Of Long Memory
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Long Memory Processes
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Author : Jan Beran
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-05-14
Long Memory Processes written by Jan Beran 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 2013-05-14 with Mathematics categories.
Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Statistics For Long Memory Processes
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Author : Jan Beran
language : en
Publisher: CRC Press
Release Date : 1994-10-01
Statistics For Long Memory Processes written by Jan Beran and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-10-01 with Mathematics categories.
Statistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context. Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.
Long Memory
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Author : Mary Frances Berry
language : en
Publisher: OUP USA
Release Date : 1997-08-14
Long Memory written by Mary Frances Berry and has been published by OUP USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-08-14 with History categories.
This powerful, provocative survey is organized around the key issues of Afro-American history: Africa and slavery, family, religion, sex and racism, politics, economics, education, criminal justice, discrimination and protest movements, and black nationalism.
Long Memory Time Series
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Author : Wilfredo Palma
language : en
Publisher: John Wiley & Sons
Release Date : 2007-04-27
Long Memory Time Series written by Wilfredo Palma 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 2007-04-27 with Mathematics categories.
A self-contained, contemporary treatment of the analysis of long-range dependent data Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures. To facilitate understanding, the book: Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration Includes detailed analyses of computational aspects related to the implementation of the methodologies described, including algorithm efficiency, arithmetic complexity, CPU times, and more Includes proposed problems at the end of each chapter to help readers solidify their understanding and practice their skills A valuable real-world reference for researchers and practitioners in time series analysis, economerics, finance, and related fields, this book is also excellent for a beginning graduate-level course in long-memory processes or as a supplemental textbook for those studying advanced statistics, mathematics, economics, finance, engineering, or physics. A companion Web site is available for readers to access the S-Plus and R data sets used within the text.
Large Sample Inference For Long Memory Processes
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Author : Liudas Giraitis
language : en
Publisher:
Release Date : 2012
Large Sample Inference For Long Memory Processes written by Liudas Giraitis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.
A discrete-time stationary stochastic process with finite variance is said to have long memory if its autocorrelations tend to zero hyperbolically in the lag, i.e. like a power of the lag, as the lag tends to infinity. The absolute sum of autocorrelations of such processes diverges and their spectral density at the origin is unbounded. This is unlike the so-called weakly dependent processes, where autocorrelations tend to zero exponentially fast and the spectral density is bounded at the origin. In a long memory process, the dependence between the current observation and the one at a distant future is persistent; whereas in the weakly dependent processes, these observations are approximately independent. This fact alone is enough to warn a person about the validity of the classical inference procedures based on the square root of the sample size standardization when data are generated by a long-term memory process.The aim of this volume is to provide a text at the graduate level from which one can learn, in a concise fashion, some basic theory and techniques of proving limit theorems for numerous statistics based on long memory processes. It also provides a guide to researchers about some of the inference problems under long memory.
Time Series Analysis With Long Memory In View
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Author : Uwe Hassler
language : en
Publisher: John Wiley & Sons
Release Date : 2018-09-07
Time Series Analysis With Long Memory In View written by Uwe Hassler 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 2018-09-07 with Mathematics categories.
Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Time Series With Long Memory
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Author : Peter M. Robinson
language : en
Publisher: Advanced Texts in Econometrics
Release Date : 2003
Time Series With Long Memory written by Peter M. Robinson and has been published by Advanced Texts in Econometrics this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Long memory time series are characterized by a strong dependence between distant events.
The Structure Of Long Term Memory
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Author : Wolfgang Klimesch
language : en
Publisher: Psychology Press
Release Date : 2013-05-13
The Structure Of Long Term Memory written by Wolfgang Klimesch and has been published by Psychology Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-13 with Psychology categories.
How is information stored and retrieved from long-term memory? It is argued that any systematic attempt to answer this question should be based on a particular set of specific representational assumptions that have led to the development of a new memory theory -- the connectivity model. One of the crucial predictions of this model is that, in sharp contrast to traditional theories, the speed of processing information increases as the amount and complexity of integrated knowledge increases. In this volume, the predictions of the model are examined by analyzing the results of a variety of different experiments and by studying the outcome of the simulation program CONN1, which illustrates the representation of complex semantic structures. In the final chapter, the representational assumptions of the connectivity model are evaluated on the basis of neuroanatomical and physiological evidence -- suggesting that neuroscience provides valuable knowledge which should guide the development of memory theories.
Long Memory In Economics
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Author : Gilles Teyssière
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-09-22
Long Memory In Economics written by Gilles Teyssière 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 2006-09-22 with Business & Economics categories.
Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Approximation Of Long Memory Process By Short Memory Process With Application To Option Valuation
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Author : Pengyuan Shao
language : en
Publisher:
Release Date : 2013
Approximation Of Long Memory Process By Short Memory Process With Application To Option Valuation written by Pengyuan Shao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.