Continuous Parameter Time Series

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Continuous Parameter Time Series

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Author : Peter J. Brockwell
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2024-07-22

Continuous Parameter Time Series written by Peter J. Brockwell 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 2024-07-22 with Mathematics categories.

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. Lévy-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 Lévy 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.

Time Series Analysis Papers

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Author : Emanuel Parzen
language : en
Publisher:
Release Date : 1967

Time Series Analysis Papers written by Emanuel Parzen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1967 with Time-series analysis categories.

On consistent estimates of the spectral density of a stationary time series; Analysis of a general system for the detection of amplitude-modulated noise; A central limit theorem for multilinear stochastic processes; Conditions that a stochastic process ber egodic; On consistent estimates of the spectrum of a stationary time series; On choosing an estimate of the spectral density function of a stationary time series; On asymptotically efficient consistent estimates of the spectral density function of a stationary time series; General considerations in the analysis of spectra; Mathematical considerations in the estimation of spectra; Spectral analysis of asymptotically stationary time series; On spectral analysis with missing observations and amplitude modulation; Notes on fourier analysis and spectral windows; Statistical inference on time series by Hilbert space methods; An approach to time series analysis; Regression analysis of continuous parameter time series; A new approach to the synthesis of optimal smoothing and prediction systems; Probability density functionals and reproducing kernel hilbert spaces; Extraction and detection problems and reproducing kernel hilbert spaces; On estimation of a probability density function and mode; On models for the probability of fatigue failure of a structure; An approach to empirical time series analysis.

Spectral Analysis For Physical Applications

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Author : Donald B. Percival
language : en
Publisher: Cambridge University Press
Release Date : 1993-06-03

Spectral Analysis For Physical Applications written by Donald B. Percival and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-06-03 with Mathematics categories.

This book is an up-to-date introduction to univariate spectral analysis at the graduate level, which reflects a new scientific awareness of spectral complexity, as well as the widespread use of spectral analysis on digital computers with considerable computational power. The text provides theoretical and computational guidance on the available techniques, emphasizing those that work in practice. Spectral analysis finds extensive application in the analysis of data arising in many of the physical sciences, ranging from electrical engineering and physics to geophysics and oceanography. A valuable feature of the text is that many examples are given showing the application of spectral analysis to real data sets. Special emphasis is placed on the multitaper technique, because of its practical success in handling spectra with intricate structure, and its power to handle data with or without spectral lines. The text contains a large number of exercises, together with an extensive bibliography.

Mathematics Of The Financial Markets

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Author : Alain Ruttiens
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-05

Mathematics Of The Financial Markets written by Alain Ruttiens 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 2013-08-05 with Business & Economics categories.

Mathematics of the Financial Markets Financial Instruments and Derivatives Modeling, Valuation and Risk Issues "Alain Ruttiens has the ability to turn extremely complex concepts and theories into very easy to understand notions. I wish I had read his book when I started my career!" Marco Dion, Global Head of Equity Quant Strategy, J.P. Morgan "The financial industry is built on a vast collection of financial securities that can be valued and risk profiled using a set of miscellaneous mathematical models. The comprehension of these models is fundamental to the modern portfolio and risk manager in order to achieve a deep understanding of the capabilities and limitations of these methods in the approximation of the market. In his book, Alain Ruttiens exposes these models for a wide range of financial instruments by using a detailed and user friendly approach backed up with real-life data examples. The result is an excellent entry-level and reference book that will help any student and current practitioner up their mathematical modeling skills in the increasingly demanding domain of asset and risk management." Virgile Rostand, Consultant, Toronto ON "Alain Ruttiens not only presents the reader with a synthesis between mathematics and practical market dealing, but, more importantly a synthesis of his thinking and of his life." René Chopard, CEO, Centro di Studi Bancari Lugano, Vezia / Professor, Università dell'Insubria, Varese "Alain Ruttiens has written a book on quantitative finance that covers a wide range of financial instruments, examples and models. Starting from first principles, the book should be accessible to anyone who is comfortable with trading strategies, numbers and formulas." Dr Yuh-Dauh Lyuu, Professor of Finance & Professor of Computer Science & Information Engineering, National Taiwan University

Handbook Of Financial Time Series

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Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21

Handbook Of Financial Time Series written by Torben Gustav Andersen 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 2009-04-21 with Business & Economics categories.

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Nbs Special Publication

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Author :
language : en
Publisher:
Release Date : 1970

Nbs Special Publication written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Weights and measures categories.

Identification And System Parameter Estimation 1982

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Author : G. A. Bekey
language : en
Publisher: Elsevier
Release Date : 2016-06-06

Identification And System Parameter Estimation 1982 written by G. A. Bekey and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-06 with Technology & Engineering categories.

Identification and System Parameter Estimation 1982 covers the proceedings of the Sixth International Federation of Automatic Control (IFAC) Symposium. The book also serves as a tribute to Dr. Naum S. Rajbman. The text covers issues concerning identification and estimation, such as increasing interrelationships between identification/estimation and other aspects of system theory, including control theory, signal processing, experimental design, numerical mathematics, pattern recognition, and information theory. The book also provides coverage regarding the application and problems faced by several engineering and scientific fields that use identification and estimation, such as biological systems, traffic control, geophysics, aeronautics, robotics, economics, and power systems. Researchers from all scientific fields will find this book a great reference material, since it presents topics that concern various disciplines.

Stochastic Processes Theory And Methods

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Author : D N Shanbhag
language : en
Publisher: Gulf Professional Publishing
Release Date : 2001

Stochastic Processes Theory And Methods written by D N Shanbhag and has been published by Gulf Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Mathematics categories.

This volume in the series contains chapters on areas such as pareto processes, branching processes, inference in stochastic processes, Poisson approximation, Levy processes, and iterated random maps and some classes of Markov processes. Other chapters cover random walk and fluctuation theory, a semigroup representation and asymptomatic behavior of certain statistics of the Fisher-Wright-Moran coalescent, continuous-time ARMA processes, record sequence and their applications, stochastic networks with product form equilibrium, and stochastic processes in insurance and finance. Other subjects include renewal theory, stochastic processes in reliability, supports of stochastic processes of multiplicity one, Markov chains, diffusion processes, and Ito's stochastic calculus and its applications. c. Book News Inc.

Underwater Acoustics And Signal Processing

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Author : L. Bjørnø
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Underwater Acoustics And Signal Processing written by L. Bjørnø 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 2012-12-06 with Science categories.

The comprehensive research activity around the World in the fields of Underwater Acoustics and Signal Processing being strongly supported by new experimental technique and equipment and by the parallel fast developments in computer technology and solid state devices, which has led to a rapidly reducing cost of digital processing thus enabling more complex processing to be carried out economically, emphasize how necessary it is at intervals of a few years through a NATO Advanced Study Institute (NATO ASI) and guided by leading experts to study the conquests in the fields of Underwater Acoustics and Signal Processing. This need of study is moreover stressed by the interdisciplina rity of Underwater Acoustics and Signal Processing, where a strong impact from other branches of science, - Geophysics, Radioastronomy, Bioengineering, Telecommunication, Seismology, Space Research etc. - is taking place, which makes it an extre mely difficult task for scientists to follow-up the development in all its phases and to preserve the general view of its rapid ly increasing number of possibilities. The present Proceedings of the NATO ASI held in Copenhagen during August 1980 join the series of proceedings of NATO summer schools on Underwater Acoustics and Signal Processing held during the past 20 years. The equality and the fusion of the individual research fields of Underwater Acoustics and Signal Processing and the separate introduction of advanced research results from other scientific areas related to underwater acoustics such as transducers characterize the subject matter of this NATO ASI.

Quality Management

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Author : Marco Sartor
language : en
Publisher: Emerald Group Publishing
Release Date : 2019-05-09

Quality Management written by Marco Sartor and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-09 with Business & Economics categories.

The book describes the most important quality management tools (e.g. QFD, Kano model), methods (e.g. FMEA, Six Sig-ma) and standards (e.g. IS0 9001, ISO 14001, ISO 27001, ISO 45001, SA8000). It reflects recent developments in the field. It is considered a must-read for students, academics, and practitioners.