models fitting such conditions: stable Markov chains, dynamical systems or more complicated models, nonlinear, non-Markovian, and heteroskedastic models with infinite memory. Applications are still needed to develop a method of analysis for nonlinear times series, and this book provides a strong basis for additional studies.
Limit Theorems In Change Point Analysis
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Author : Miklós Csörgö
language : en
Publisher: John Wiley & Sons
Release Date : 1997-12-29
Limit Theorems In Change Point Analysis written by Miklós Csörgö and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-12-29 with Mathematics categories.
Change-point problems arise in a variety of experimental and mathematical sciences, as well as in engineering and health sciences. This rigorously researched text provides a comprehensive review of recent probabilistic methods for detecting various types of possible changes in the distribution of chronologically ordered observations. Further developing the already well-established theory of weighted approximations and weak convergence, the authors provide a thorough survey of parametric and non-parametric methods, regression and time series models together with sequential methods. All but the most basic models are carefully developed with detailed proofs, and illustrated by using a number of data sets. Contains a thorough survey of: The Likelihood Approach Non-Parametric Methods Linear Models Dependent Observations This book is undoubtedly of interest to all probabilists and statisticians, experimental and health scientists, engineers, and essential for those working on quality control and surveillance problems. Foreword by David Kendall
Asymptotic Laws And Methods In Stochastics
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Author : Donald Dawson
language : en
Publisher: Springer
Release Date : 2015-11-12
Asymptotic Laws And Methods In Stochastics written by Donald Dawson and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-12 with Mathematics categories.
This book contains articles arising from a conference in honour of mathematician-statistician Miklόs Csörgő on the occasion of his 80th birthday, held in Ottawa in July 2012. It comprises research papers and overview articles, which provide a substantial glimpse of the history and state-of-the-art of the field of asymptotic methods in probability and statistics, written by leading experts. The volume consists of twenty articles on topics on limit theorems for self-normalized processes, planar processes, the central limit theorem and laws of large numbers, change-point problems, short and long range dependent time series, applied probability and stochastic processes, and the theory and methods of statistics. It also includes Csörgő’s list of publications during more than 50 years, since 1962.
Martingale Limit Theory And Its Application
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Author : P. Hall
language : en
Publisher: Academic Press
Release Date : 2014-07-10
Martingale Limit Theory And Its Application written by P. Hall and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-10 with Mathematics categories.
Martingale Limit Theory and Its Application discusses the asymptotic properties of martingales, particularly as regards key prototype of probabilistic behavior that has wide applications. The book explains the thesis that martingale theory is central to probability theory, and also examines the relationships between martingales and processes embeddable in or approximated by Brownian motion. The text reviews the martingale convergence theorem, the classical limit theory and analogs, and the martingale limit theorems viewed as the rate of convergence results in the martingale convergence theorem. The book explains the square function inequalities, weak law of large numbers, as well as the strong law of large numbers. The text discusses the reverse martingales, martingale tail sums, the invariance principles in the central limit theorem, and also the law of the iterated logarithm. The book investigates the limit theory for stationary processes via corresponding results for approximating martingales and the estimation of parameters from stochastic processes. The text can be profitably used as a reference for mathematicians, advanced students, and professors of higher mathematics or statistics.
A First Course In Probability And Statistics
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Author : B L S Prakasa Rao
language : en
Publisher: World Scientific Publishing Company
Release Date : 2008-12-22
A First Course In Probability And Statistics written by B L S Prakasa Rao and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-22 with Mathematics categories.
Explanation of the basic concepts and methods of statistics requires a reasonably good mathematical background, at least at a first-year-level knowledge of calculus. Most of the statistical software explain how to conduct data analysis, but do not explain when to apply and when not to apply it. Keeping this in view, we try to explain the basic concepts of probability and statistics for students with an understanding of a first course in calculus at the undergraduate level.Designed as a textbook for undergraduate and first-year graduate students in statistics, bio-statistics, social sciences and business administration programs as well as undergraduates in engineering sciences and computer science programs, it provides a clear exposition of the theory of probability along with applications in statistics. The book contains a large number of solved examples and chapter-end exercises designed to reinforce the probability theory and emphasize statistical applications.